Applied Diffusion Processes From Engineering To Finance
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Applied Diffusion Processes From Engineering To Finance
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Author : Jacques Janssen
language : en
Publisher: John Wiley & Sons
Release Date : 2013-04-08
Applied Diffusion Processes From Engineering To Finance written by Jacques Janssen and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-08 with Mathematics categories.
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.
Var Methodology For Non Gaussian Finance
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Author : Marine Habart-Corlosquet
language : en
Publisher: John Wiley & Sons
Release Date : 2013-05-06
Var Methodology For Non Gaussian Finance written by Marine Habart-Corlosquet and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-06 with Business & Economics categories.
With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) – one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III. 2. Classical Value-at-Risk (VaR) Methods. 3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance. 4. New VaR Methods of Non-Gaussian Finance. 5. Non-Gaussian Finance: Semi-Markov Models.
Controlled Branching Processes
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Author : Miguel González Velasco
language : en
Publisher: John Wiley & Sons
Release Date : 2018-03-13
Controlled Branching Processes written by Miguel González Velasco and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-13 with Mathematics categories.
The purpose of this book is to provide a comprehensive discussion of the available results for discrete time branching processes with random control functions. The independence of individuals’ reproduction is a fundamental assumption in the classical branching processes. Alternatively, the controlled branching processes (CBPs) allow the number of reproductive individuals in one generation to decrease or increase depending on the size of the previous generation. Generating a wide range of behaviors, the CBPs have been successfully used as modeling tools in diverse areas of applications.
Recent Advances In Financial Engineering
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Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2010
Recent Advances In Financial Engineering written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Mathematics categories.
This volume contains the proceedings of the 2008 Daiwa International Workshop on Financial Engineering held in Tokyo. The annual workshop is sponsored by the Daiwa Securities Group, and serves as a bridge between leading academics and practitioners in the field. This year, the papers presented at the workshop have been refereed and published in a single volume to commemorate the 60th birthday of Professor Yuri Kabanov, and to thank him for his contributions to the progress of mathematical finance in general, and the Daiwa International Workshop in particular. The book caters to academics and practitioners as well as graduate and postgraduate students of financial engineering. Quantitative researchers on financial markets will also find it a useful resource.
Recent Advances In Financial Engineering 2010 Proceedings Of The Kier Tmu International Workshop On Financial Engineering 2010
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Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2011-06-17
Recent Advances In Financial Engineering 2010 Proceedings Of The Kier Tmu International Workshop On Financial Engineering 2010 written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-17 with Mathematics categories.
This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU).The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers — all refereed — representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing.
Monte Carlo Methods In Financial Engineering
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Author : Paul Glasserman
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Monte Carlo Methods In Financial Engineering written by Paul Glasserman and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Mathematics categories.
From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Handbooks In Operations Research And Management Science Financial Engineering
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Author : John R. Birge
language : en
Publisher: Elsevier
Release Date : 2007-11-16
Handbooks In Operations Research And Management Science Financial Engineering written by John R. Birge and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-16 with Business & Economics categories.
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Ergodic Control Of Diffusion Processes
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Author : Ari Arapostathis
language : en
Publisher:
Release Date : 2012
Ergodic Control Of Diffusion Processes written by Ari Arapostathis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Diffusion processes categories.
This comprehensive volume on ergodic control for diffusions highlights intuition alongside technical arguments. A concise account of Markov process theory is followed by a complete development of the fundamental issues and formalisms in control of diffusions. This then leads to a comprehensive treatment of ergodic control, a problem that straddles stochastic control and the ergodic theory of Markov processes. The interplay between the probabilistic and ergodic-theoretic aspects of the problem, notably the asymptotics of empirical measures on one hand, and the analytic aspects leading to a characterization of optimality via the associated Hamilton-Jacobi-Bellman equation on the other, is clearly revealed. The more abstract controlled martingale problem is also presented, in addition to many other related issues and models. Assuming only graduate-level probability and analysis, the authors develop the theory in a manner that makes it accessible to users in applied mathematics, engineering, finance and operations research.
Monte Carlo And Quasi Monte Carlo Methods 2010
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Author : Leszek Plaskota
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-23
Monte Carlo And Quasi Monte Carlo Methods 2010 written by Leszek Plaskota and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-23 with Mathematics categories.
This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics.
Ergodic Control Of Diffusion Processes
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Author : Ari Arapostathis
language : en
Publisher: Cambridge University Press
Release Date : 2012
Ergodic Control Of Diffusion Processes written by Ari Arapostathis and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Mathematics categories.
The first comprehensive account of controlled diffusions with a focus on ergodic or 'long run average' control.