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Applied diffusion processes from engineering to finance [[electronic resource] /] / Jacques Janssen, Oronzio Manca, Raimando Manca
| Applied diffusion processes from engineering to finance [[electronic resource] /] / Jacques Janssen, Oronzio Manca, Raimando Manca |
| Autore | Janssen Jacques |
| Pubbl/distr/stampa | London, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (411 p.) |
| Disciplina | 519.233 |
| Altri autori (Persone) |
MancaOronzio
MancaRaimondo |
| Collana | ISTE |
| Soggetto topico |
Business mathematics
Differential equations, Partial Diffusion processes Engineering mathematics |
| ISBN |
1-118-57833-3
1-118-57834-1 1-299-47558-2 1-118-57668-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Contents; Introduction; Chapter 1. Diffusion Phenomena and Models; 1.1. General presentation of diffusion process; 1.2. General balance equations; 1.3. Heat conduction equation; 1.4. Initial and boundary conditions; Chapter 2. Probabilistic Models of Diffusion Processes; 2.1. Stochastic differentiation; 2.1.1. Definition; 2.1.2. Examples; 2.2. Itô's formula; 2.2.1. Stochastic differential of a product; 2.2.2. Itô's formula with time dependence; 2.2.3. Interpretation of Itô's formula; 2.2.4. Other extensions of Itô's formula; 2.3. Stochastic differential equations (SDE)
2.3.1. Existence and unicity general theorem (Gikhman and Skorokhod [GIK 68])2.3.2. Solution of SDE under the canonical form; 2.4. Itô and diffusion processes; 2.4.1. Itô processes; 2.4.2. Diffusion processes; 2.4.3. Kolmogorov equations; 2.5. Some particular cases of diffusion processes; 2.5.1. Reduced form; 2.5.2. The OUV (Ornstein-Uhlenbeck-Vasicek) SDE; 2.5.3. Solution of the SDE of Black-Scholes-Samuelson; 2.6. Multidimensional diffusion processes; 2.6.1. Multidimensional SDE; 2.6.2. Multidimensional Itô and diffusion processes; 2.6.3. Properties of multidimensional diffusion processes 2.6.4. Kolmogorov equations2.7. The Stroock-Varadhan martingale characterization of diffusions (Karlin and Taylor [KAR 81]); 2.8. The Feynman-Kac formula (Platen and Heath); 2.8.1. Terminal condition; 2.8.2. Discounted payoff function; 2.8.3. Discounted payoff function and payoff rate; Chapter 3. Solving Partial Differential Equations of Second Order; 3.1. Basic definitions on PDE of second order; 3.1.1. Notation; 3.1.2. Characteristics; 3.1.3. Canonical form of PDE; 3.2. Solving the heat equation; 3.2.1. Separation of variables 3.2.2. Separation of variables in the rectangular Cartesian coordinates3.2.3. Orthogonality of functions; 3.2.4. Fourier series; 3.2.5. Sturm-Liouville problem; 3.2.6. One-dimensional homogeneous problem in a finite medium; 3.3. Solution by the method of Laplace transform; 3.3.1. Definition of the Laplace transform; 3.3.2. Properties of the Laplace transform; 3.4. Green's functions; 3.4.1. Green's function as auxiliary problem to solve diffusive problems; 3.4.2. Analysis for determination of Green's function; Chapter 4. Problems in Finance; 4.1. Basic stochastic models for stock prices 4.1.1. The Black, Scholes and Samuelson model4.1.2. BSS model with deterministic variation of μ and s; 4.2. The bond investments; 4.2.1. Introduction; 4.2.2. Yield curve; 4.2.3. Yield to maturity for a financial investment and for a bond; 4.3. Dynamic deterministic continuous time model for instantaneous interest rate; 4.3.1. Instantaneous interest rate; 4.3.2. Particular cases; 4.3.3. Yield curve associated with instantaneous interest rate; 4.3.4. Examples of theoretical models; 4.4. Stochastic continuous time dynamic model for instantaneous interest rate; 4.4.1. The OUV stochastic model 4.4.2. The CIR model (1985) |
| Record Nr. | UNINA-9910139005203321 |
