Ambit Stochastics

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Ambit Stochastics

Author : Ole E. Barndorff-Nielsen
Publisher : Springer
ISBN 13 : 3319941291
Total Pages : 402 pages
Book Rating : 4.3/5 (199 download)

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Book Synopsis Ambit Stochastics by : Ole E. Barndorff-Nielsen

Download or read book Ambit Stochastics written by Ole E. Barndorff-Nielsen and published by Springer. This book was released on 2018-11-01 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context. Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.

Stochastics of Environmental and Financial Economics

Author : Fred Espen Benth
Publisher : Springer
ISBN 13 : 3319234250
Total Pages : 362 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Stochastics of Environmental and Financial Economics by : Fred Espen Benth

Download or read book Stochastics of Environmental and Financial Economics written by Fred Espen Benth and published by Springer. This book was released on 2015-10-23 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.

Modern Stochastics and Applications

Author : Volodymyr Korolyuk
Publisher : Springer Science & Business Media
ISBN 13 : 3319035126
Total Pages : 349 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Modern Stochastics and Applications by : Volodymyr Korolyuk

Download or read book Modern Stochastics and Applications written by Volodymyr Korolyuk and published by Springer Science & Business Media. This book was released on 2014-01-30 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents an extensive overview of all major modern trends in applications of probability and stochastic analysis. It will be a great source of inspiration for designing new algorithms, modeling procedures and experiments. Accessible to researchers, practitioners, as well as graduate and postgraduate students, this volume presents a variety of new tools, ideas and methodologies in the fields of optimization, physics, finance, probability, hydrodynamics, reliability, decision making, mathematical finance, mathematical physics and economics. Contributions to this Work include those of selected speakers from the international conference entitled “Modern Stochastics: Theory and Applications III,” held on September 10 –14, 2012 at Taras Shevchenko National University of Kyiv, Ukraine. The conference covered the following areas of research in probability theory and its applications: stochastic analysis, stochastic processes and fields, random matrices, optimization methods in probability, stochastic models of evolution systems, financial mathematics, risk processes and actuarial mathematics and information security.

XI Symposium on Probability and Stochastic Processes

Author : Ramsés H. Mena
Publisher : Birkhäuser
ISBN 13 : 3319139843
Total Pages : 279 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis XI Symposium on Probability and Stochastic Processes by : Ramsés H. Mena

Download or read book XI Symposium on Probability and Stochastic Processes written by Ramsés H. Mena and published by Birkhäuser. This book was released on 2015-07-17 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume features a collection of contributed articles and lecture notes from the XI Symposium on Probability and Stochastic Processes, held at CIMAT Mexico in September 2013. Since the symposium was part of the activities organized in Mexico to celebrate the International Year of Statistics, the program included topics from the interface between statistics and stochastic processes.

Change of Time and Change of Measure

Author : Ole E Barndorff-Nielsen
Publisher : World Scientific Publishing Company
ISBN 13 : 9814678600
Total Pages : 344 pages
Book Rating : 4.8/5 (146 download)

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Book Synopsis Change of Time and Change of Measure by : Ole E Barndorff-Nielsen

Download or read book Change of Time and Change of Measure written by Ole E Barndorff-Nielsen and published by World Scientific Publishing Company. This book was released on 2015-05-07 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields. The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance. In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.

Stochastic Models for Prices Dynamics in Energy and Commodity Markets

Author : Fred Espen Benth
Publisher : Springer Nature
ISBN 13 : 3031403673
Total Pages : 250 pages
Book Rating : 4.0/5 (314 download)

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Book Synopsis Stochastic Models for Prices Dynamics in Energy and Commodity Markets by : Fred Espen Benth

Download or read book Stochastic Models for Prices Dynamics in Energy and Commodity Markets written by Fred Espen Benth and published by Springer Nature. This book was released on 2023-11-16 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets. In this book, the well-known Heath–Jarrow–Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipović space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing. This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.

