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Applied Diffusion Processes from Engineering to Finance.
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 Engi...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
London :
Wiley,
2013.
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| Colección: | ISTE.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Janssen, Jacques. | |
| 245 | 1 | 0 | |a Applied Diffusion Processes from Engineering to Finance. |
| 260 | |a London : |b Wiley, |c 2013. | ||
| 300 | |a 1 online resource (411 pages). | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a ISTE | |
| 588 | 0 | |a Print version record. | |
| 520 | |a 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 pro. | ||
| 505 | 0 | |a Title Page; Contents; Introduction; Chapter 1. Diffusion Phenomena and Models; 1.1. General presentation of diffusion process; 1.2. General balance equations; 1.3. Heat conduction equation; 1.4. Initial and boundary conditions; Chapter 2. Probabilistic Models of Diffusion Processes; 2.1. Stochastic differentiation; 2.1.1. Definition; 2.1.2. Examples; 2.2. Itô's formula; 2.2.1. Stochastic differential of a product; 2.2.2. Itô's formula with time dependence; 2.2.3. Interpretation of Itô's formula; 2.2.4. Other extensions of Itô's formula; 2.3. Stochastic differential equations (SDE). | |
| 505 | 8 | |a 2.3.1. Existence and unicity general theorem (Gikhman and Skorokhod [GIK 68])2.3.2. Solution of SDE under the canonical form; 2.4. Itô and diffusion processes; 2.4.1. Itô processes; 2.4.2. Diffusion processes; 2.4.3. Kolmogorov equations; 2.5. Some particular cases of diffusion processes; 2.5.1. Reduced form; 2.5.2. The OUV (Ornstein-Uhlenbeck-Vasicek) SDE; 2.5.3. Solution of the SDE of Black-Scholes-Samuelson; 2.6. Multidimensional diffusion processes; 2.6.1. Multidimensional SDE; 2.6.2. Multidimensional Itô and diffusion processes; 2.6.3. Properties of multidimensional diffusion processes. | |
| 505 | 8 | |a 2.6.4. Kolmogorov equations2.7. The Stroock-Varadhan martingale characterization of diffusions (Karlin and Taylor [KAR 81]); 2.8. The Feynman-Kac formula (Platen and Heath); 2.8.1. Terminal condition; 2.8.2. Discounted payoff function; 2.8.3. Discounted payoff function and payoff rate; Chapter 3. Solving Partial Differential Equations of Second Order; 3.1. Basic definitions on PDE of second order; 3.1.1. Notation; 3.1.2. Characteristics; 3.1.3. Canonical form of PDE; 3.2. Solving the heat equation; 3.2.1. Separation of variables. | |
| 505 | 8 | |a 3.2.2. Separation of variables in the rectangular Cartesian coordinates3.2.3. Orthogonality of functions; 3.2.4. Fourier series; 3.2.5. Sturm-Liouville problem; 3.2.6. One-dimensional homogeneous problem in a finite medium; 3.3. Solution by the method of Laplace transform; 3.3.1. Definition of the Laplace transform; 3.3.2. Properties of the Laplace transform; 3.4. Green's functions; 3.4.1. Green's function as auxiliary problem to solve diffusive problems; 3.4.2. Analysis for determination of Green's function; Chapter 4. Problems in Finance; 4.1. Basic stochastic models for stock prices. | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Business mathematics. | |
| 650 | 0 | |a Differential equations, Partial. | |
| 650 | 0 | |a Diffusion processes. | |
| 650 | 0 | |a Engineering mathematics. | |
| 650 | 6 | |a Mathématiques financières. | |
| 650 | 6 | |a Équations aux dérivées partielles. | |
| 650 | 6 | |a Processus de diffusion. | |
| 650 | 6 | |a Mathématiques de l'ingénieur. | |
| 650 | 7 | |a Business mathematics |2 fast | |
| 650 | 7 | |a Differential equations, Partial |2 fast | |
| 650 | 7 | |a Diffusion processes |2 fast | |
| 650 | 7 | |a Engineering mathematics |2 fast | |
| 700 | 1 | |a Manca, Oronzio. | |
| 700 | 1 | |a Manca, Raimondo. | |
| 758 | |i has work: |a Applied diffusion processes from engineering to finance (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGt983MRx7tKXgkDDWMqw3 |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |z 9781848212497 |
| 830 | 0 | |a ISTE. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1168522 |z Texto completo |
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