Janssen Jacques
|
||
| London, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applied diffusion processes from engineering to finance / / Jacques Janssen, Oronzio Manca, Raimando Manca
| Applied diffusion processes from engineering to finance / / Jacques Janssen, Oronzio Manca, Raimando Manca |
| Autore | Janssen Jacques |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | London, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (411 p.) |
| Disciplina | 519.233 |
| Altri autori (Persone) |
MancaOronzio
MancaRaimondo |
| Collana | ISTE |
| Soggetto topico |
Business mathematics
Differential equations, Partial Diffusion processes Engineering mathematics |
| ISBN |
9781118578339
1118578333 9781118578346 1118578341 9781299475588 1299475582 9781118576687 1118576683 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Contents; Introduction; Chapter 1. Diffusion Phenomena and Models; 1.1. General presentation of diffusion process; 1.2. General balance equations; 1.3. Heat conduction equation; 1.4. Initial and boundary conditions; Chapter 2. Probabilistic Models of Diffusion Processes; 2.1. Stochastic differentiation; 2.1.1. Definition; 2.1.2. Examples; 2.2. Itô's formula; 2.2.1. Stochastic differential of a product; 2.2.2. Itô's formula with time dependence; 2.2.3. Interpretation of Itô's formula; 2.2.4. Other extensions of Itô's formula; 2.3. Stochastic differential equations (SDE)
2.3.1. Existence and unicity general theorem (Gikhman and Skorokhod [GIK 68])2.3.2. Solution of SDE under the canonical form; 2.4. Itô and diffusion processes; 2.4.1. Itô processes; 2.4.2. Diffusion processes; 2.4.3. Kolmogorov equations; 2.5. Some particular cases of diffusion processes; 2.5.1. Reduced form; 2.5.2. The OUV (Ornstein-Uhlenbeck-Vasicek) SDE; 2.5.3. Solution of the SDE of Black-Scholes-Samuelson; 2.6. Multidimensional diffusion processes; 2.6.1. Multidimensional SDE; 2.6.2. Multidimensional Itô and diffusion processes; 2.6.3. Properties of multidimensional diffusion processes 2.6.4. Kolmogorov equations2.7. The Stroock-Varadhan martingale characterization of diffusions (Karlin and Taylor [KAR 81]); 2.8. The Feynman-Kac formula (Platen and Heath); 2.8.1. Terminal condition; 2.8.2. Discounted payoff function; 2.8.3. Discounted payoff function and payoff rate; Chapter 3. Solving Partial Differential Equations of Second Order; 3.1. Basic definitions on PDE of second order; 3.1.1. Notation; 3.1.2. Characteristics; 3.1.3. Canonical form of PDE; 3.2. Solving the heat equation; 3.2.1. Separation of variables 3.2.2. Separation of variables in the rectangular Cartesian coordinates3.2.3. Orthogonality of functions; 3.2.4. Fourier series; 3.2.5. Sturm-Liouville problem; 3.2.6. One-dimensional homogeneous problem in a finite medium; 3.3. Solution by the method of Laplace transform; 3.3.1. Definition of the Laplace transform; 3.3.2. Properties of the Laplace transform; 3.4. Green's functions; 3.4.1. Green's function as auxiliary problem to solve diffusive problems; 3.4.2. Analysis for determination of Green's function; Chapter 4. Problems in Finance; 4.1. Basic stochastic models for stock prices 4.1.1. The Black, Scholes and Samuelson model4.1.2. BSS model with deterministic variation of μ and s; 4.2. The bond investments; 4.2.1. Introduction; 4.2.2. Yield curve; 4.2.3. Yield to maturity for a financial investment and for a bond; 4.3. Dynamic deterministic continuous time model for instantaneous interest rate; 4.3.1. Instantaneous interest rate; 4.3.2. Particular cases; 4.3.3. Yield curve associated with instantaneous interest rate; 4.3.4. Examples of theoretical models; 4.4. Stochastic continuous time dynamic model for instantaneous interest rate; 4.4.1. The OUV stochastic model 4.4.2. The CIR model (1985) |
