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Error Calculus For Finance And Physics
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Book Synopsis Error Calculus for Finance and Physics by : Nicolas Bouleau
Download or read book Error Calculus for Finance and Physics written by Nicolas Bouleau and published by Walter de Gruyter. This book was released on 2008-08-22 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many recent advances in modelling within the applied sciences and engineering have focused on the increasing importance of sensitivity analyses. For a given physical, financial or environmental model, increased emphasis is now placed on assessing the consequences of changes in model outputs that result from small changes or errors in both the hypotheses and parameters. The approach proposed in this book is entirely new and features two main characteristics. Even when extremely small, errors possess biases and variances. The methods presented here are able, thanks to a specific differential calculus, to provide information about the correlation between errors in different parameters of the model, as well as information about the biases introduced by non-linearity. The approach makes use of very powerful mathematical tools (Dirichlet forms), which allow one to deal with errors in infinite dimensional spaces, such as spaces of functions or stochastic processes. The method is therefore applicable to non-elementary models along the lines of those encountered in modern physics and finance. This text has been drawn from presentations of research done over the past ten years and that is still ongoing. The work was presented in conjunction with a course taught jointly at the Universities of Paris 1 and Paris 6. The book is intended for students, researchers and engineers with good knowledge in probability theory.
Book Synopsis Stochastic Calculus and Differential Equations for Physics and Finance by : Joseph L. McCauley
Download or read book Stochastic Calculus and Differential Equations for Physics and Finance written by Joseph L. McCauley and published by Cambridge University Press. This book was released on 2013-02-21 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides graduate students and practitioners in physics and economics with a better understanding of stochastic processes.
Book Synopsis The Mathematics of Errors by : Nicolas Bouleau
Download or read book The Mathematics of Errors written by Nicolas Bouleau and published by Springer Nature. This book was released on 2022-03-27 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Mathematics of Errors presents an original, rigorous and systematic approach to the calculus of errors, targeted at both the engineer and the mathematician. Starting from Gauss's original point of view, the book begins as an introduction suitable for graduate students, leading to recent developments in stochastic analysis and Malliavin calculus, including contributions by the author. Later chapters, aimed at a more mature audience, require some familiarity with stochastic calculus and Dirichlet forms. Sensitivity analysis, in particular, plays an important role in the book. Detailed applications in a range of fields, such as engineering, robotics, statistics, financial mathematics, climate science, or quantum mechanics are discussed through concrete examples. Throughout the book, error analysis is presented in a progressive manner, motivated by examples and appealing to the reader’s intuition. By formalizing the intuitive concept of error and richly illustrating its scope for application, this book provides readers with a blueprint to apply advanced mathematics in practical settings. As such, it will be of immediate interest to engineers and scientists, whilst providing mathematicians with an original presentation. Nicolas Bouleau has directed the mathematics center of the Ecole des Ponts ParisTech for more than ten years. He is known for his theory of error propagation in complex models. After a degree in engineering and architecture, he decided to pursue a career in mathematics under the influence of Laurent Schwartz. He has also written on the production of knowledge, sustainable economics and mathematical models in finance. Nicolas Bouleau is a recipient of the Prix Montyon from the French Academy of Sciences.
Book Synopsis Dirichlet Forms Methods for Poisson Point Measures and Lévy Processes by : Nicolas Bouleau
Download or read book Dirichlet Forms Methods for Poisson Point Measures and Lévy Processes written by Nicolas Bouleau and published by Springer. This book was released on 2016-01-08 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Called the “lent particle method” it is based on perturbation of the position of particles. Poisson random measures describe phenomena involving random jumps (for instance in mathematical finance) or the random distribution of particles (as in statistical physics). Thanks to the theory of Dirichlet forms, the authors develop a mathematical tool for a quite general class of random Poisson measures and significantly simplify computations of Malliavin matrices of Poisson functionals. The method gives rise to a new explicit calculus that they illustrate on various examples: it consists in adding a particle and then removing it after computing the gradient. Using this method, one can establish absolute continuity of Poisson functionals such as Lévy areas, solutions of SDEs driven by Poisson measure and, by iteration, obtain regularity of laws. The authors also give applications to error calculus theory. This book will be of interest to researchers and graduate students in the fields of stochastic analysis and finance, and in the domain of statistical physics. Professors preparing courses on these topics will also find it useful. The prerequisite is a knowledge of probability theory.
