Applications of Stochastic Models in Finance.

      Аннотация: This note contains some applications of stochastic models in finance. For example, we survey Markov Decision Processes, Bayesian Networks, Adaptive Control, Black-Scholes Pricing methods. This note involves the change point analysis in some financial models, risk management, portfolio selection and credit scoring in financial institutions. Some papers are too short, however, we have studied an observation.

Ключевые слова: filtering, KALMAN, Diffusion process, filtering, KALMAN, Diffusion process