Editor's note: As the following article is a chapter (Chapter 8) from David Koenig's book, Practical Control Engineering: Guide for Engineers, Managers, and Practitioners (MATLAB Examples) (McGraw ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest rates ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

The Gillespie algorithm provides statistically exact methods for simulating stochastic dynamics modeled as interacting sequences of discrete events including systems of biochemical reactions or ...

Systematic study of Markov chains and some of the simpler Markov processes including renewal theory, limit theorems for Markov chains, branching processes, queuing theory, birth and death processes, ...