Applied Stochastic Models And Control For Finance And Insurance

Applied Stochastic Models And Control For Finance And Insurance Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Applied Stochastic Models And Control For Finance And Insurance book. This book definitely worth reading, it is an incredibly well-written.

Applied Stochastic Models and Control for Finance and Insurance

Charles S. Tapiero
Applied Stochastic Models and Control for Finance and Insurance Book PDF

Author : Charles S. Tapiero
Publisher : Springer Science & Business Media
Page : 352 pages
File Size : 41,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461558231

Get Book

Applied Stochastic Models and Control for Finance and Insurance by Charles S. Tapiero Pdf

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 in Management

Charles S. Tapiero
Applied Stochastic Models and Control in Management Book PDF

Author : Charles S. Tapiero
Publisher : North Holland
Page : 326 pages
File Size : 49,7 Mb
Release : 1988-01-01
Category : Business & Economics
ISBN : 0444703624

Get Book

Applied Stochastic Models and Control in Management by Charles S. Tapiero Pdf

Applied Stochastic Models and Control in Management bridges a gap between the evolving domains of stochastic model building, dynamic systems optimization and their applications to managerial decision-making problems. The volume presents a large number of applications, covering production and operations management, marketing, finance and insurance, as well as a collection of problems dealing with quality, and resource management. In addition, the book explains and outlines the kind of tools that are necessary for the solution of such problems.

Introductory Stochastic Analysis for Finance and Insurance

X. Sheldon Lin,Society of Actuaries
Introductory Stochastic Analysis for Finance and Insurance Book PDF

Author : X. Sheldon Lin,Society of Actuaries
Publisher : John Wiley & Sons
Page : 224 pages
File Size : 43,5 Mb
Release : 2006-04-21
Category : Mathematics
ISBN : 9780471793205

Get Book

Introductory Stochastic Analysis for Finance and Insurance by X. Sheldon Lin,Society of Actuaries Pdf

Incorporates the many tools needed for modeling and pricing infinance and insurance Introductory Stochastic Analysis for Finance and Insuranceintroduces readers to the topics needed to master and use basicstochastic analysis techniques for mathematical finance. The authorpresents the theories of stochastic processes and stochasticcalculus and provides the necessary tools for modeling and pricingin finance and insurance. Practical in focus, the book's emphasisis on application, intuition, and computation, rather thantheory. Consequently, the text is of interest to graduate students,researchers, and practitioners interested in these areas. While thetext is self-contained, an introductory course in probabilitytheory is beneficial to prospective readers. This book evolved from the author's experience as an instructor andhas been thoroughly classroom-tested. Following an introduction,the author sets forth the fundamental information and tools neededby researchers and practitioners working in the financial andinsurance industries: * Overview of Probability Theory * Discrete-Time stochastic processes * Continuous-time stochastic processes * Stochastic calculus: basic topics The final two chapters, Stochastic Calculus: Advanced Topics andApplications in Insurance, are devoted to more advanced topics.Readers learn the Feynman-Kac formula, the Girsanov's theorem, andcomplex barrier hitting times distributions. Finally, readersdiscover how stochastic analysis and principles are applied inpractice through two insurance examples: valuation of equity-linkedannuities under a stochastic interest rate environment andcalculation of reserves for universal life insurance. Throughout the text, figures and tables are used to help simplifycomplex theory and pro-cesses. An extensive bibliography opens upadditional avenues of research to specialized topics. Ideal for upper-level undergraduate and graduate students, thistext is recommended for one-semester courses in stochastic financeand calculus. It is also recommended as a study guide forprofessionals taking Causality Actuarial Society (CAS) and Societyof Actuaries (SOA) actuarial examinations.

