Summary |
The purpose of this book is twofold, First, to present at an introductory level, some essential stochastic models applied in economics, finance and insurance. Essentially we use Markov chains, random walks, stochastic differential equations and other stochastic processes which we apply to economic and finance applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems.
The contents of the book includes below:
1. Dynamics, Stochastic Models and Uncertainty
2. Modelling : Markov Chains and Markov processes
3. Random walks and stochastic differential equations
4. Jump processes and special problems
5. Memory, volatility models and the range process
6. Dynamic optimization
7. Numerical and optimization techniques
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