Actuarial Sciences and Quantitative Finance: ICASQF, Bogotá, Colombia, June 2014 (Springer Proceedings in Mathematics & Statistics Book 135)

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. Front Matter....Pages i-xi Modeling Electricity Spot Price Dynamics by Using Lévy-Type Cox Processes: An Application to Colombian Market....Pages 1-14 Using Value-at-Risk (VaR) to Measure Market Risk of the Equity Inventory of a Market Maker....Pages 15-26 Reverse Mortgage Schemes Financing Urban Dynamics Using the Multiple Decrement Approach....Pages 27-47 Speedup of Calibration and Pricing with SABR Models: From Equities to Interest Rates Derivatives....Pages 49-63 Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates....Pages 65-95 Back Matter....Pages 97-98