Stochastic Control in Insurance

Hanspeter Schmidli
Stochastic Control in Insurance Book PDF

Author : Hanspeter Schmidli
Publisher : Springer Science & Business Media
Page : 263 pages
File Size : 42,8 Mb
Release : 2007-11-20
Category : Business & Economics
ISBN : 9781848000032

Get Book

Stochastic Control in Insurance by Hanspeter Schmidli Pdf

Yet again, here is a Springer volume that offers readers something completely new. Until now, solved examples of the application of stochastic control to actuarial problems could only be found in journals. Not any more: this is the first book to systematically present these methods in one volume. The author starts with a short introduction to stochastic control techniques, then applies the principles to several problems. These examples show how verification theorems and existence theorems may be proved, and that the non-diffusion case is simpler than the diffusion case. Schmidli’s brilliant text also includes a number of appendices, a vital resource for those in both academic and professional settings.

Engineering Risk and Finance

Charles S. Tapiero
Engineering Risk and Finance Book PDF

Author : Charles S. Tapiero
Publisher : Springer Science & Business Media
Page : 518 pages
File Size : 51,8 Mb
Release : 2013-02-13
Category : Business & Economics
ISBN : 9781461462347

Get Book

Engineering Risk and Finance by Charles S. Tapiero Pdf

Risk models are models of uncertainty, engineered for some purposes. They are “educated guesses and hypotheses” assessed and valued in terms of well-defined future states and their consequences. They are engineered to predict, to manage countable and accountable futures and to provide a frame of reference within which we may believe that “uncertainty is tamed”. Quantitative-statistical tools are used to reconcile our information, experience and other knowledge with hypotheses that both serve as the foundation of risk models and also value and price risk. Risk models are therefore common to most professions, each with its own methods and techniques based on their needs, experience and a wisdom accrued over long periods of time. This book provides a broad and interdisciplinary foundation to engineering risks and to their financial valuation and pricing. Risk models applied in industry and business, heath care, safety, the environment and regulation are used to highlight their variety while financial valuation techniques are used to assess their financial consequences. This book is technically accessible to all readers and students with a basic background in probability and statistics (with 3 chapters devoted to introduce their elements). Principles of risk measurement, valuation and financial pricing as well as the economics of uncertainty are outlined in 5 chapters with numerous examples and applications. New results, extending classical models such as the CCAPM are presented providing insights to assess the risks and their price in an interconnected, dependent and strategic economic environment. In an environment departing from the fundamental assumptions we make regarding financial markets, the book provides a strategic/game-like approach to assess the risk and the opportunities that such an environment implies. To control these risks, a strategic-control approach is developed that recognizes that many risks resulting by “what we do” as well as “what others do”. In particular we address the strategic and statistical control of compliance in large financial institutions confronted increasingly with a complex and far more extensive regulation.

Stochastic Modeling in Economics and Finance

Jitka Dupacova,J. Hurt,J. Stepan
Stochastic Modeling in Economics and Finance Book PDF

Author : Jitka Dupacova,J. Hurt,J. Stepan
Publisher : Springer Science & Business Media
Page : 394 pages
File Size : 46,8 Mb
Release : 2002-08-31
Category : Business & Economics
ISBN : 9781402008405

Get Book

Stochastic Modeling in Economics and Finance by Jitka Dupacova,J. Hurt,J. Stepan Pdf

Unlike other books that focus only on selected specific subjects this book provides both a broad and rich cross-section of contemporary approaches to stochastic modeling in finance and economics; it is decision making oriented. The material ranges from common tools to solutions of sophisticated system problems and applications. In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study. Selected examples of successful applications in finance, production planning and management of technological processes and electricity generation are presented. Throughout, the emphasis is on the appropriate use of the techniques, rather than on the underlying mathematical proofs and theories. In Part IV, the sections devoted to stochastic calculus cover also more advanced topics such as DDS Theorem or extremal martingale measures, which make it possible to treat more delicate models in Mathematical Finance (complete markets, optimal control, etc.) Audience: Students and researchers in probability and statistics, econometrics, operations research and various fields of finance, economics, engineering, and insurance.

