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, 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.
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.
Levy 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.
About the Authors
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 Telecom-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 Universita degli Studi di Napoli in
Italy. He is currently Associate Editor of ASME Journal of Heat
Transfer and Journal of Porous Media and a member of the editorial
advisory boards for The Open Thermodynamics Journal, Advances in
Mechanical Engineering, The Open Fuels & Energy Science
Journal.Raimondo Manca is Professor of mathematical methods applied
to economics, finance and actuarial science at University of Rome
"La Sapienza" in Italy. He is associate editor for the journal
Methodology and Computing in Applied Probability. His main research
interests are multidimensional linear algebra, computational
probability, application of stochastic processes to economics,
finance and insurance and simulation models.
General
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