| Record Nr. | UNINA-9910812555803321 |
|
Janssen Jacques
|
||
| London, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Heat transfer enhancement with nanofluids / / editors, Vincenzo Bianco, Oronzio Manca, Sergio Nardini, and Kambiz Vafai
| Heat transfer enhancement with nanofluids / / editors, Vincenzo Bianco, Oronzio Manca, Sergio Nardini, and Kambiz Vafai |
| Pubbl/distr/stampa | Boca Raton : , : CRC Press, , [2015] |
| Descrizione fisica | 1 online resource (473 p.) |
| Disciplina |
621.402/2
621.4022 |
| Soggetto topico |
Heat exchangers - Fluid dynamics
Nanofluids Microfluidics |
| ISBN |
0-429-17183-8
1-138-74948-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Contents; Preface; Contributors; Chapter 1: Properties of Nanofluid; Chapter 2: Exact Solutions and Their Implications in Anomalous Heat Transfer; Chapter 3: Mechanisms and Models of Thermal Conductivity in Nanofluids; Chapter 4: Experimental Methods for the Characterization of Thermophysical Properties of Nanofluids; Chapter 5: Nanofluid Forced Convection; Chapter 6: Experimental Study of Convective Heat Transfer in Nanofluids; Chapter 7: Performance of Heat Exchangers Using Nanofluids; Chapter 8: Thermal Nanofluid Flow in Microchannels with Applications
Chapter 9: Use of Nanofluids for Heat Transfer Enhancement in Mixed ConvectionChapter 10: Buoyancy-Driven Convection of Enclosed Nanoparticle Suspensions; Chapter 11: Modeling Convection in Nanofluids; Chapter 12: Convection and Instability Phenomena in Nanofluid-Saturated Porous Media; Chapter 13: Nanofluid Two-Phase Flow and Heat Transfer; Chapter 14: Heat Pipes and Thermosyphons Operated with Nanofluids; Chapter 15: Entropy Generation Minimization in Nanofluid Flow; Chapter 16: Gas-Based Nanofluids (Nanoaerosols); Color Insert; Back Cover |
| Record Nr. | UNINA-9910788023003321 |
| Boca Raton : , : CRC Press, , [2015] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Heat transfer enhancement with nanofluids / / editors, Vincenzo Bianco, Oronzio Manca, Sergio Nardini, and Kambiz Vafai
| Heat transfer enhancement with nanofluids / / editors, Vincenzo Bianco, Oronzio Manca, Sergio Nardini, and Kambiz Vafai |
| Pubbl/distr/stampa | Boca Raton : , : CRC Press, , [2015] |
| Descrizione fisica | 1 online resource (473 p.) |
| Disciplina |
621.402/2
621.4022 |
| Soggetto topico |
Heat exchangers - Fluid dynamics
Nanofluids Microfluidics |
| ISBN |
0-429-17183-8
1-138-74948-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Contents; Preface; Contributors; Chapter 1: Properties of Nanofluid; Chapter 2: Exact Solutions and Their Implications in Anomalous Heat Transfer; Chapter 3: Mechanisms and Models of Thermal Conductivity in Nanofluids; Chapter 4: Experimental Methods for the Characterization of Thermophysical Properties of Nanofluids; Chapter 5: Nanofluid Forced Convection; Chapter 6: Experimental Study of Convective Heat Transfer in Nanofluids; Chapter 7: Performance of Heat Exchangers Using Nanofluids; Chapter 8: Thermal Nanofluid Flow in Microchannels with Applications
Chapter 9: Use of Nanofluids for Heat Transfer Enhancement in Mixed ConvectionChapter 10: Buoyancy-Driven Convection of Enclosed Nanoparticle Suspensions; Chapter 11: Modeling Convection in Nanofluids; Chapter 12: Convection and Instability Phenomena in Nanofluid-Saturated Porous Media; Chapter 13: Nanofluid Two-Phase Flow and Heat Transfer; Chapter 14: Heat Pipes and Thermosyphons Operated with Nanofluids; Chapter 15: Entropy Generation Minimization in Nanofluid Flow; Chapter 16: Gas-Based Nanofluids (Nanoaerosols); Color Insert; Back Cover |
| Record Nr. | UNINA-9910800191003321 |
| Boca Raton : , : CRC Press, , [2015] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||