Models and Methods in Economics and Management Science

Fouad El Ouardighi,Konstantin Kogan
Models and Methods in Economics and Management Science Book PDF

Author : Fouad El Ouardighi,Konstantin Kogan
Publisher : Springer Science & Business Media
Page : 254 pages
File Size : 54,9 Mb
Release : 2013-09-16
Category : Business & Economics
ISBN : 9783319006697

Get Book

Models and Methods in Economics and Management Science by Fouad El Ouardighi,Konstantin Kogan Pdf

With this book, distinguished and notable contributors wish to honor Professor Charles S. Tapiero’s scientific achievements. Although it covers only a few of the directions Professor Tapiero has taken in his work, it presents important modern developments in theory and in diverse applications, as studied by his colleagues and followers, further advancing the topics Tapiero has been investigating. The book is divided into three parts featuring original contributions covering the following areas: general modeling and analysis; applications to marketing, economy and finance; and applications to operations and manufacturing. Professor Tapiero is among the most active researchers in control theory; in the late sixties, he started to enthusiastically promote optimal control theory along with differential games, successfully applying it to diverse problems ranging from classical operations research models to finance, risk and insurance, marketing, transportation and operations management, conflict management and game theory, engineering, regional and urban sciences, environmental economics, and organizational behavior. Over the years, Professor Tapiero has produced over 300 papers and communications and 14 books, which have had a major impact on modern theoretical and applied research. Notable among his numerous pioneering scientific contributions are the use of graph theory in the behavioral sciences, the modeling of advertising as a random walk, the resolution of stochastic zero-sum differential games, the modeling of quality control as a stochastic competitive game, and the development of impulsive control methods in management. Charles Tapiero’s creativity applies both in formulating original issues, modeling complex phenomena and solving complex mathematical problems.

Discrete-time Asset Pricing Models in Applied Stochastic Finance

P. C. G. Vassiliou
Discrete time Asset Pricing Models in Applied Stochastic Finance Book PDF

Author : P. C. G. Vassiliou
Publisher : John Wiley & Sons
Page : 296 pages
File Size : 42,5 Mb
Release : 2013-03-01
Category : Mathematics
ISBN : 9781118618660

Get Book

Discrete-time Asset Pricing Models in Applied Stochastic Finance by P. C. G. Vassiliou Pdf

Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk. These two volumes aim to provide a foundation course on applied stochastic finance. They are designed for three groups of readers: firstly, students of various backgrounds seeking a core knowledge on the subject of stochastic finance; secondly financial analysts and practitioners in the investment, banking and insurance industries; and finally other professionals who are interested in learning advanced mathematical and stochastic methods, which are basic knowledge in many areas, through finance. Volume 1 starts with the introduction of the basic financial instruments and the fundamental principles of financial modeling and arbitrage valuation of derivatives. Next, we use the discrete-time binomial model to introduce all relevant concepts. The mathematical simplicity of the binomial model also provides us with the opportunity to introduce and discuss in depth concepts such as conditional expectations and martingales in discrete time. However, we do not expand beyond the needs of the stochastic finance framework. Numerous examples, each highlighted and isolated from the text for easy reference and identification, are included. The book concludes with the use of the binomial model to introduce interest rate models and the use of the Markov chain model to introduce credit risk. This volume is designed in such a way that, among other uses, makes it useful as an undergraduate course.

Risk Finance and Asset Pricing

Charles S. Tapiero
Risk Finance and Asset Pricing Book PDF

Author : Charles S. Tapiero
Publisher : John Wiley & Sons
Page : 530 pages
File Size : 51,6 Mb
Release : 2010-09-24
Category : Business & Economics
ISBN : 9780470892381

Get Book

Risk Finance and Asset Pricing by Charles S. Tapiero Pdf

A comprehensive guide to financial engineering that stresses real-world applications Financial engineering expert Charles S. Tapiero has his finger on the pulse of shifts coming to financial engineering and its applications. With an eye toward the future, he has crafted a comprehensive and accessible book for practitioners and students of Financial Engineering that emphasizes an intuitive approach to financial and quantitative foundations in financial and risk engineering. The book covers the theory from a practitioner perspective and applies it to a variety of real-world problems. Examines the cornerstone of the explosive growth in markets worldwide Presents important financial engineering techniques to price, hedge, and manage risks in general Author heads the largest financial engineering program in the world Author Charles Tapiero wrote the seminal work Risk and Financial Management.

