Applied diffusion processes from engineering to finance
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 engineer...
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| Main Authors: | , , |
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| Format: | eBook Book |
| Language: | English |
| Published: |
Hoboken, NJ London
Wiley
2013
John Wiley & Sons ISTE John Wiley & Sons, Incorporated Wiley-Blackwell |
| Edition: | 1st ed. |
| Series: | Applied Stochastic Methods |
| Subjects: | |
| ISBN: | 1118576683, 1848212496, 9781118576687, 9781848212497, 1118578341, 9781118578346 |
| Online Access: | Get full text |
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| Summary: | 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. |
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| Bibliography: | Includes bibliographical references (p. [381]-391) and index |
| ISBN: | 1118576683 1848212496 9781118576687 9781848212497 1118578341 9781118578346 |
| DOI: | 10.1002/9781118578339 |