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Statistical Methods and Applications in Insurance and Finance

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This book is an outcome of the CIMPA-UNESCO-MESR-MINECO-MOROCCO
research school entitled “Statistical Methods and Applications in Finance and
Actuarial Science”. The research school, organized by the Cadi Ayyad University
in Marrakech, in collaboration with the International Centre for Pure and Applied
Mathematics (CIMPA), was held in Marrakech and Kelaat M’gouna between 8 and
20 April 2013.
This volume of proceedings from the conference provides an opportunity for
readers to engage with the lecture notes for two of the courses and seven refereed
papers that were presented during the school.
The volume comprises two parts. The first is devoted to applications in Finance
and includes a series of lectures presented by F. Viens during the conference
entitled “A didactic introduction to risk management via hedging in discrete and
continuous time” as well as three refereed contributions. The first of these, by
M. Eddahbi and S.M. Lalaoui Ben Cherif, entitled “Sensitivity analysis for
time-inhomogeneous Lévy process: a Malliavin calculus approach and numerics”,
is devoted to the study of sensitivity analysis, with respect to the parameters of the
model, within the framework of a time-inhomogeneous Lévy process. The second,
by N. Privault and D. Yang, is entitled “Variance GGC asset price models and their
sensitivity analysis” and treats the problem of computation of sensitivities or Greeks
under different examples of Lévy type models. On the other hand, the third contribution, by J. Vives, entitled “Decomposition of the pricing formula for stochastic
volatility models based on Malliavin-Skorohod type calculus”, treats the problem of
obtaining decompositions of the derivative price formula for stochastic volatility
jump diffusion models that clarify the exact role of correlation and jumps in
derivative prices.

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Detail Information

Series Title

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Call Number

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Publisher

London : Springer., 2016

Collation

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Language

English

ISBN/ISSN

978-3-319-30417-5

Classification

NONE

Content Type

text

Media Type

computer

Carrier Type

online resource

Edition

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Subject(s)

Statistics

Specific Detail Info

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Statement of Responsibility

M'hamed Eddahbi, El Hassan Essaky, Josep Vives

Other Information

Cataloger

Jemadi

Source

https://link.springer.com/content/pdf/10.1007/978-3-319-30417-5.pdf?pdf=button

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