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Finance De Marche Modeles Mathematiques A Temps Discret
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Book Synopsis Numerical Probability by : Gilles Pagès
Download or read book Numerical Probability written by Gilles Pagès and published by Springer. This book was released on 2018-07-31 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a self-contained introduction to numerical methods in probability with a focus on applications to finance. Topics covered include the Monte Carlo simulation (including simulation of random variables, variance reduction, quasi-Monte Carlo simulation, and more recent developments such as the multilevel paradigm), stochastic optimization and approximation, discretization schemes of stochastic differential equations, as well as optimal quantization methods. The author further presents detailed applications to numerical aspects of pricing and hedging of financial derivatives, risk measures (such as value-at-risk and conditional value-at-risk), implicitation of parameters, and calibration. Aimed at graduate students and advanced undergraduate students, this book contains useful examples and over 150 exercises, making it suitable for self-study.
Book Synopsis Marginal and Functional Quantization of Stochastic Processes by : Harald Luschgy
Download or read book Marginal and Functional Quantization of Stochastic Processes written by Harald Luschgy and published by Springer Nature. This book was released on 2023-12-06 with total page 918 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vector Quantization, a pioneering discretization method based on nearest neighbor search, emerged in the 1950s primarily in signal processing, electrical engineering, and information theory. Later in the 1960s, it evolved into an automatic classification technique for generating prototypes of extensive datasets. In modern terms, it can be recognized as a seminal contribution to unsupervised learning through the k-means clustering algorithm in data science. In contrast, Functional Quantization, a more recent area of study dating back to the early 2000s, focuses on the quantization of continuous-time stochastic processes viewed as random vectors in Banach function spaces. This book distinguishes itself by delving into the quantization of random vectors with values in a Banach space—a unique feature of its content. Its main objectives are twofold: first, to offer a comprehensive and cohesive overview of the latest developments as well as several new results in optimal quantization theory, spanning both finite and infinite dimensions, building upon the advancements detailed in Graf and Luschgy's Lecture Notes volume. Secondly, it serves to demonstrate how optimal quantization can be employed as a space discretization method within probability theory and numerical probability, particularly in fields like quantitative finance. The main applications to numerical probability are the controlled approximation of regular and conditional expectations by quantization-based cubature formulas, with applications to time-space discretization of Markov processes, typically Brownian diffusions, by quantization trees. While primarily catering to mathematicians specializing in probability theory and numerical probability, this monograph also holds relevance for data scientists, electrical engineers involved in data transmission, and professionals in economics and logistics who are intrigued by optimal allocation problems.
Book Synopsis Finance de marché : Modèles mathématiques à temps discret by : Laurence Carassus
Download or read book Finance de marché : Modèles mathématiques à temps discret written by Laurence Carassus and published by Vuibert. This book was released on 2015-07-09 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ce manuel est une introduction aux mathématiques financières à temps discret ainsi qu'aux concepts et techniques de modélisation utilisés par les professionnels de la finance de marché. Il est constitué d'éléments de cours et de 24 problèmes corrigés, sélectionnés parmi les sujets d'examens de mathématiques financières élaborés, par les auteurs, au fil des ans. Cet ouvrage s'adresse en priorité aux étudiants en Master de mathématiques appliquées (dès la première année) ou se préparant à l'épreuve de modélisation de l'Agrégation de mathématiques ainsi qu'aux élèves des écoles d'ingénieurs et des écoles de commerce se destinant à une carrière d'analyste quantitatif. Il sera également utile aux professionnels de la finance de marché puisque nombre des problèmes posés sont motivés par des cas concrets. Sommaire : I. Éléments de cours II. Autour du modèle binomial III. Quelques options exotiques IV. Quelques autres problèmes en marché complet V. Arrêt optimal et options américaines VI. Marchés incomplets, marchés imparfaits
Book Synopsis Publications du Centre international de rencontres mathématiques by :
Download or read book Publications du Centre international de rencontres mathématiques written by and published by . This book was released on 1992 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cahiers BEI written by and published by . This book was released on 1986 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book L'Actualité économique written by and published by . This book was released on 1990 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Statistical Inference for Ergodic Diffusion Processes by : Yury A. Kutoyants
Download or read book Statistical Inference for Ergodic Diffusion Processes written by Yury A. Kutoyants and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.
