Applied Diffusion Processes from Engineering to Finance

Nonfiction, Science & Nature, Mathematics, Applied
Cover of the book Applied Diffusion Processes from Engineering to Finance by Jacques Janssen, Oronzio Manca, Raimondo Manca, Wiley
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Jacques Janssen, Oronzio Manca, Raimondo Manca ISBN: 9781118578346
Publisher: Wiley Publication: April 8, 2013
Imprint: Wiley-ISTE Language: English
Author: Jacques Janssen, Oronzio Manca, Raimondo Manca
ISBN: 9781118578346
Publisher: Wiley
Publication: April 8, 2013
Imprint: Wiley-ISTE
Language: English

The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in common for solving real-life problems. The authors point out the strict inter-relations that exist among the diffusion models used in engineering, finance and insurance. In each of the three fields, the basic diffusion models are presented and their strong similarities are discussed. Analytical, numerical and Monte Carlo simulation methods are explained with a view to applying them to obtain the solutions to the different problems presented in the book. Advanced topics such as nonlinear problems, Lévy processes and semi-Markov models in interactions with the diffusion models are discussed, as well as possible future interactions among engineering, finance and insurance.

Contents

  1. Diffusion Phenomena and Models.
  2. Probabilistic Models of Diffusion Processes.
  3. Solving Partial Differential Equations of Second Order.
  4. Problems in Finance.
  5. Basic PDE in Finance.
  6. Exotic and American Options Pricing Theory.
  7. Hitting Times for Diffusion Processes and Stochastic Models in Insurance.
  8. Numerical Methods.
  9. Advanced Topics in Engineering: Nonlinear Models.
  10. Lévy Processes.
  11. Advanced Topics in Insurance: Copula Models and VaR Techniques.
  12. Advanced Topics in Finance: Semi-Markov Models.
  13. Monte Carlo Semi-Markov Simulation Methods.
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in common for solving real-life problems. The authors point out the strict inter-relations that exist among the diffusion models used in engineering, finance and insurance. In each of the three fields, the basic diffusion models are presented and their strong similarities are discussed. Analytical, numerical and Monte Carlo simulation methods are explained with a view to applying them to obtain the solutions to the different problems presented in the book. Advanced topics such as nonlinear problems, Lévy processes and semi-Markov models in interactions with the diffusion models are discussed, as well as possible future interactions among engineering, finance and insurance.

Contents

  1. Diffusion Phenomena and Models.
  2. Probabilistic Models of Diffusion Processes.
  3. Solving Partial Differential Equations of Second Order.
  4. Problems in Finance.
  5. Basic PDE in Finance.
  6. Exotic and American Options Pricing Theory.
  7. Hitting Times for Diffusion Processes and Stochastic Models in Insurance.
  8. Numerical Methods.
  9. Advanced Topics in Engineering: Nonlinear Models.
  10. Lévy Processes.
  11. Advanced Topics in Insurance: Copula Models and VaR Techniques.
  12. Advanced Topics in Finance: Semi-Markov Models.
  13. Monte Carlo Semi-Markov Simulation Methods.

More books from Wiley

Cover of the book Imaging gaseous detectors and their applications by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Train the Brave by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Small Animal Bandaging, Casting, and Splinting Techniques by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book 9 Millionen Fahrräder am Rande des Universums Obskures aus Forschung und Wissenschaft by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Flow Cytometry by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Frequently Asked Questions in IFRS by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Philosophical Writing by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Designing and Teaching Undergraduate Capstone Courses by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Contracts and Deals in Islamic Finance by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book The Power of Memoir by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Understanding Biplots by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Options for Volatile Markets by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Compiler Construction Using Java, JavaCC, and Yacc by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Analytical Routes to Chaos in Nonlinear Engineering by Jacques Janssen, Oronzio Manca, Raimondo Manca
Cover of the book Modern Organic Synthesis by Jacques Janssen, Oronzio Manca, Raimondo Manca
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy