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Applied Diffusion Processes From Engineering To Finance
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Book Synopsis Applied Diffusion Processes from Engineering to Finance by : Jacques Janssen
Download or read book Applied Diffusion Processes from Engineering to Finance written by Jacques Janssen and published by John Wiley & Sons. This book was released on 2013-04-08 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. 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. Lévy 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.
Book Synopsis VaR Methodology for Non-Gaussian Finance by : Marine Habart-Corlosquet
Download or read book VaR Methodology for Non-Gaussian Finance written by Marine Habart-Corlosquet and published by John Wiley & Sons. This book was released on 2013-05-06 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at risk (VaR) – one of the most popular risk indicator techniques plays a fundamental role in defining appropriate levels of equities. The aim of this book is to show how new VaR techniques can be built more appropriately for a crisis situation. VaR methodology for non-Gaussian finance looks at the importance of VaR in standard international rules for banks and insurance companies; gives the first non-Gaussian extensions of VaR and applies several basic statistical theories to extend classical results of VaR techniques such as the NP approximation, the Cornish-Fisher approximation, extreme and a Pareto distribution. Several non-Gaussian models using Copula methodology, Lévy processes along with particular attention to models with jumps such as the Merton model are presented; as are the consideration of time homogeneous and non-homogeneous Markov and semi-Markov processes and for each of these models. Contents 1. Use of Value-at-Risk (VaR) Techniques for Solvency II, Basel II and III. 2. Classical Value-at-Risk (VaR) Methods. 3. VaR Extensions from Gaussian Finance to Non-Gaussian Finance. 4. New VaR Methods of Non-Gaussian Finance. 5. Non-Gaussian Finance: Semi-Markov Models.
Book Synopsis Handbooks in Operations Research and Management Science: Financial Engineering by : John R. Birge
Download or read book Handbooks in Operations Research and Management Science: Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Book Synopsis Recent Advances in Financial Engineering by : Masaaki Kijima
Download or read book Recent Advances in Financial Engineering written by Masaaki Kijima and published by World Scientific. This book was released on 2011 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU).The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers ? all refereed ? representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing.
Book Synopsis Controlled Branching Processes by : Miguel González Velasco
Download or read book Controlled Branching Processes written by Miguel González Velasco and published by John Wiley & Sons. This book was released on 2018-03-13 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to provide a comprehensive discussion of the available results for discrete time branching processes with random control functions. The independence of individuals’ reproduction is a fundamental assumption in the classical branching processes. Alternatively, the controlled branching processes (CBPs) allow the number of reproductive individuals in one generation to decrease or increase depending on the size of the previous generation. Generating a wide range of behaviors, the CBPs have been successfully used as modeling tools in diverse areas of applications.
Book Synopsis Numerical Methods for Inverse Problems by : Michel Kern
Download or read book Numerical Methods for Inverse Problems written by Michel Kern and published by John Wiley & Sons. This book was released on 2016-03-31 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book studies methods to concretely address inverse problems. An inverse problem arises when the causes that produced a given effect must be determined or when one seeks to indirectly estimate the parameters of a physical system. The author uses practical examples to illustrate inverse problems in physical sciences. He presents the techniques and specific methods chosen to solve inverse problems in a general domain of application, choosing to focus on a small number of methods that can be used in most applications. This book is aimed at readers with a mathematical and scientific computing background. Despite this, it is a book with a practical perspective. The methods described are applicable, have been applied, and are often illustrated by numerical examples.
