Author: Charles S. Tapiero
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description

Author: Charles S. Tapiero
Publisher: Springer Science & Business Media
ISBN: 1461558239
Category : Business & Economics
Languages : en
Pages : 352

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Book Description
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.

Author: George Yin
Publisher: Springer
ISBN: 3030254984
Category : Mathematics
Languages : en
Pages : 599

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Book Description
This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.

Author: Quan-Lin Li
Publisher: Springer Science & Business Media
ISBN: 364211492X
Category : Mathematics
Languages : en
Pages : 693

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Book Description
"Constructive Computation in Stochastic Models with Applications: The RG-Factorizations" provides a unified, constructive and algorithmic framework for numerical computation of many practical stochastic systems. It summarizes recent important advances in computational study of stochastic models from several crucial directions, such as stationary computation, transient solution, asymptotic analysis, reward processes, decision processes, sensitivity analysis as well as game theory. Graduate students, researchers and practicing engineers in the field of operations research, management sciences, applied probability, computer networks, manufacturing systems, transportation systems, insurance and finance, risk management and biological sciences will find this book valuable. Dr. Quan-Lin Li is an Associate Professor at the Department of Industrial Engineering of Tsinghua University, China.

Author: Fouad El Ouardighi
Publisher: Springer Science & Business Media
ISBN: 331900669X
Category : Business & Economics
Languages : en
Pages : 254

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Book Description
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.

Author: Suresh P. Sethi
Publisher: Springer Nature
ISBN: 3030917452
Category : Business & Economics
Languages : en
Pages : 520

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Book Description
This new 4th edition offers an introduction to optimal control theory and its diverse applications in management science and economics. It introduces students to the concept of the maximum principle in continuous (as well as discrete) time by combining dynamic programming and Kuhn-Tucker theory. While some mathematical background is needed, the emphasis of the book is not on mathematical rigor, but on modeling realistic situations encountered in business and economics. It applies optimal control theory to the functional areas of management including finance, production and marketing, as well as the economics of growth and of natural resources. In addition, it features material on stochastic Nash and Stackelberg differential games and an adverse selection model in the principal-agent framework. Exercises are included in each chapter, while the answers to selected exercises help deepen readers’ understanding of the material covered. Also included are appendices of supplementary material on the solution of differential equations, the calculus of variations and its ties to the maximum principle, and special topics including the Kalman filter, certainty equivalence, singular control, a global saddle point theorem, Sethi-Skiba points, and distributed parameter systems. Optimal control methods are used to determine optimal ways to control a dynamic system. The theoretical work in this field serves as the foundation for the book, in which the author applies it to business management problems developed from his own research and classroom instruction. The new edition has been refined and updated, making it a valuable resource for graduate courses on applied optimal control theory, but also for financial and industrial engineers, economists, and operational researchers interested in applying dynamic optimization in their fields.

Author: Anil G Ladde
Publisher: World Scientific Publishing Company
ISBN: 9814397393
Category : Mathematics
Languages : en
Pages : 636

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Book Description
Volume 1: Deterministic Modeling, Methods and Analysis For more than half a century, stochastic calculus and stochastic differential equations have played a major role in analyzing the dynamic phenomena in the biological and physical sciences, as well as engineering. The advancement of knowledge in stochastic differential equations is spreading rapidly across the graduate and postgraduate programs in universities around the globe. This will be the first available book that can be used in any undergraduate/graduate stochastic modeling/applied mathematics courses and that can be used by an interdisciplinary researcher with a minimal academic background. An Introduction to Differential Equations: Volume 2 is a stochastic version of Volume 1 (“An Introduction to Differential Equations: Deterministic Modeling, Methods and Analysis”). Both books have a similar design, but naturally, differ by calculi. Again, both volumes use an innovative style in the presentation of the topics, methods and concepts with adequate preparation in deterministic Calculus. Errata Errata (32 KB)

Author: Howard M. Taylor
Publisher: Academic Press
ISBN: 1483269272
Category : Mathematics
Languages : en
Pages : 410

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Book Description
An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.

Author: David D. Yao
Publisher: Springer Science & Business Media
ISBN: 0387217576
Category : Business & Economics
Languages : en
Pages : 472

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Book Description
This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.

Author: Alain Bensoussan
Publisher: Springer
ISBN: 3319075241
Category : Business & Economics
Languages : en
Pages : 315

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Book Description
This book provides a perspective on a number of approaches to financial modelling and risk management. It examines both theoretical and practical issues. Theoretically, financial risks models are models of a real and a financial “uncertainty”, based on both common and private information and economic theories defining the rules that financial markets comply to. Financial models are thus challenged by their definitions and by a changing financial system fueled by globalization, technology growth, complexity, regulation and the many factors that contribute to rendering financial processes to be continuously questioned and re-assessed. The underlying mathematical foundations of financial risks models provide future guidelines for risk modeling. The book’s chapters provide selective insights and developments that can contribute to better understand the complexity of financial modelling and its ability to bridge financial theories and their practice. Future Perspectives in Risk Models and Finance begins with an extensive outline by Alain Bensoussan et al. of GLM estimation techniques combined with proofs of fundamental results. Applications to static and dynamic models provide a unified approach to the estimation of nonlinear risk models. A second section is concerned with the definition of risks and their management. In particular, Guegan and Hassani review a number of risk models definition emphasizing the importance of bi-modal distributions for financial regulation. An additional chapter provides a review of stress testing and their implications. Nassim Taleb and Sandis provide an anti-fragility approach based on “skin in the game”. To conclude, Raphael Douady discusses the noncyclical CAR (Capital Adequacy Rule) and their effects of aversion of systemic risks. A third section emphasizes analytic financial modelling approaches and techniques. Tapiero and Vallois provide an overview of mathematical systems and their use in financial modeling. These systems span the fundamental Arrow-Debreu framework underlying financial models of complete markets and subsequently, mathematical systems departing from this framework but yet generalizing their approach to dynamic financial models. Explicitly, models based on fractional calculus, on persistence (short memory) and on entropy-based non-extensiveness. Applications of these models are used to define a modeling approach to incomplete financial models and their potential use as a “measure of incompleteness”. Subsequently Bianchi and Pianese provide an extensive overview of multi-fractional models and their important applications to Asset price modeling. Finally, Tapiero and Jinquyi consider the binomial pricing model by discussing the effects of memory on the pricing of asset prices.