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【金融と保険のための応用確率モデル】

Applied Stochastic Models and Control for Finance and Insurance 1998th ed. H XIII, 341 p. 98

Tapiero, Charles S.  著

在庫状況 海外在庫有り  お届け予定日 1ヶ月  数量 冊 
価格 \45,788(税込)         

発行年月 1998年04月
出版社/提供元
出版国 アメリカ合衆国
言語 英語
媒体 冊子
装丁 hardcover
ページ数/巻数 XIII, 341 p.
ジャンル 洋書/社会科学/経済学/金融経済学
ISBN 9780792381488
商品コード 0209827344
本の性格 学術書
商品URL
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https://kw.maruzen.co.jp/ims/itemDetail.html?itmCd=0209827344

内容

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.

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