Book Synopsis Recent Advances in Financial Engineering 2010 by : Masaaki Kijima
Download or read book Recent Advances in Financial Engineering 2010 written by Masaaki Kijima and published by World Scientific. This book was released on 2011-06-17 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU). The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers — all refereed — representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing. Contents:The Distribution of Returns at Longer Horizons (E Eberlein & D B Madan)Two Examples of an Insider with Medium/Long Term Effects on the Underlying (H Hata & A Kohatsu-Higa)A Note on the Risk Management of CDOs (J-P Laurent)Robust No Arbitrage Condition for Continuous-time Models with Transaction Cost (E Denis)Modeling of Interest-Rate Term Structures under Collateralization and Its Implications (M Fujii & A Takahashi)On the State Variables for Optimal Portfolio Strategies in the Japanese Market (S Kamimura)The Diversity of Information Acquisition Strategies in a Noisy REE Model with a Common Signal and Independent Signals (S Kawanishi)Option Pricing with a Regime-Switching Lévy Model (C C Siu)An Empirical Analysis of Equity Market Expectations in the Financial Turmoil Using Implied Moments and Jump Diffusion Processes (Y Sugihara & N Oda)Investor Characteristics and Portfolio Value (N Takezawa)Optimal Hedging with Additive Models (Y Yamada) Readership: Students, professionals, workshop participants, organizations and societies focused on finance or operations research. Keywords:Operations Research;Financial Engineering;Management;Mathematical Modeling;Credit Risk;Real Options;Optimal Investment;Heterogeneous BeliefsKey Features:Wide coverage of the research themesContains the most updated research resultsNumerous global contributions
Book Synopsis Convex Optimization by : Mikhail Moklyachuk
Download or read book Convex Optimization written by Mikhail Moklyachuk and published by John Wiley & Sons. This book was released on 2021-01-05 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides easy access to the basic principles and methods for solving constrained and unconstrained convex optimization problems. Included are sections that cover: basic methods for solving constrained and unconstrained optimization problems with differentiable objective functions; convex sets and their properties; convex functions and their properties and generalizations; and basic principles of sub-differential calculus and convex programming problems. Convex Optimization provides detailed proofs for most of the results presented in the book and also includes many figures and exercises for a better understanding of the material. Exercises are given at the end of each chapter, with solutions and hints to selected exercises given at the end of the book. Undergraduate and graduate students, researchers in different disciplines, as well as practitioners will all benefit from this accessible approach to convex optimization methods.
Book Synopsis Machine Learning for Asset Management by : Emmanuel Jurczenko
Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-07-16 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Chi-squared Goodness-of-fit Tests for Censored Data by : Mikhail S. Nikulin
Download or read book Chi-squared Goodness-of-fit Tests for Censored Data written by Mikhail S. Nikulin and published by John Wiley & Sons. This book was released on 2017-06-29 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the problems of construction and application of chi-squared goodness-of-fit tests for complete and censored data. Classical chi-squared tests assume that unknown distribution parameters are estimated using grouped data, but in practice this assumption is often forgotten. In this book, we consider modified chi-squared tests, which do not suffer from such a drawback. The authors provide examples of chi-squared tests for various distributions widely used in practice, and also consider chi-squared tests for the parametric proportional hazards model and accelerated failure time model, which are widely used in reliability and survival analysis. Particular attention is paid to the choice of grouping intervals and simulations. This book covers recent innovations in the field as well as important results previously only published in Russian. Chi-squared tests are compared with other goodness-of-fit tests (such as the Cramer-von Mises-Smirnov, Anderson-Darling and Zhang tests) in terms of power when testing close competing hypotheses.
Book Synopsis Stochastic Risk Analysis and Management by : Boris Harlamov
Download or read book Stochastic Risk Analysis and Management written by Boris Harlamov and published by John Wiley & Sons. This book was released on 2017-02-08 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author investigates the Cramer –Lundberg model, collecting the most interesting theorems and methods, which estimate probability of default for a company of insurance business. These offer different kinds of approximate values for probability of default on the base of normal and diffusion approach and some special asymptotic.
Book Synopsis Interpolation and Extrapolation Optimal Designs 2 by : Giorgio Celant
Download or read book Interpolation and Extrapolation Optimal Designs 2 written by Giorgio Celant and published by John Wiley & Sons. This book was released on 2017-04-11 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book considers various extensions of the topics treated in the first volume of this series, in relation to the class of models and the type of criterion for optimality. The regressors are supposed to belong to a generic finite dimensional Haar linear space, which substitutes for the classical polynomial case. The estimation pertains to a general linear form of the coefficients of the model, extending the interpolation and extrapolation framework; the errors in the model may be correlated, and the model may be heteroscedastic. Non-linear models, as well as multivariate ones, are briefly discussed. The book focuses to a large extent on criteria for optimality, and an entire chapter presents algorithms leading to optimal designs in multivariate models. Elfving’s theory and the theorem of equivalence are presented extensively. The volume presents an account of the theory of the approximation of real valued functions, which makes it self-consistent.
