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Jacques Janssen - Applied Diffusion Processes from Engineering to Finance - 9781848212497 - V9781848212497
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Applied Diffusion Processes from Engineering to Finance

€ 214.45
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Description for Applied Diffusion Processes from Engineering to Finance Hardback. 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. Num Pages: 410 pages, illustrations. BIC Classification: PBWL. Category: (P) Professional & Vocational. Dimension: 232 x 158 x 28. Weight in Grams: 754.

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 ... Read more

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.

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Product Details

Format
Hardback
Publication date
2013
Publisher
ISTE Ltd and John Wiley & Sons Inc United Kingdom
Number of pages
416
Condition
New
Number of Pages
416
Place of Publication
London, United Kingdom
ISBN
9781848212497
SKU
V9781848212497
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50

About Jacques Janssen
Jacques Janssen is now Honorary Professor at the Solvay Business School (ULB) in Brussels, Belgium, having previously taught at EURIA (Euro-Institut d’Actuariat, University of West Brittany, Brest, France) and Télécom-Bretagne (Brest, France) as well as being a director of Jacan Insurance and Finance Services, a consultancy and training company. Oronzio Manca is Professor of thermal sciences at Seconda ... Read more

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