Applied Diffusion Processes From Engineering To Finance Jacques Janssen by Jacques Janssen, Oronzio Manca, Raimondo Manca(auth.) 9781118578339, 9781848212497, 1118578333, 1848212496 instant download after payment.

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, Levy processes and semi-Markov models in interactions with the diffusion models are discussed, as well as possible future interactions among Engineering, Finance and Insurance.

Content:
Chapter 1 Diffusion Phenomena and Models (pages 1–16): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 2 Probabilistic Models of Diffusion Processes (pages 17–46): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 3 Solving Partial Differential Equations of Second Order (pages 47–84): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 4 Problems in Finance (pages 85–110): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 5 Basic PDE in Finance (pages 111–144): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 6 Exotic and American Options Pricing Theory (pages 145–176): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 7 Hitting Times for Diffusion Processes and Stochastic Models in Insurance (pages 177–218): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 8 Numerical Methods (pages 219–230): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 9 Advanced Topics in Engineering: Nonlinear Models (pages 231–254): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 10 Levy Processes (pages 255–276): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 11 Advanced Topics in Insurance: Copula Models and VaR Techniques (pages 277–306): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 12 Advanced Topics in Finance: Semi?Markov Models (pages 307–340): Jacques Janssen, Oronzio Manca and Raimondo Manca
Chapter 13 Monte Carlo Semi?Markov Simulation Methods (pages 341–378): Jacques Janssen, Oronzio Manca and Raimondo Manca