03869nam 22006975 450 991029977140332120251230065441.03-319-18239-09783319182391(eBook)10.1007/978-3-319-18239-1(CKB)3710000000457374(EBL)3563322(SSID)ssj0001546494(PQKBManifestationID)16141517(PQKBTitleCode)TC0001546494(PQKBWorkID)14795930(PQKB)10152581(DE-He213)978-3-319-18239-1(MiAaPQ)EBC3563322(PPN)188458956(EXLCZ)99371000000045737420150801d2015 u| 0engurcnu---unuuutxtrdacontentcrdamediacrrdacarrierActuarial Sciences and Quantitative Finance ICASQF, Bogotá, Colombia, June 2014 /edited by Jaime A. Londoño, José Garrido, Daniel Hernández-Hernández1st ed. 2015.Cham :Springer International Publishing :Imprint: Springer,2015.1 online resource (xi, 98 pages) illustrations (some color)Springer Proceedings in Mathematics & Statistics,2194-1017 ;1353-319-18238-2 9783319182384 Includes bibliographical references at the end of each chapters and index.Modeling Electricity Spot Price Dynamics by Using Levy-Type Cox Processes: An Application to the Colombian Market -- Using Value-at-Risk (VaR) to Measure Market Risk of the Equity Inventory of a Market Maker.- Reverse mortgage schemes financing urban dynamics using the multiple decrement approach -- Speedup of Calibration and Pricing with SABR models: from equities to interest rates derivatives -- Bergman, Piterbarg and Beyond: Pricing Derivatives under Collateralization and Differential Rates.Featuring contributions from industry and academia, this volume includes chapters covering a diverse range of theoretical and empirical aspects of actuarial science and quantitative finance, including portfolio management, derivative valuation, risk theory and the economics of insurance. Developed from the First International Congress on Actuarial Science and Quantitative Finance, held at the Universidad Nacional de Colombia in Bogotá in June 2014, this volume highlights different approaches to issues arising from industries in the Andean and Carribean regions. Contributions address topics such as Reverse mortgage schemes and urban dynamics, modeling spot price dynamics in the electricity market, and optimizing calibration and pricing with SABR models.Springer Proceedings in Mathematics & Statistics,2194-1017 ;135Actuarial scienceSocial sciencesMathematicsStatisticsActuarial MathematicsMathematics in Business, Economics and FinanceStatistics in Business, Management, Economics, Finance, InsuranceActuarial science.Social sciencesMathematics.Statistics.Actuarial Mathematics.Mathematics in Business, Economics and Finance.Statistics in Business, Management, Economics, Finance, Insurance.368.01Londoño Jaime A.edthttp://id.loc.gov/vocabulary/relators/edtGarrido Joséedthttp://id.loc.gov/vocabulary/relators/edtHernández Hernández Danieledthttp://id.loc.gov/vocabulary/relators/edtMiAaPQMiAaPQMiAaPQBOOK9910299771403321Actuarial sciences and quantitative finance1522652UNINA