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Asymmetric Jump Processes
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Book Synopsis Diffusion Processes, Jump Processes, and Stochastic Differential Equations by : Wojbor A. Woyczyński
Download or read book Diffusion Processes, Jump Processes, and Stochastic Differential Equations written by Wojbor A. Woyczyński and published by CRC Press. This book was released on 2022-03-09 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diffusion Processes, Jump Processes, and Stochastic Differential Equations provides a compact exposition of the results explaining interrelations between diffusion stochastic processes, stochastic differential equations and the fractional infinitesimal operators. The draft of this book has been extensively classroom tested by the author at Case Western Reserve University in a course that enrolled seniors and graduate students majoring in mathematics, statistics, engineering, physics, chemistry, economics and mathematical finance. The last topic proved to be particularly popular among students looking for careers on Wall Street and in research organizations devoted to financial problems. Features Quickly and concisely builds from basic probability theory to advanced topics Suitable as a primary text for an advanced course in diffusion processes and stochastic differential equations Useful as supplementary reading across a range of topics.
Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Book Synopsis Telegraph Processes and Option Pricing by : Nikita Ratanov
Download or read book Telegraph Processes and Option Pricing written by Nikita Ratanov and published by Springer Nature. This book was released on 2023-01-04 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an extensive, systematic overview of the modern theory of telegraph processes and their multidimensional counterparts, together with numerous fruitful applications in financial modelling. Focusing on stochastic processes of bounded variation instead of classical diffusion, or more generally, Lévy processes, has two obvious benefits. First, the mathematical technique is much simpler, which helps to concentrate on the key problems of stochastic analysis and applications, including financial market modelling. Second, this approach overcomes some shortcomings of the (parabolic) nature of classical diffusions that contradict physical intuition, such as infinite propagation velocity and infinite total variation of paths. In this second edition, some sections of the previous text are included without any changes, while most others have been expanded and significantly revised. These are supplemented by predominantly new results concerning piecewise linear processes with arbitrary sequences of velocities, jump amplitudes, and switching intensities. The chapter on functionals of the telegraph process has been significantly expanded by adding sections on exponential functionals, telegraph meanders and running extrema, the times of the first passages of telegraph processes with alternating random jumps, and distribution of the Euclidean distance between two independent telegraph processes. A new chapter on the multidimensional counterparts of the telegraph processes is also included. The book is intended for graduate students in mathematics, probability, statistics and quantitative finance, and for researchers working at academic institutions, in industry and engineering. It can also be used by university lecturers and professionals in various applied areas.
Book Synopsis Introductory Lectures on Fluctuations of Lévy Processes with Applications by : Andreas E. Kyprianou
Download or read book Introductory Lectures on Fluctuations of Lévy Processes with Applications written by Andreas E. Kyprianou and published by Springer Science & Business Media. This book was released on 2006-12-18 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook forms the basis of a graduate course on the theory and applications of Lévy processes, from the perspective of their path fluctuations. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus on the case of Lévy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical transparency and explicitness.
Book Synopsis Statistical Arbitrage by : Andrew Pole
Download or read book Statistical Arbitrage written by Andrew Pole and published by John Wiley & Sons. This book was released on 2011-07-07 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.
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.
Book Synopsis Stochastic Optimization Methods in Finance and Energy by : Marida Bertocchi
Download or read book Stochastic Optimization Methods in Finance and Energy written by Marida Bertocchi and published by Springer Science & Business Media. This book was released on 2011-09-15 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.
Download or read book Probability written by Joseph L. Doob and published by American Mathematical Soc.. This book was released on 1977 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Laplace Distribution and Generalizations by : Samuel Kotz
Download or read book The Laplace Distribution and Generalizations written by Samuel Kotz and published by Springer Science & Business Media. This book was released on 2001-05-18 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the inferential and modeling advantages that this distribution, together with its generalizations and modifications, offers. The exposition systematically unfolds with many examples, tables, illustrations, and exercises. A comprehensive index and extensive bibliography also make this book an ideal text for a senior undergraduate and graduate seminar on statistical distributions, or for a short half-term academic course in statistics, applied probability, and finance.
Book Synopsis Optical Generation and Control of Quantum Coherence in Semiconductor Nanostructures by : Gabriela Slavcheva
Download or read book Optical Generation and Control of Quantum Coherence in Semiconductor Nanostructures written by Gabriela Slavcheva and published by Springer Science & Business Media. This book was released on 2010-06-01 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fundamental concept of quantum coherence plays a central role in quantum physics, cutting across disciplines of quantum optics, atomic and condensed matter physics. Quantum coherence represents a universal property of the quantum s- tems that applies both to light and matter thereby tying together materials and p- nomena. Moreover, the optical coherence can be transferred to the medium through the light-matter interactions. Since the early days of quantum mechanics there has been a desire to control dynamics of quantum systems. The generation and c- trol of quantum coherence in matter by optical means, in particular, represents a viable way to achieve this longstanding goal and semiconductor nanostructures are the most promising candidates for controllable quantum systems. Optical generation and control of coherent light-matter states in semiconductor quantum nanostructures is precisely the scope of the present book. Recently, there has been a great deal of interest in the subject of quantum coh- ence. We are currently witnessing parallel growth of activities in different physical systems that are all built around the central concept of manipulation of quantum coherence. The burgeoning activities in solid-state systems, and semiconductors in particular, have been strongly driven by the unprecedented control of coherence that previously has been demonstrated in quantum optics of atoms and molecules, and is now taking advantage of the remarkable advances in semiconductor fabrication technologies. A recent impetus to exploit the coherent quantum phenomena comes from the emergence of the quantum information paradigm.