Advanced Modelling in Mathematical Finance

Author : Jan Kallsen
Publisher : Springer
ISBN 13 : 3319458752
Total Pages : 496 pages
Book Rating : 4.3/5 (194 download)

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Book Synopsis Advanced Modelling in Mathematical Finance by : Jan Kallsen

Download or read book Advanced Modelling in Mathematical Finance written by Jan Kallsen and published by Springer. This book was released on 2016-12-01 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Commodities, Energy and Environmental Finance

Author : René Aïd
Publisher : Springer
ISBN 13 : 1493927337
Total Pages : 430 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Commodities, Energy and Environmental Finance by : René Aïd

Download or read book Commodities, Energy and Environmental Finance written by René Aïd and published by Springer. This book was released on 2015-06-30 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of chapters covering the latest developments in applications of financial mathematics and statistics to topics in energy, commodity financial markets and environmental economics. The research presented is based on the presentations and discussions that took place during the Fields Institute Focus Program on Commodities, Energy and Environmental Finance in August 2013. The authors include applied mathematicians, economists and industry practitioners, providing for a multi-disciplinary spectrum of perspectives on the subject. The volume consists of four sections: Electricity Markets; Real Options; Trading in Commodity Markets; and Oligopolistic Models for Energy Production. Taken together, the chapters give a comprehensive summary of the current state of the art in quantitative analysis of commodities and energy finance. The topics covered include structural models of electricity markets, financialization of commodities, valuation of commodity real options, game-theory analysis of exhaustible resource management and analysis of commodity ETFs. The volume also includes two survey articles that provide a source for new researchers interested in getting into these topics.

The Fascination of Probability, Statistics and their Applications

Author : Mark Podolskij
Publisher : Springer
ISBN 13 : 3319258265
Total Pages : 527 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis The Fascination of Probability, Statistics and their Applications by : Mark Podolskij

Download or read book The Fascination of Probability, Statistics and their Applications written by Mark Podolskij and published by Springer. This book was released on 2015-12-26 with total page 527 pages. Available in PDF, EPUB and Kindle. Book excerpt: Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of wind-blown sand, queueing systems, risk assessment, turbulence and other areas. The contributions are dedicated to and inspired by the research of Ole E. Barndorff-Nielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems. The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.

Computation and Combinatorics in Dynamics, Stochastics and Control

Author : Elena Celledoni
Publisher : Springer
ISBN 13 : 3030015939
Total Pages : 734 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis Computation and Combinatorics in Dynamics, Stochastics and Control by : Elena Celledoni

Download or read book Computation and Combinatorics in Dynamics, Stochastics and Control written by Elena Celledoni and published by Springer. This book was released on 2019-01-13 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Abel Symposia volume at hand contains a collection of high-quality articles written by the world’s leading experts, and addressing all mathematicians interested in advances in deterministic and stochastic dynamical systems, numerical analysis, and control theory. In recent years we have witnessed a remarkable convergence between individual mathematical disciplines that approach deterministic and stochastic dynamical systems from mathematical analysis, computational mathematics and control theoretical perspectives. Breakthrough developments in these fields now provide a common mathematical framework for attacking many different problems related to differential geometry, analysis and algorithms for stochastic and deterministic dynamics. In the Abel Symposium 2016, which took place from August 16-19 in Rosendal near Bergen, leading researchers in the fields of deterministic and stochastic differential equations, control theory, numerical analysis, algebra and random processes presented and discussed the current state of the art in these diverse fields. The current Abel Symposia volume may serve as a point of departure for exploring these related but diverse fields of research, as well as an indicator of important current and future developments in modern mathematics.

Multicomponent and Multiscale Systems

Author : Juergen Geiser
Publisher : Springer
ISBN 13 : 3319151177
Total Pages : 325 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Multicomponent and Multiscale Systems by : Juergen Geiser

Download or read book Multicomponent and Multiscale Systems written by Juergen Geiser and published by Springer. This book was released on 2015-08-21 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the latest research results from combined multi-component and multi-scale explorations. It provides theory, considers underlying numerical methods and presents brilliant computational experimentation. Engineering computations featured in this monograph further offer particular interest to many researchers, engineers and computational scientists working in frontier modeling and applications of multicomponent and multiscale problems. Professor Geiser gives specific attention to the aspects of decomposing and splitting delicate structures and controlling decomposition and the rationale behind many important applications of multi-component and multi-scale analysis. Multicomponent and Multiscale Systems: Theory, Methods and Applications in Engineering also considers the question of why iterative methods can be powerful and more appropriate for well-balanced multiscale and multicomponent coupled nonlinear problems. The book is ideal for engineers and scientists working in theoretical and applied areas.

