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Applied diffusion processes from engineering to finance.


Applied diffusion processes from engineering to finance.

Janssen, Jacques and Oronzio Manca, Raimondo Manca.



393 pages



Applied stochastic methods series


Janssen (honorary, Solvay Business School, Belgium), O. Manca (thermal sciences, Seconda U. degli Studi di Napoli, Italy), and R. Manca (mathematics of economics, finance, and actuarial science; U. of Rome "La Sapienza") show how partial differential equations can link the fields of engineering, physics, and finance. Among the topics are probabilistic models of diffusion processes, exotic and American options pricing theory, hitting times for diffusion processes and stochastic models in insurance, Levy processes, and Monte Carlo semi-Markov simulation methods. Professionals in any of the three fields who have a good knowledge of probability theory could find the material useful.

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Publication:Reference & Research Book News
Article Type:Book review
Date:Aug 1, 2013
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