The aim of this book is to promote interaction between Engineering, Finance and Insurance, as there are many models and solution methods in common for solving real-life problems in these three topics.
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 get the solutions of the different problems presented in the book. Advanced topics such as non-linear 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.
Applied Diffusion Processes from Engineering to Finance
- ISBN13:
9781118578339
- ISBN10:
1118578333
- Edition: 1st
- Format: eBook
- Copyright: 2013-02-28
- Publisher: Wiley-ISTE
- More Book Details
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Summary
Table of Contents
Chapter 1 Diffusion phenomena and models
1.1 The origin of Diffusion processes
1.2 Problems in engineering
1.3 Problems in Finance and Insurance
Chapter 2 Basic mathematical aspects of diffusion processes
2.1 Probabilistic model of diffusion processes
2.2Continuum models of diffusion processes
Chapter 3 pricing problems in finance and interaction with diffusion theory
Chapter 4 Technical methods for solving diffusion problems
4.1 Fourier technique
4.2 Laplace transform
4.3 Green function
4.4 Risk neutral measure
Chapter 5 Numerical methods
5.1 Discretization methods
5.2 Finite elements
5.3 Finite difference/volume methods
5.4 Methods for SDE
Chapter 6 Monte Carlo methods
6.1 Presentation of the methods
6.2 Case of deterministic models
6.3 Case of stochastic models
Chapter 7 Solution of Problems in Engineering
Chapter 8 Solution of Problems in Finance and in Insurance Chapter 9 Advanced topics in Engineering
9.1 Non linear models
Chapter 10 Advanced topics in Finance
10.1 Lévy models
10.2 Semi-Markov models
10.3 Copula methods
Chapter 11 Advanced topics in Insurance
11.1 Semi-Markov models
11.2 Copula methods
Chapter 12 Present and future Interactions among Engineering, Finance and Insurance OMRMJJ
Appendix 1 Stochastic processes
Appendix 2 Itô Calculus
Appendix 3 Partial Differential equations
Appendix 4 n-Dimensional Matrices
References
Index
