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Stochastic processes --- Processus stochastiques --- Stochastic processes. --- Stochastische modellen. --- Random processes --- Probabilities

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An introduction to the mathematical theory of multistage decision processes, this text takes a "functional equation" approach to the discovery of optimum policies. Written by a leading developer of such policies, it presents a series of methods, uniqueness and existence theorems, and examples for solving the relevant equations. The text examines existence and uniqueness theorems, the optimal inventory equation, bottleneck problems in multistage production processes, a new formalism in the calculus of variation, strategies behind multistage games, and Markovian decision processes. Each chapter concludes with a problem set that Eric V. Denardo of Yale University, in his informative new introduction, calls "a rich lode of applications and research topics." 1957 edition. 37 figures.

Dynamic programming --- Programmation dynamique --- Programming --- Dynamic programming. --- markov-processen --- operations research --- stochastische modellen --- Mathematical optimization --- Programming (Mathematics) --- Systems engineering

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Mathematics --- Economics --- Stochastic processes --- Probabilities --- Processus stochastiques --- Probabilités --- Periodicals. --- Périodiques --- Probabilities. --- Stochastic processes. --- Stochastische modellen. --- Business, Economy and Management --- Mathematical Sciences --- Operations Research --- Applied Mathematics

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During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Levy processes are beyond their reach. Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations.Topics covered in this book include: jump-diffusion models, Levy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms. This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations.

Stochastic processes --- Finance --- Jump processes. --- Finances --- Processus de sauts --- Mathematical models. --- Modèles mathématiques --- Jump processes --- Mathematical models --- mathematische modellen, toegepast op economie --- stochastische modellen --- opties --- risk management --- -Jump processes --- 332.01519233 --- Processes, Jump --- Markov processes --- Funding --- Funds --- Economics --- Currency question --- Modèles mathématiques --- Finance - Mathematical models

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Investments --- Options (Finance) --- Stochastic analysis --- 332.64530151922 --- beurswezen --- mathematische modellen, toegepast op economie --- opties --- stochastische modellen --- 305.971 --- AA / International- internationaal --- Analysis, Stochastic --- Mathematical analysis --- Stochastic processes --- Mathematics of investment --- Business mathematics --- Mathematics --- Mathematical models --- Speciale gevallen in econometrische modelbouw --- Investments - Mathematics --- Options (Finance) - Mathematical models