Book Synopsis Stochastic Calculus and Differential Equations for Physics and Finance by : Joseph L. McCauley
Download or read book Stochastic Calculus and Differential Equations for Physics and Finance written by Joseph L. McCauley and published by . This book was released on 2013 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides graduate students and practitioners in physics and economics with a better understanding of stochastic processes.
Book Synopsis Mathematical Modelling and Numerical Methods in Finance by : Alain Bensoussan
Download or read book Mathematical Modelling and Numerical Methods in Finance written by Alain Bensoussan and published by Elsevier. This book was released on 2009-06-16 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field
Book Synopsis Stochastic Analysis with Financial Applications by : Arturo Kohatsu-Higa
Download or read book Stochastic Analysis with Financial Applications written by Arturo Kohatsu-Higa and published by Springer Science & Business Media. This book was released on 2011-07-22 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs.
Book Synopsis Seminar on Stochastic Analysis, Random Fields and Applications VII by : Robert C. Dalang
Download or read book Seminar on Stochastic Analysis, Random Fields and Applications VII written by Robert C. Dalang and published by Springer Science & Business Media. This book was released on 2013-09-05 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximations - Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems - stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The book will be a valuable resource for researchers in stochastic analysis and for professionals interested in stochastic methods in finance.
Book Synopsis Elementary Stochastic Calculus with Finance in View by : Thomas Mikosch
Download or read book Elementary Stochastic Calculus with Finance in View written by Thomas Mikosch and published by World Scientific. This book was released on 1998 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black -- Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.
Book Synopsis Festschrift Masatoshi Fukushima by : Zhen-Qing Chen
Download or read book Festschrift Masatoshi Fukushima written by Zhen-Qing Chen and published by World Scientific. This book was released on 2014-11-27 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains original research papers by leading experts in the fields of probability theory, stochastic analysis, potential theory and mathematical physics. There is also a historical account on Masatoshi Fukushima's contribution to mathematics, as well as authoritative surveys on the state of the art in the field. Contents:Professor Fukushima's Work:The Mathematical Work of Masatoshi Fukushima — An Essay (Zhen-Qing Chen, Niels Jacob, Masayoshi Takeda and Toshihiro Uemura)Bibliography of Masatoshi FukushimaContributions:Quasi Regular Dirichlet Forms and the Stochastic Quantization Problem (Sergio Albeverio, Zhi-Ming Ma and Michael Röckner)Comparison of Quenched and Annealed Invariance Principles for Random Conductance Model: Part II (Martin Barlow, Krzysztof Burdzy and Adám Timár)Some Historical Aspects of Error Calculus by Dirichlet Forms (Nicolas Bouleau)Stein's Method, Malliavin Calculus, Dirichlet Forms and the Fourth Moment Theorem (Louis H Y Chen and Guillaume Poly)Progress on Hardy-Type Inequalities (Mu-Fa Chen)Functional Inequalities for Pure-Jump Dirichlet Forms (Xin Chen, Feng-Yu Wang and Jian Wang)Additive Functionals and Push Forward Measures Under Veretennikov's Flow (Shizan Fang and Andrey Pilipenko)On a Result of D W Stroock (Patrick J Fitzsimmons)Consistent Risk Measures and a Non-Linear Extension of Backwards Martingale Convergence (Hans Föllmer and Irina Penner)Unavoidable Collections of Balls for Processes with Isotropic Unimodal Green Function (Wolfhard Hansen)Functions of Locally Bounded Variation on Wiener Spaces (Masanori Hino)A Dirichlet Space on Ends of Tree and Superposition of Nodewise Given Dirichlet Forms with Tier Linkage (Hiroshi Kaneko)Dirichlet Forms in Quantum Theory (Witold Karwowski and Ludwig Streit)On a Stability of Heat Kernel Estimates under Generalized Non-Local Feynman-Kac Perturbations for Stable-Like Processes (Daehong Kim and Kazuhiro Kuwae)Martin Boundary for Some Symmetric Lévy Processes (Panki Kim, Renming Song and Zoran Vondraček)Level Statistics of One-Dimensional Schrödinger Operators with Random Decaying Potential (Shinichi Kotani and Fumihiko Nakano)Perturbation