Information Control Problems in Manufacturing 2006

Alexandre Dolgui,Gerard Morel,Carlos Eduardo Pereira
Information Control Problems in Manufacturing 2006 Book PDF

Author : Alexandre Dolgui,Gerard Morel,Carlos Eduardo Pereira
Publisher : Elsevier
Page : 2480 pages
File Size : 49,8 Mb
Release : 2011-10-10
Category : Technology & Engineering
ISBN : 0080478484

Get Book

Information Control Problems in Manufacturing 2006 by Alexandre Dolgui,Gerard Morel,Carlos Eduardo Pereira Pdf

Information Control Problems in Manufacturing 2006 contains the Proceedings of the 12th IFAC Symposium on Information Control Problems in Manufacturing (INCOM'2006). This symposium took place in Saint Etienne, France, on May 17-19 2006. INCOM is a tri-annual event of symposia series organized by IFAC and it is promoted by the IFAC Technical Committee on Manufacturing Plant Control. The purpose of the symposium INCOM'2006 was to offer a forum to present the state-of-the-art in international research and development work, with special emphasis on the applications of optimisation methods, automation and IT technologies in the control of manufacturing plants and the entire supply chain within the enterprise. The symposium stressed the scientific challenges and issues, covering the whole product and processes life cycle, from the design through the manufacturing and maintenance, to the distribution and service. INCOM'2006 Technical Program also included a special event on Innovative Engineering Techniques in Healthcare Delivery. The application of engineering and IT methods in medicine is a rapidly growing field with many opportunities for innovation. The Proceedings are composed of 3 volumes: Volume 1 - Information Systems, Control & Interoperability Volume 2 - Industrial Engineering Volume 3 - Operational Research * 3-volume set, containing 362 carefully reviewed and selected papers * presenting the state-of-the-art in international research and development in Information Control problems in Manufacturing

Optimal Control and Dynamic Games

Christophe Deissenberg,Richard F. Hartl
Optimal Control and Dynamic Games Book PDF

Author : Christophe Deissenberg,Richard F. Hartl
Publisher : Springer Science & Business Media
Page : 344 pages
File Size : 41,5 Mb
Release : 2006-03-30
Category : Business & Economics
ISBN : 9780387258058

Get Book

Optimal Control and Dynamic Games by Christophe Deissenberg,Richard F. Hartl Pdf

Optimal Control and Dynamic Games has been edited to honor the outstanding contributions of Professor Suresh Sethi in the fields of Applied Optimal Control. Professor Sethi is internationally one of the foremost experts in this field. He is, among others, co-author of the popular textbook "Sethi and Thompson: Optimal Control Theory: Applications to Management Science and Economics". The book consists of a collection of essays by some of the best known scientists in the field, covering diverse aspects of applications of optimal control and dynamic games to problems in Finance, Management Science, Economics, and Operations Research. In doing so, it provides both a state-of-the-art overview over recent developments in the field, and a reference work covering the wide variety of contemporary questions that can be addressed with optimal control tools, and demonstrates the fruitfulness of the methodology.

Stochastic Processes for Insurance and Finance

Tomasz Rolski,Hanspeter Schmidli,V. Schmidt,Jozef L. Teugels
Stochastic Processes for Insurance and Finance Book PDF

Author : Tomasz Rolski,Hanspeter Schmidli,V. Schmidt,Jozef L. Teugels
Publisher : John Wiley & Sons
Page : 680 pages
File Size : 54,6 Mb
Release : 2009-09-25
Category : Mathematics
ISBN : 9780470317884

Get Book

Stochastic Processes for Insurance and Finance by Tomasz Rolski,Hanspeter Schmidli,V. Schmidt,Jozef L. Teugels Pdf

Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference for researchers and practitioners of insurance mathematics. Building on recent and rapid developments in applied probability, the authors describe in general terms models based on Markov processes, martingales and various types of point processes. Discussing frequently asked insurance questions, the authors present a coherent overview of the subject and specifically address: The principal concepts from insurance and finance Practical examples with real life data Numerical and algorithmic procedures essential for modern insurance practices Assuming competence in probability calculus, this book will provide a fairly rigorous treatment of insurance risk theory recommended for researchers and students interested in applied probability as well as practitioners of actuarial sciences. Wiley Series in Probability and Statistics

Hidden Markov Models

Ramaprasad Bhar,Shigeyuki Hamori
Hidden Markov Models Book PDF

Author : Ramaprasad Bhar,Shigeyuki Hamori
Publisher : Springer Science & Business Media
Page : 167 pages
File Size : 54,7 Mb
Release : 2006-04-18
Category : Business & Economics
ISBN : 9781402079405

Get Book

Hidden Markov Models by Ramaprasad Bhar,Shigeyuki Hamori Pdf

Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. Although the hidden Markov processes have been widely employed for some time in many engineering applications e.g. speech recognition, its effectiveness has now been recognized in areas of social science research as well. The main aim of Hidden Markov Models: Applications to Financial Economics is to make such techniques available to more researchers in financial economics. As such we only cover the necessary theoretical aspects in each chapter while focusing on real life applications using contemporary data mainly from OECD group of countries. The underlying assumption here is that the researchers in financial economics would be familiar with such application although empirical techniques would be more traditional econometrics. Keeping the application level in a more familiar level, we focus on the methodology based on hidden Markov processes. This will, we believe, help the reader to develop more in-depth understanding of the modeling issues thereby benefiting their future research.

Macroeconomic Analysis and Parametric Control of a Regional Economic Union

Abdykappar A. Ashimov,Yuriy V. Borovskiy,Dmitry A. Novikov,Bakyt T. Sultanov,Mukhit A. Onalbekov
Macroeconomic Analysis and Parametric Control of a Regional Economic Union Book PDF

Author : Abdykappar A. Ashimov,Yuriy V. Borovskiy,Dmitry A. Novikov,Bakyt T. Sultanov,Mukhit A. Onalbekov
Publisher : Springer Nature
Page : 371 pages
File Size : 43,8 Mb
Release : 2020-02-13
Category : Business & Economics
ISBN : 9783030322052

Get Book

Macroeconomic Analysis and Parametric Control of a Regional Economic Union by Abdykappar A. Ashimov,Yuriy V. Borovskiy,Dmitry A. Novikov,Bakyt T. Sultanov,Mukhit A. Onalbekov Pdf

This book is a further development of the theory of parametric control. It includes: numerical methods of testing (verification) of software implementation of mathematical models by assessing the stability of mappings defined by the model; sufficient conditions for the existence of the solutions of some types of problems of dynamic optimization; the existence of continuous dependence of optimal values of criteria on exogenous functions and parameters; and the existence of points of bifurcation of extremals of such problems. It demonstrates that this theory offers a constructive methodology for middle-term forecasting, macroeconomic analysis and estimation of optimal values of economic characteristics on the basis of advanced global mathematical models, namely Computable General Equilibrium (CGE) Model, Dynamic Stochastic General Equilibrium (DSGE) Model, and Hybrid Econometric model. In addition, it includes conditions for the applicability of the computational experiments’ results, into practice.

Stochastic Processes, Finance and Control

Robert J. Elliot
Stochastic Processes Finance and Control Book PDF

Author : Robert J. Elliot
Publisher : World Scientific
Page : 605 pages
File Size : 50,5 Mb
Release : 2012
Category : Mathematics
ISBN : 9789814383301

Get Book

Stochastic Processes, Finance and Control by Robert J. Elliot Pdf

This Festschrift is dedicated to Robert J Elliott on the occasion of his 70th birthday It brings together a collection of chapters by distinguished and eminent scholars in the fields of stochastic processes, filtering and control, as well as their applications to mathematical finance It presents cutting edge developments in these fields and is a valuable source of references for researchers, graduate students and market practitioners in mathematical finance and financial engineering Topics include the theory of stochastic processes, differential and stochastic games, mathematical finance, filtering and control.