Stochastic Processes in Science, Engineering and Finance

Stochastic Processes in Science, Engineering and Finance
Title Stochastic Processes in Science, Engineering and Finance PDF eBook
Author Frank Beichelt
Publisher CRC Press
Pages 438
Release 2006-02-22
Genre Mathematics
ISBN 9781420010459

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This book presents a self-contained introduction to stochastic processes with emphasis on their applications in science, engineering, finance, computer science, and operations research. It provides theoretical foundations for modeling time-dependent random phenomena in these areas and illustrates their application by analyzing numerous practical examples. The treatment assumes few prerequisites, requiring only the standard mathematical maturity acquired by undergraduate applied science students. It includes an introductory chapter that summarizes the basic probability theory needed as background. Numerous exercises reinforce the concepts and techniques discussed and allow readers to assess their grasp of the subject. Solutions to most of the exercises are provided in an appendix. While focused primarily on practical aspects, the presentation includes some important proofs along with more challenging examples and exercises for those more theoretically inclined. Mastering the contents of this book prepares readers to apply stochastic modeling in their own fields and enables them to work more creatively with software designed for dealing with the data analysis aspects of stochastic processes.

Stochastic Processes with Applications to Finance

Stochastic Processes with Applications to Finance
Title Stochastic Processes with Applications to Finance PDF eBook
Author Masaaki Kijima
Publisher CRC Press
Pages 345
Release 2016-04-19
Genre Business & Economics
ISBN 1439884846

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Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott
Title Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott PDF eBook
Author Samuel N Cohen
Publisher World Scientific
Pages 605
Release 2012-08-10
Genre Mathematics
ISBN 9814483915

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This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

An Introduction to Continuous-Time Stochastic Processes

An Introduction to Continuous-Time Stochastic Processes
Title An Introduction to Continuous-Time Stochastic Processes PDF eBook
Author Vincenzo Capasso
Publisher Springer Science & Business Media
Pages 348
Release 2008-01-03
Genre Mathematics
ISBN 0817644288

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This concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. Balancing theory and applications, the authors use stochastic methods and concrete examples to model real-world problems from engineering, biomathematics, biotechnology, and finance. Suitable as a textbook for graduate or advanced undergraduate courses, the work may also be used for self-study or as a reference. The book will be of interest to students, pure and applied mathematicians, and researchers or practitioners in mathematical finance, biomathematics, physics, and engineering.

Solutions Manual for Stochastic Processes in Science, Engineering And Finance

Solutions Manual for Stochastic Processes in Science, Engineering And Finance
Title Solutions Manual for Stochastic Processes in Science, Engineering And Finance PDF eBook
Author Frank Beichelt
Publisher Chapman & Hall
Pages 115
Release 2006-01-16
Genre Mathematics
ISBN 9781584886396

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Stochastic Processes with Applications to Finance, Second Edition

Stochastic Processes with Applications to Finance, Second Edition
Title Stochastic Processes with Applications to Finance, Second Edition PDF eBook
Author Masaaki Kijima
Publisher CRC Press
Pages 346
Release 2013-04-18
Genre Business & Economics
ISBN 143988482X

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Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools that are easy to understand even for those with little mathematical expertise. This second edition covers several important developments in the financial industry. New to the Second Edition A chapter on the change of measures and pricing of insurance products Many examples of the change of measure technique, including its use in asset pricing theory A section on the use of copulas, especially in the pricing of CDOs Two chapters that offer more coverage of interest rate derivatives and credit derivatives Exploring the merge of actuarial science and financial engineering, this edition examines how the pricing of insurance products, such as equity-linked annuities, requires knowledge of asset pricing theory since the equity index can be traded in the market. The book looks at the development of many probability transforms for pricing insurance risks, including the Esscher transform. It also describes how the copula model is used to model the joint distribution of underlying assets. By presenting significant results in discrete processes and showing how to transfer the results to their continuous counterparts, this text imparts an accessible, practical understanding of the subject. It helps readers not only grasp the theory of financial engineering, but also implement the theory in business.

Stochastic Processes and Their Applications

Stochastic Processes and Their Applications
Title Stochastic Processes and Their Applications PDF eBook
Author Frank Beichelt
Publisher CRC Press
Pages 342
Release 2001-10-18
Genre Mathematics
ISBN 9780415272322

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This book introduces stochastic processes and their applications for students in engineering, industrial statistics, science, operations research, business, and finance. It provides the theoretical foundations for modeling time-dependent random phenomena encountered in these disciplines. Through numerous science and engineering-based examples and exercises, the author presents the subject in a comprehensible, practically oriented way, but he also includes some important proofs and theoretically challenging examples and exercises that will appeal to more mathematically minded readers. Solutions to most of the exercises are included either in an appendix or within the text.