Book Synopsis Semiparametric Theory and Missing Data by : Anastasios Tsiatis
Download or read book Semiparametric Theory and Missing Data written by Anastasios Tsiatis and published by Springer Science & Business Media. This book was released on 2007-01-15 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book summarizes current knowledge regarding the theory of estimation for semiparametric models with missing data, in an organized and comprehensive manner. It starts with the study of semiparametric methods when there are no missing data. The description of the theory of estimation for semiparametric models is both rigorous and intuitive, relying on geometric ideas to reinforce the intuition and understanding of the theory. These methods are then applied to problems with missing, censored, and coarsened data with the goal of deriving estimators that are as robust and efficient as possible.
Book Synopsis Stochastic Simulation and Monte Carlo Methods by : Carl Graham
Download or read book Stochastic Simulation and Monte Carlo Methods written by Carl Graham and published by Springer Science & Business Media. This book was released on 2013-07-16 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners’ aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their numerical parameters (number of simulations, time discretization steps). As a result, the book is a self-contained and rigorous study of the numerical methods within a theoretical framework. After briefly reviewing the basics, the authors first introduce fundamental notions in stochastic calculus and continuous-time martingale theory, then develop the analysis of pure-jump Markov processes, Poisson processes, and stochastic differential equations. In particular, they review the essential properties of Itô integrals and prove fundamental results on the probabilistic analysis of parabolic partial differential equations. These results in turn provide the basis for developing stochastic numerical methods, both from an algorithmic and theoretical point of view. The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes. It is intended for master and Ph.D. students in the field of stochastic processes and their numerical applications, as well as for physicists, biologists, economists and other professionals working with stochastic simulations, who will benefit from the ability to reliably estimate and control the accuracy of their simulations.
Download or read book Memoirs of an Egotist written by Stendhal and published by Read Books Ltd. This book was released on 2021-03-22 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the memoirs of Stendahl or in his own words the 'chatter about his private life' between 1821 and 1830. It was between these dates that he moved to Paris and here looks back on his life as an eccentric bachelor. 'As well as Beyle the clairvoyant self-investigator, the sardonic analyst of Parisian salon society and deliberate cultivator of wit, here emerges Beyle the despairing lover, the shakespearean enthusiast, whose romantic sentiment run always parallel with his eighteenth-century logic'. Marie-Henri Beyle - better-known by his pen name, Stendhal - was born in Grenoble, France in 1783. He turned to writing after the final defeat of Napoleon in 1815, notable works include A Life of Rossini (1824), A Life of Napoleon (1929) and The Red and the Black published in 1830. A number of works were published posthumously, including Lamiel (1889), Memoirs of an Egotist (1892) and Lucien Leuwen (1894). Stendhal is now regarded as one of the earliest and foremost practitioners of literary realism.
Book Synopsis Wonders and the Order of Nature 1150–1750 by : Lorraine Daston
Download or read book Wonders and the Order of Nature 1150–1750 written by Lorraine Daston and published by Princeton University Press. This book was released on 1998-05 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discusses how European scientists from the High Middle Ages through the Enlightenment used wonders, monsters, curiosities, marvels, and other phenomena to envision the natural world.
Book Synopsis Your Mindful Compass by : Andrea Maloney Schara
Download or read book Your Mindful Compass written by Andrea Maloney Schara and published by . This book was released on 2013-12-01 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Your Mindful Compass" takes us behind the emotional curtain to see the mechanisms regulating individuals in social systems. There is great comfort and wisdom in knowing we can increase our awareness to manage the swift and ancient mechanisms of social control. We can gain greater flexibility by seeing how social controls work in systems from ants to humans. To be less controlled by others, we learn how emotional systems influence our relationship-oriented brain. People want to know what goes on in families that give rise to amazing leaders and/or terrorists. For the first time in history we can understand the systems in which we live. The social sciences have been accumulating knowledge since the early fifties as to how we are regulated by others. S. Milgram, S. Ashe, P. Zimbardo and J. Calhoun, detail the vulnerability to being duped and deceived and the difficulty of cooperating when values differ. Murray Bowen, M.D., the first researcher to observe several live-in families, for up to three years, at the National Institute of Mental Health. Describing how family members overly influence one another and distribute stress unevenly, Bowen described both how symptoms and family leaders emerge in highly stressed families. Our brain is not organized to automatically perceive that each family has an emotional system, fine-tuned by evolution and "valuing" its survival as a whole, as much as the survival of any individual. It is easier to see this emotional system function in ants or mice but not in humans. The emotional system is organized to snooker us humans: encouraging us to take sides, run away from others, to pressure others, to get sick, to blame others, and to have great difficulty in seeing our part in problems. It is hard to see that we become anxious, stressed out and even that we are difficult to deal with. But "thinking systems" can open the doors of perception, allowing us to experience the