Applied diffusion processes from engineering to finance /

• Main Author: Janssen, Jacques, 1939- (Author)
• Other Authors: Manca, Oronzio, Manca, Raimondo
• Format: eBook
• Language: English
• Published: London : ISTE Ltd ; 2013.; Hoboken, NJ : John Wiley & Sons, Inc., 2013.
• Series: Applied stochastic methods series.
• Subjects: Diffusion processes.; Finance > Mathematical models.; Insurance > Mathematical models.; Engineering mathematics.; MATHEMATICS > Probability & Statistics > Stochastic Processes.; Electronic books.

"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 en...

Table of Contents:

• Introduction
• Diffusion Phenomena and Models
• Probabilistic Models of Diffusion Processes
• Solving Partial Differential Equations of Second Order
• Problems in Finance
• Basic PDE in Finance
• Exotic and American Options Pricing Theory
• Hitting Times for Diffusion Processes and Stochastic Models in Insurance
• Numerical Methods
• Advanced Topics in Engineering: Nonlinear Models
• Lévy Processes
• Advanced Topics in Insurance: Copula Models and VaR Techniques
• Advanced Topics in Finance: Semi-Markov Models
• Monte Carlo Semi-Markov Simulation Methods
• Conclusion.