Janssen / Manca Applied Diffusion Processes from Engineering to Finance

1. Auflage 2013
ISBN: 978-1-118-57668-7
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 416 Seiten, E-Book

The aim of this book is to promote interaction betweenengineering, finance and insurance, as these three domains havemany models and methods of solution in common for solving real-lifeproblems. The authors point out the strict inter-relations thatexist among the diffusion models used in engineering, finance andinsurance. In each of the three fields, the basic diffusion modelsare presented and their strong similarities are discussed.Analytical, numerical and Monte Carlo simulation methods areexplained with a view to applying them to obtain the solutions tothe different problems presented in the book. Advanced topics suchas nonlinear problems, Lévy processes and semi-Markov modelsin interactions with the diffusion models are discussed, as well aspossible future interactions among engineering, finance andinsurance.
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 inInsurance.
8. Numerical Methods.
9. Advanced Topics in Engineering: Nonlinear Models.
10. Lévy Processes.
11. Advanced Topics in Insurance: Copula Models and VaRTechniques.
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 BusinessSchool (ULB) in Brussels, Belgium, having previously taught atEURIA (Euro-Institut d'Actuariat, University of WestBrittany, Brest, France) and Télécom-Bretagne (Brest,France) as well as being a director of Jacan Insurance and FinanceServices, a consultancy and training company.
Oronzio Manca is Professor of thermal sciences at SecondaUniversità degli Studi di Napoli in Italy. He is currentlyAssociate Editor of ASME Journal of Heat Transfer and Journal ofPorous Media and a member of the editorial advisory boards for TheOpen Thermodynamics Journal, Advances in Mechanical Engineering,The Open Fuels & Energy Science Journal.
Raimondo Manca is Professor of mathematical methods applied toeconomics, finance and actuarial science at University of Rome"La Sapienza" in Italy. He is associate editor for thejournal Methodology and Computing in Applied Probability. His mainresearch interests are multidimensional linear algebra,computational probability, application of stochastic processes toeconomics, finance and insurance and simulation models.

Autoren/Hrsg.

Janssen, Jacques

Manca, Oronzio

Manca, Raimondo

Inhaltsverzeichnis

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

Über Autor(innen)

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 Università 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.