Overview
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Table of contents (7 chapters)
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Front Matter
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Back Matter
Keywords
About this book
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.
Reviews
Short Book Reviews, 19:2 (1999)
Authors and Affiliations
Bibliographic Information
Book Title: Applied Stochastic Models and Control for Finance and Insurance
Authors: Charles S. Tapiero
DOI: https://doi.org/10.1007/978-1-4615-5823-1
Publisher: Springer New York, NY
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eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media New York 1998
Hardcover ISBN: 978-0-7923-8148-8Published: 30 April 1998
Softcover ISBN: 978-1-4613-7669-9Published: 07 November 2012
eBook ISBN: 978-1-4615-5823-1Published: 06 December 2012
Edition Number: 1
Number of Pages: XIII, 341
Topics: Operations Research/Decision Theory, Finance, general, Probability Theory and Stochastic Processes