of the Loop Measure (Yves Le Jan and Jay Rosen)Regular Subspaces of Dirichlet Forms (Liping Li and Jiangang Ying)Quasi-Regular Semi-Dirichlet Forms and Beyond (Zhi-Ming Ma, Wei Sun and Li-Fei Wang)Large Deviation Estimates for Controlled Semi-Martingales (Hideo Nagai)A Comparison Theorem for Backward SPDEs with Jumps (Bernt Øksendal, Agnès Sulem and Tusheng Zhang)On a Construction of a Space-Time Diffusion Process with Boundary Condition (Yoichi Oshima)Lower Bounded Semi-Dirichlet Forms Associated with Lévy Type Operators (René L Schilling and Jian Wang)Ultracontractivity for Non-Symmetric Markovian Semigroups (Ichiro Shigekawa)Metric Measure Spaces with Variable Ricci Bounds and Couplings of Brownian Motions (Karl-Theodor Sturm)Intrinsic Ultracontractivity and Semi-Small Perturbation for Skew Product Diffusion Operators (Matsuyo Tomisaki) Readership: Researchers in probability, stochastic analysis and mathematical physics. Key Features:Research papers by leading expertsHistorical account of M Fukushima's contribution to mathematicsAuthoritative surveys on the state of the art in the fieldKeywords:Probability Theory;Markov Processes;Dirichlet Forms;Potential Theory;Mathematical Physics
Book Synopsis International Mathematical News by :
Download or read book International Mathematical News written by and published by . This book was released on 2004 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues for Dec. 1952- include section: Nachrichten der Österreichischen Mathematischen Gesellschaft.
Book Synopsis Arbitrage, Credit and Informational Risks by : Caroline Hillairet
Download or read book Arbitrage, Credit and Informational Risks written by Caroline Hillairet and published by World Scientific. This book was released on 2014-03-18 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics. Contents:Arbitrage:No-arbitrage Conditions and Absolutely Continuous Changes of Measure (Claudio Fontana)A Systematic Approach to Constructing Market Models with Arbitrage (Johannes Ruf and Wolfgang J Runggaldier)On the Existence of Martingale Measures in Jump Diffusion Market Models (Jacopo Mancin and Wolfgang J Runggaldier)Arbitrages in a Progressive Enlargement Setting (Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc)Credit Risk:Pricing Credit Derivatives with a Structural Default Model (Sébastien Hitier and Ying Zhu)Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Stéphane Crépey)Dynamic One-default Model (Shiqi Song)Stochastic Sensitivity Study for Optimal Credit Allocation (Laurence Carassus and Simone Scotti)Control Problem and Information Risks:Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs (Ivan Guo and Marek Rutkowski)A Note on BSDEs with Singular Driver Coefficients (Monique Jeanblanc and Anthony Réveillac)A Portfolio Optimization Problem with Two Prices Generated by Two Information Flows (Caroline Hillairet)Option Pricing under Stochastic Volatility, Jumps and Cost of Information (Sana Mahfoudh and Monique Pontier) Readership: Advanced undergraduates, graduates and researchers in financial mathematics. Key Features:Treats new problems and challenges issued from the recent financial crisis and proposes original research papers on the modeling and management of the related financial risks, notably the credit risk and information asymmetry risksThe contributors consist of worldwide renowned experts and also promising young scientists in financial mathematicsAccessible to a larger public including graduate and advanced undergraduate studentsKeywords:Arbitrage;Credit Risk;Information Asymmetry Risks
Book Synopsis Stability Analysis of Impulsive Functional Differential Equations by : Ivanka Stamova
Download or read book Stability Analysis of Impulsive Functional Differential Equations written by Ivanka Stamova and published by Walter de Gruyter. This book was released on 2009-10-16 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to impulsive functional differential equations which are a natural generalization of impulsive ordinary differential equations (without delay) and of functional differential equations (without impulses). At the present time the qualitative theory of such equations is under rapid development. After a presentation of the fundamental theory of existence, uniqueness and continuability of solutions, a systematic development of stability theory for that class of problems is given which makes the book unique. It addresses to a wide audience such as mathematicians, applied researches and practitioners.
