Applied Diffusion Processes from Engineering to Finance

The aim of this book is to promote interaction between Engineering, Finance and Insurance, as there are many models and solution methods in common for solving real-life problems in these three topics.
The authors point out the strict inter-relations that exist among the diffusion models used in Engineering, Finance and Insurance.
In each of the three fields the basic diffusion models are presented and their strong similarities are discussed. Analytical, numerical and Monte Carlo simulation methods are explained with a view to applying them to get the solutions of the different problems presented in the book. Advanced topics such as non-linear problems, Lévy processes and semi-Markov models in interactions with the diffusion models are discussed, as well as possible future interactions among Engineering, Finance and Insurance.

Keywords: Applied Mathematics, Applied Diffusion Processes from Engineering to Finance, Diffusion phenomena, diffusion theory, Numerical methods, Monte Carlo methods, Lé, vy models, Semi-Markov models, Copula methods