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Essays In Stochastic Modeling With Applications To Economics Finance And Insurance


Essays In Stochastic Modeling With Applications To Economics Finance And Insurance
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Essays In Stochastic Modeling With Applications To Economics Finance And Insurance


Essays In Stochastic Modeling With Applications To Economics Finance And Insurance
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Author : Richard Wong
language : en
Publisher:
Release Date : 2004

Essays In Stochastic Modeling With Applications To Economics Finance And Insurance written by Richard Wong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.




Applied Stochastic Models And Control For Finance And Insurance


Applied Stochastic Models And Control For Finance And Insurance
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Author : Charles S. Tapiero
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Applied Stochastic Models And Control For Finance And Insurance written by Charles S. Tapiero 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 2012-12-06 with Business & Economics categories.


Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.



Stochastic Modeling In Economics And Finance


Stochastic Modeling In Economics And Finance
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Author : Jitka Dupacova
language : en
Publisher: Springer Science & Business Media
Release Date : 2002-08-31

Stochastic Modeling In Economics And Finance written by Jitka Dupacova 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 2002-08-31 with Business & Economics categories.


Unlike other books that focus only on selected specific subjects this book provides both a broad and rich cross-section of contemporary approaches to stochastic modeling in finance and economics; it is decision making oriented. The material ranges from common tools to solutions of sophisticated system problems and applications. In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study. Selected examples of successful applications in finance, production planning and management of technological processes and electricity generation are presented. Throughout, the emphasis is on the appropriate use of the techniques, rather than on the underlying mathematical proofs and theories. In Part IV, the sections devoted to stochastic calculus cover also more advanced topics such as DDS Theorem or extremal martingale measures, which make it possible to treat more delicate models in Mathematical Finance (complete markets, optimal control, etc.) Audience: Students and researchers in probability and statistics, econometrics, operations research and various fields of finance, economics, engineering, and insurance.



Modelling Extremal Events


Modelling Extremal Events
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Author : Paul Embrechts
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14

Modelling Extremal Events written by Paul Embrechts 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 2013-03-14 with Business & Economics categories.


"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS



Models And Methods In Economics And Management Science


Models And Methods In Economics And Management Science
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Author : Fouad El Ouardighi
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-09-16

Models And Methods In Economics And Management Science written by Fouad El Ouardighi 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 2013-09-16 with Business & Economics categories.


With this book, distinguished and notable contributors wish to honor Professor Charles S. Tapiero’s scientific achievements. Although it covers only a few of the directions Professor Tapiero has taken in his work, it presents important modern developments in theory and in diverse applications, as studied by his colleagues and followers, further advancing the topics Tapiero has been investigating. The book is divided into three parts featuring original contributions covering the following areas: general modeling and analysis; applications to marketing, economy and finance; and applications to operations and manufacturing. Professor Tapiero is among the most active researchers in control theory; in the late sixties, he started to enthusiastically promote optimal control theory along with differential games, successfully applying it to diverse problems ranging from classical operations research models to finance, risk and insurance, marketing, transportation and operations management, conflict management and game theory, engineering, regional and urban sciences, environmental economics, and organizational behavior. Over the years, Professor Tapiero has produced over 300 papers and communications and 14 books, which have had a major impact on modern theoretical and applied research. Notable among his numerous pioneering scientific contributions are the use of graph theory in the behavioral sciences, the modeling of advertising as a random walk, the resolution of stochastic zero-sum differential games, the modeling of quality control as a stochastic competitive game, and the development of impulsive control methods in management. Charles Tapiero’s creativity applies both in formulating original issues, modeling complex phenomena and solving complex mathematical problems.



Stochastic Analysis And Applications To Finance Essays In Honour Of Jia An Yan


Stochastic Analysis And Applications To Finance Essays In Honour Of Jia An Yan
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Author : Tusheng Zhang
language : en
Publisher: World Scientific
Release Date : 2012-07-17

Stochastic Analysis And Applications To Finance Essays In Honour Of Jia An Yan written by Tusheng Zhang and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-17 with Mathematics categories.


This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory.It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance.



Introductory Stochastic Analysis For Finance And Insurance


Introductory Stochastic Analysis For Finance And Insurance
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Author : X. Sheldon Lin
language : en
Publisher: John Wiley & Sons
Release Date : 2006-04-21

Introductory Stochastic Analysis For Finance And Insurance written by X. Sheldon Lin 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 2006-04-21 with Mathematics categories.


Incorporates the many tools needed for modeling and pricing infinance and insurance Introductory Stochastic Analysis for Finance and Insuranceintroduces readers to the topics needed to master and use basicstochastic analysis techniques for mathematical finance. The authorpresents the theories of stochastic processes and stochasticcalculus and provides the necessary tools for modeling and pricingin finance and insurance. Practical in focus, the book's emphasisis on application, intuition, and computation, rather thantheory. Consequently, the text is of interest to graduate students,researchers, and practitioners interested in these areas. While thetext is self-contained, an introductory course in probabilitytheory is beneficial to prospective readers. This book evolved from the author's experience as an instructor andhas been thoroughly classroom-tested. Following an introduction,the author sets forth the fundamental information and tools neededby researchers and practitioners working in the financial andinsurance industries: * Overview of Probability Theory * Discrete-Time stochastic processes * Continuous-time stochastic processes * Stochastic calculus: basic topics The final two chapters, Stochastic Calculus: Advanced Topics andApplications in Insurance, are devoted to more advanced topics.Readers learn the Feynman-Kac formula, the Girsanov's theorem, andcomplex barrier hitting times distributions. Finally, readersdiscover how stochastic analysis and principles are applied inpractice through two insurance examples: valuation of equity-linkedannuities under a stochastic interest rate environment andcalculation of reserves for universal life insurance. Throughout the text, figures and tables are used to help simplifycomplex theory and pro-cesses. An extensive bibliography opens upadditional avenues of research to specialized topics. Ideal for upper-level undergraduate and graduate students, thistext is recommended for one-semester courses in stochastic financeand calculus. It is also recommended as a study guide forprofessionals taking Causality Actuarial Society (CAS) and Societyof Actuaries (SOA) actuarial examinations.



Stochastic Modeling In Economics And Finance


Stochastic Modeling In Economics And Finance
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Author : Jitka Dupacova
language : en
Publisher:
Release Date : 2014-01-15

Stochastic Modeling In Economics And Finance written by Jitka Dupacova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-01-15 with categories.




Applications Of Stochastic Optimal Control To Economics And Finance


Applications Of Stochastic Optimal Control To Economics And Finance
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Author : Salvatore Federico
language : en
Publisher:
Release Date : 2020-06-23

Applications Of Stochastic Optimal Control To Economics And Finance written by Salvatore Federico and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-23 with categories.


In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue "Applications of Stochastic Optimal Control to Economics and Finance", which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book's chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used.



Stochastic Modeling And Optimization


Stochastic Modeling And Optimization
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Author : David D. Yao
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Stochastic Modeling And Optimization written by David D. Yao 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 2012-12-06 with Business & Economics categories.


This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.