Applied Stochastic Models and Control for Finance and Insurance

Applied Stochastic Models and Control for Finance and Insurance
Author :
Publisher : Springer Science & Business Media
Total Pages : 352
Release :
ISBN-10 : 9781461558231
ISBN-13 : 1461558239
Rating : 4/5 (239 Downloads)

Book Synopsis Applied Stochastic Models and Control for Finance and Insurance by : Charles S. Tapiero

Download or read book Applied Stochastic Models and Control for Finance and Insurance written by Charles S. Tapiero and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.


Applied Stochastic Models and Control for Finance and Insurance Related Books

Applied Stochastic Models and Control for Finance and Insurance
Language: en
Pages: 352
Authors: Charles S. Tapiero
Categories: Business & Economics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

GET EBOOK

Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance
Engineering Risk and Finance
Language: en
Pages: 518
Authors: Charles S. Tapiero
Categories: Business & Economics
Type: BOOK - Published: 2013-02-13 - Publisher: Springer Science & Business Media

GET EBOOK

Risk models are models of uncertainty, engineered for some purposes. They are “educated guesses and hypotheses” assessed and valued in terms of well-defined
Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott
Language: en
Pages: 605
Authors: Samuel N Cohen
Categories: Mathematics
Type: BOOK - Published: 2012-08-10 - Publisher: World Scientific

GET EBOOK

This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical f
Models and Methods in Economics and Management Science
Language: en
Pages: 254
Authors: Fouad El Ouardighi
Categories: Business & Economics
Type: BOOK - Published: 2013-09-16 - Publisher: Springer Science & Business Media

GET EBOOK

With this book, distinguished and notable contributors wish to honor Professor Charles S. Tapiero’s scientific achievements. Although it covers only a few of
Risk Finance and Asset Pricing
Language: en
Pages: 530
Authors: Charles S. Tapiero
Categories: Business & Economics
Type: BOOK - Published: 2010-09-24 - Publisher: John Wiley & Sons

GET EBOOK

A comprehensive guide to financial engineering that stresses real-world applications Financial engineering expert Charles S. Tapiero has his finger on the pulse