Book Synopsis Banach, Frechet, Hilbert and Neumann Spaces by : Jacques Simon
Download or read book Banach, Frechet, Hilbert and Neumann Spaces written by Jacques Simon and published by John Wiley & Sons. This book was released on 2017-05-24 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first of a set dedicated to the mathematical tools used in partial differential equations derived from physics. Its focus is on normed or semi-normed vector spaces, including the spaces of Banach, Fréchet and Hilbert, with new developments on Neumann spaces, but also on extractable spaces. The author presents the main properties of these spaces, which are useful for the construction of Lebesgue and Sobolev distributions with real or vector values and for solving partial differential equations. Differential calculus is also extended to semi-normed spaces. Simple methods, semi-norms, sequential properties and others are discussed, making these tools accessible to the greatest number of students – doctoral students, postgraduate students – engineers and researchers without restricting or generalizing the results.
Book Synopsis Interpolation and Extrapolation Optimal Designs V1 by : Giorgio Celant
Download or read book Interpolation and Extrapolation Optimal Designs V1 written by Giorgio Celant and published by John Wiley & Sons. This book was released on 2016-03-31 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first of a series which focuses on the interpolation and extrapolation of optimal designs, an area with significant applications in engineering, physics, chemistry and most experimental fields. In this volume, the authors emphasize the importance of problems associated with the construction of design. After a brief introduction on how the theory of optimal designs meets the theory of the uniform approximation of functions, the authors introduce the basic elements to design planning and link the statistical theory of optimal design and the theory of the uniform approximation of functions. The appendices provide the reader with material to accompany the proofs discussed throughout the book.
Book Synopsis Mathematics and Philosophy by : Daniel Parrochia
Download or read book Mathematics and Philosophy written by Daniel Parrochia and published by John Wiley & Sons. This book was released on 2018-05-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, which studies the links between mathematics and philosophy, highlights a reversal. Initially, the (Greek) philosophers were also mathematicians (geometers). Their vision of the world stemmed from their research in this field (rational and irrational numbers, problem of duplicating the cube, trisection of the angle...). Subsequently, mathematicians freed themselves from philosophy (with Analysis, differential Calculus, Algebra, Topology, etc.), but their researches continued to inspire philosophers (Descartes, Leibniz, Hegel, Husserl, etc.). However, from a certain level of complexity, the mathematicians themselves became philosophers (a movement that begins with Wronsky and Clifford, and continues until Grothendieck).
Book Synopsis Fractional Brownian Motion by : Oksana Banna
Download or read book Fractional Brownian Motion written by Oksana Banna and published by John Wiley & Sons. This book was released on 2019-04-10 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph studies the relationships between fractional Brownian motion (fBm) and other processes of more simple form. In particular, this book solves the problem of the projection of fBm onto the space of Gaussian martingales that can be represented as Wiener integrals with respect to a Wiener process. It is proved that there exists a unique martingale closest to fBm in the uniform integral norm. Numerical results concerning the approximation problem are given. The upper bounds of distances from fBm to the different subspaces of Gaussian martingales are evaluated and the numerical calculations are involved. The approximations of fBm by a uniformly convergent series of Lebesgue integrals, semimartingales and absolutely continuous processes are presented. As auxiliary but interesting results, the bounds from below and from above for the coefficient appearing in the representation of fBm via the Wiener process are established and some new inequalities for Gamma functions, and even for trigonometric functions, are obtained.
Book Synopsis Innovation Capability Maturity Model by : Patrick Corsi
Download or read book Innovation Capability Maturity Model written by Patrick Corsi and published by John Wiley & Sons. This book was released on 2015-05-04 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whilst innovation remains of course an approach, a process, and is still often even reduced to a set of results, it essentially reflects a way of thinking evolution. Time is up for varying the thinking methods according to capacities and learned and available competencies with a view to change… the thinking level. No domain and no sector is immune to this transformation in todays’ world Having clarified our ideas through this book, we remain ever more convinced that the leveled maturity approach will lead to real advances in innovation over the 2020 years. Hence the competitive capacities of organizations must evolve. As we strive in our quest for new inspiration sources in business, let us reckon that all is bound to evolving… including the way to evolve. In that resides the very capacity to innovate.