Sustainable Development of Water and Environment

Author : Han-Yong Jeon
Publisher : Springer Nature
ISBN 13 : 3031075005
Total Pages : 372 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis Sustainable Development of Water and Environment by : Han-Yong Jeon

Download or read book Sustainable Development of Water and Environment written by Han-Yong Jeon and published by Springer Nature. This book was released on 2022-10-21 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book of ICSDWE2022 aims to advance the understanding of both the fundamentals of related fields in sustainable development of water and environment and its application to the solution of challenges and problems in engineering. The committee of ICSDWE2022 gathers scholars and experts in related fields both at home and abroad. Under the guidance of the committee, we are confident to the publication of high-quality papers on all aspects of water and environment. The book features graduate-level texts and professional books in related fields. We hope that most scholars, researchers, and engineers can find what they really need in our book.

Stochastic Models, Statistics and Their Applications

Author : Ansgar Steland
Publisher : Springer Nature
ISBN 13 : 3030286657
Total Pages : 450 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Stochastic Models, Statistics and Their Applications by : Ansgar Steland

Download or read book Stochastic Models, Statistics and Their Applications written by Ansgar Steland and published by Springer Nature. This book was released on 2019-10-15 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents selected and peer-reviewed contributions from the 14th Workshop on Stochastic Models, Statistics and Their Applications, held in Dresden, Germany, on March 6-8, 2019. Addressing the needs of theoretical and applied researchers alike, the contributions provide an overview of the latest advances and trends in the areas of mathematical statistics and applied probability, and their applications to high-dimensional statistics, econometrics and time series analysis, statistics for stochastic processes, statistical machine learning, big data and data science, random matrix theory, quality control, change-point analysis and detection, finance, copulas, survival analysis and reliability, sequential experiments, empirical processes, and microsimulations. As the book demonstrates, stochastic models and related statistical procedures and algorithms are essential to more comprehensively understanding and solving present-day problems arising in e.g. the natural sciences, machine learning, data science, engineering, image analysis, genetics, econometrics and finance.

Change of Time and Change of Measure

Author : Ole E. Barndorff-Nielsen
Publisher : Advanced Series on Statistical Science & Applied Probability
ISBN 13 : 9789814678582
Total Pages : 326 pages
Book Rating : 4.6/5 (785 download)

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Book Synopsis Change of Time and Change of Measure by : Ole E. Barndorff-Nielsen

Download or read book Change of Time and Change of Measure written by Ole E. Barndorff-Nielsen and published by Advanced Series on Statistical Science & Applied Probability. This book was released on 2015 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law. Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields. The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance. In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.

Analytically Tractable Stochastic Stock Price Models

Author : Archil Gulisashvili
Publisher : Springer Science & Business Media
ISBN 13 : 3642312144
Total Pages : 371 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Analytically Tractable Stochastic Stock Price Models by : Archil Gulisashvili

Download or read book Analytically Tractable Stochastic Stock Price Models written by Archil Gulisashvili and published by Springer Science & Business Media. This book was released on 2012-09-04 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price model with stochastic volatility, the random behavior of the volatility is described by a stochastic process. For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility. One of the author's main goals is to provide sharp asymptotic formulas with error estimates for distribution densities of stock prices, option pricing functions, and implied volatilities in various stochastic volatility models. The author also establishes sharp asymptotic formulas for the implied volatility at extreme strikes in general stochastic stock price models. The present volume is addressed to researchers and graduate students working in the area of financial mathematics, analysis, or probability theory. The reader is expected to be familiar with elements of classical analysis, stochastic analysis and probability theory.

Stochastic Analysis and Applications

Author : Fred Espen Benth
Publisher : Springer Science & Business Media
ISBN 13 : 3540708472
Total Pages : 672 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Stochastic Analysis and Applications by : Fred Espen Benth

Download or read book Stochastic Analysis and Applications written by Fred Espen Benth and published by Springer Science & Business Media. This book was released on 2007-04-24 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over presented the newest developments within the exciting and fast growing field of stochastic analysis. This volume combines both papers from the invited speakers and contributions by the presenting lecturers. In addition, it includes the Memoirs that Kiyoshi Ito wrote for this occasion.

Stochastic Volatility

Author : Neil Shephard
Publisher : Oxford University Press on Demand
ISBN 13 : 0199257205
Total Pages : 534 pages
Book Rating : 4.1/5 (992 download)

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Book Synopsis Stochastic Volatility by : Neil Shephard

Download or read book Stochastic Volatility written by Neil Shephard and published by Oxford University Press on Demand. This book was released on 2005 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.