Book Synopsis Fluctuations in Markov Processes by : Tomasz Komorowski
Download or read book Fluctuations in Markov Processes written by Tomasz Komorowski and published by Springer Science & Business Media. This book was released on 2012-07-05 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present volume contains the most advanced theories on the martingale approach to central limit theorems. Using the time symmetry properties of the Markov processes, the book develops the techniques that allow us to deal with infinite dimensional models that appear in statistical mechanics and engineering (interacting particle systems, homogenization in random environments, and diffusion in turbulent flows, to mention just a few applications). The first part contains a detailed exposition of the method, and can be used as a text for graduate courses. The second concerns application to exclusion processes, in which the duality methods are fully exploited. The third part is about the homogenization of diffusions in random fields, including passive tracers in turbulent flows (including the superdiffusive behavior). There are no other books in the mathematical literature that deal with this kind of approach to the problem of the central limit theorem. Hence, this volume meets the demand for a monograph on this powerful approach, now widely used in many areas of probability and mathematical physics. The book also covers the connections with and application to hydrodynamic limits and homogenization theory, so besides probability researchers it will also be of interest also to mathematical physicists and analysts.
Book Synopsis Assessing the Economic Value of Venture Capital Contracts by : Jil Caroline Onimus
Download or read book Assessing the Economic Value of Venture Capital Contracts written by Jil Caroline Onimus and published by Springer Science & Business Media. This book was released on 2011-04-15 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dr. Jil Caroline Onimus identifies the baskets of real options embedded in model venture capital contracts as published by the National Venture Capital Association (NVCA) and shows how they can be priced in interaction using Least Squares Monte Carlo simulation.
Author :Erricos Kontoghiorghes Publisher :Springer Science & Business Media ISBN 13 :3540779582 Total Pages :425 pages Book Rating :4.5/5 (47 download)
Book Synopsis Computational Methods in Financial Engineering by : Erricos Kontoghiorghes
Download or read book Computational Methods in Financial Engineering written by Erricos Kontoghiorghes and published by Springer Science & Business Media. This book was released on 2008-02-26 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.
Book Synopsis Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis by : Xiaohong Chen
Download or read book Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis written by Xiaohong Chen and published by Springer Science & Business Media. This book was released on 2012-08-01 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of articles that present the most recent cutting edge results on specification and estimation of economic models written by a number of the world’s foremost leaders in the fields of theoretical and methodological econometrics. Recent advances in asymptotic approximation theory, including the use of higher order asymptotics for things like estimator bias correction, and the use of various expansion and other theoretical tools for the development of bootstrap techniques designed for implementation when carrying out inference are at the forefront of theoretical development in the field of econometrics. One important feature of these advances in the theory of econometrics is that they are being seamlessly and almost immediately incorporated into the “empirical toolbox” that applied practitioners use when actually constructing models using data, for the purposes of both prediction and policy analysis and the more theoretically targeted chapters in the book will discuss these developments. Turning now to empirical methodology, chapters on prediction methodology will focus on macroeconomic and financial applications, such as the construction of diffusion index models for forecasting with very large numbers of variables, and the construction of data samples that result in optimal predictive accuracy tests when comparing alternative prediction models. Chapters carefully outline how applied practitioners can correctly implement the latest theoretical refinements in model specification in order to “build” the best models using large-scale and traditional datasets, making the book of interest to a broad readership of economists from theoretical econometricians to applied economic practitioners.
Book Synopsis Scaling Limits of Interacting Particle Systems by : Claude Kipnis
Download or read book Scaling Limits of Interacting Particle Systems written by Claude Kipnis and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book has been long awaited in the "interacting particle systems" community. Begun by Claude Kipnis before his untimely death, it was completed by Claudio Landim, his most brilliant student and collaborator. It presents the techniques used in the proof of the hydrodynamic behavior of interacting particle systems.
Book Synopsis Advances in Chemical Physics: Special Volume in Memory of Ilya Prigogine, Volume 135 by : Stuart A. Rice
Download or read book Advances in Chemical Physics: Special Volume in Memory of Ilya Prigogine, Volume 135 written by Stuart A. Rice and published by John Wiley & Sons. This book was released on 2007-03-30 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This series provides the chemical physics field with a forum for critical, authoritative evaluations of advances in every area of the discipline. This stand-alone special topics volume reports recent advances in electron-transfer research with significant, up-to-date chapters by internationally recognized researchers.
Book Synopsis Handbooks in Operations Research and Management Science: Financial Engineering by : John R. Birge
Download or read book Handbooks in Operations Research and Management Science: Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
