Advanced Stochastic Processes and their Applications (in Economics , Management and Financial Engineering)

Today in the world of economics and management, financial fields have grown rapidly. This rapid growth is due to modern financial instruments. Stochastic processes are needed to identify these tools. In this book, we will introduce time-discrete and continuous stochastic processes, such as random steps, Markov sequences, Martingale, Brownian motion, random counting processes, and Poisson process. Using stochastic processes, we model various problems in financial economics, management and financial engineering. This book also describes important issues such as stock price estimation, pricing of various options, futures contracts (using the Black-Scholes model, and other models), risk and dynamic random optimization, or optimal random control.