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Applied diffusion processes from engineering to finance

By: Contributor(s): Material type: TextTextSeries: Applied Stochastic Methods SeriesPublication details: Hoboken Wiley 2013Description: xv, 391 pISBN:
  • 9781848212497
Subject(s): DDC classification:
  • 519.233 J2A7
Summary: 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, 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.
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Books Vikram Sarabhai Library Rack 28-B / Slot 1403 (0 Floor, East Wing) Non-fiction General Stacks 519.233 J2A7 (Browse shelf(Opens below)) Available 181004

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, 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.

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