Book Synopsis Embedding Problems in Symplectic Geometry by : Felix Schlenk
Download or read book Embedding Problems in Symplectic Geometry written by Felix Schlenk and published by Walter de Gruyter. This book was released on 2008-08-22 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: Symplectic geometry is the geometry underlying Hamiltonian dynamics, and symplectic mappings arise as time-1-maps of Hamiltonian flows. The spectacular rigidity phenomena for symplectic mappings discovered in the last two decades show that certain things cannot be done by a symplectic mapping. For instance, Gromov's famous "non-squeezing'' theorem states that one cannot map a ball into a thinner cylinder by a symplectic embedding. The aim of this book is to show that certain other things can be done by symplectic mappings. This is achieved by various elementary and explicit symplectic embedding constructions, such as "folding", "wrapping'', and "lifting''. These constructions are carried out in detail and are used to solve some specific symplectic embedding problems. The exposition is self-contained and addressed to students and researchers interested in geometry or dynamics.
Book Synopsis Trigonometric Sums in Number Theory and Analysis by : Gennady I. Arkhipov
Download or read book Trigonometric Sums in Number Theory and Analysis written by Gennady I. Arkhipov and published by Walter de Gruyter. This book was released on 2008-08-22 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents the theory of multiple trigonometric sums constructed by the authors. Following a unified approach, the authors obtain estimates for these sums similar to the classical I. M. Vinogradov ́s estimates and use them to solve several problems in analytic number theory. They investigate trigonometric integrals, which are often encountered in physics, mathematical statistics, and analysis, and in addition they present purely arithmetic results concerning the solvability of equations in integers.
Download or read book Structure Theory written by Helmut Strade and published by Walter de Gruyter. This book was released on 2008-08-22 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of classifying the finite-dimensional simple Lie algebras over fields of characteristic p > 0 is a long-standing one. Work on this question during the last 45 years has been directed by the Kostrikin–Shafarevich Conjecture of 1966, which states that over an algebraically closed field of characteristic p > 5 a finite-dimensional restricted simple Lie algebra is classical or of Cartan type. This conjecture was proved for p > 7 by Block and Wilson in 1988. The generalization of the Kostrikin–Shafarevich Conjecture for the general case of not necessarily restricted Lie algebras and p > 7 was announced in 1991 by Strade and Wilson and eventually proved by Strade in 1998. The final Block–Wilson–Strade–Premet Classification Theorem is a landmark result of modern mathematics and can be formulated as follows: Every finite-dimensional simple Lie algebra over an algebraically closed field of characteristic p > 3 is of classical, Cartan, or Melikian type. In the three-volume book, the author is assembling the proof of the Classification Theorem with explanations and references. The goal is a state-of-the-art account on the structure and classification theory of Lie algebras over fields of positive characteristic leading to the forefront of current research in this field. This first volume is devoted to preparing the ground for the classification work to be performed in the second and third volume. The concise presentation of the general theory underlying the subject matter and the presentation of classification results on a subclass of the simple Lie algebras for all odd primesmake this volume an invaluable source and reference for all research mathematicians and advanced graduate students in albegra.
Book Synopsis Simple Lie Algebras Over Fields of Positive Characteristic: Structure theory by : Helmut Strade
Download or read book Simple Lie Algebras Over Fields of Positive Characteristic: Structure theory written by Helmut Strade and published by Walter de Gruyter. This book was released on 2004 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: The problem of classifying the finite-dimensional simple Lie algebras over fields of characteristic p > 0 is a long-standing one. Work on this question during the last 45 years has been directed by the Kostrikin-Shafarevich Conjecture of 1966, which states that over an algebraically closed field of characteristic p > 5 a finite-dimensional restricted simple Lie algebra is classical or of Cartan type. This conjecture was proved for p > 7 by Block and Wilson in 1988. The generalization of the Kostrikin-Shafarevich Conjecture for the general case of not necessarily restricted Lie algebras and p > 7 was announced in 1991 by Strade and Wilson and eventually proved by Strade in 1998. The final Block-Wilson-Strade-Premet Classification Theorem is a landmark result of modern mathematics and can be formulated as follows: Every finite-dimensional simple Lie algebra over an algebraically closed field of characteristic p > 3 is of classical, Cartan, or Melikian type. In the three-volume book, the author is assembling the proof of the Classification Theorem with explanations and references. The goal is a state-of-the-art account on the structure and classification theory of Lie algebras over fields of positive characteristic leading to the forefront of current research in this field. This first volume is devoted to preparing the ground for the classification work to be performed in the second and third volume. The concise presentation of the general theory underlying the subject matter and the presentation of classification results on a subclass of the simple Lie algebras for all odd primesmake this volume an invaluable source and reference for all research mathematicians and advanced graduate students in albegra.