world in a different way. This book offers both coaching ideas and stories from leaders as to strategies to break out from social control by de-triangling, using paradoxes, reversals and other types of interruptions of highly linked emotional processes. Time is needed to think clearly about the automatic nature of the two against one triangle. Time and experience is required as we learn strategies to put two people together and get self outside the control of the system. In addition, it takes time to clarify and define one's principles, to know what "I" will or will not do and to be able to take a stand with others with whom we are very involved. The good news is that systems' thinking is possible for anyone. It is always possible for an individual to understand feelings and to integrate them with their more rational brains. In so doing, an individual increases his or her ability to communicate despite misunderstandings or even rejection from important others. The effort involved in creating your Mindful Compass enables us to perceive the relationship system without experiencing it's threats. The four points on the Mindful Compass are: 1) Action for Self, 2) Resistance to Forward Progress, 3) Knowledge of Social Systems and the 4) The Ability to Stand Alone. Each gives us a view of the process one enters when making an effort to define a self and build an emotional backbone. It is not easy to find our way through the social jungle. The ability to know emotional systems well enough to take a position for self and to become more differentiated is part of the natural way humans cope with pressure. Now people can use available knowledge to build an emotional backbone, by thoughtfully altering their part in the relationship system. No one knows how far one can go by making an effort to be more of a self-defined individual in relationships to others. Through increasing emotional maturity, we can find greater individual freedom at the same time that we increase our ability to cooperate and to be close to others.
Download or read book The Blank Swan written by Elie Ayache and published by John Wiley & Sons. This book was released on 2010-05-17 with total page 501 pages. Available in PDF, EPUB and Kindle. Book excerpt: October 19th 1987 was a day of huge change for the global finance industry. On this day the stock market crashed, the Nobel Prize winning Black-Scholes formula failed and volatility smiles were born, and on this day Elie Ayache began his career, on the trading floor of the French Futures and Options Exchange. Experts everywhere sought to find a model for this event, and ways to simulate it in order to avoid a recurrence in the future, but the one thing that struck Elie that day was the belief that what actually happened on 19th October 1987 is simply non reproducible outside 19th October 1987 - you cannot reduce it to a chain of causes and effects, or even to a random generator, that can then be reproduced or represented in a theoretical framework. The Blank Swan is Elie's highly original treatise on the financial markets presenting a totally revolutionary rethinking of derivative pricing and technology. It is not a diatribe against Nassim Taleb's The Black Swan, but criticises the whole background or framework of predictable and unpredictable events white and black swans alike , i.e. the very category of prediction. In this revolutionary book, Elie redefines the components of the technology needed to price and trade derivatives. Most importantly, and drawing on a long tradition of philosophy of the event from Henri Bergson to Gilles Deleuze, to Alain Badiou, and on a recent brand of philosophy of contingency, embodied by the speculative materialism of Quentin Meillassoux, Elie redefines the market itself against the common perceptions of orthodox financial theory, general equilibrium theory and the sociology of finance. This book will change the way that we think about derivatives and approach the market. If anything, derivatives should be renamed contingent claims, where contingency is now absolute and no longer derivative, and the market is just its medium. The book also establishes the missing link between quantitative modelling (no longer dependent on probability theory but on a novel brand of mathematics which Elie calls the mathematics of price) and the reality of the market.
Book Synopsis Collaboration and Resistance in Occupied France by : C. Lloyd
Download or read book Collaboration and Resistance in Occupied France written by C. Lloyd and published by Springer. This book was released on 2003-09-16 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is about how people behaved during the German occupation of France during World War Two, and more specifically about how individuals from different social and political backgrounds recorded and reflected on their experiences during and after these tragic events. The book focuses on the concepts of treason and sacrifice, and takes the form of an introductory overview, followed by contextualised case studies in the areas of politics, daily life, civil administration, paramilitary action, literature and film.
Book Synopsis Dictionary of French and English, English and French by : John Bellows
Download or read book Dictionary of French and English, English and French written by John Bellows and published by . This book was released on 1911 with total page 708 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Combinatorial Stochastic Processes by : Jim Pitman
Download or read book Combinatorial Stochastic Processes written by Jim Pitman and published by Springer Science & Business Media. This book was released on 2006-05-11 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this text is to bring graduate students specializing in probability theory to current research topics at the interface of combinatorics and stochastic processes. There is particular focus on the theory of random combinatorial structures such as partitions, permutations, trees, forests, and mappings, and connections between the asymptotic theory of enumeration of such structures and the theory of stochastic processes like Brownian motion and Poisson processes.
Book Synopsis A Vital Rationalist by : Georges Canguilhem
Download or read book A Vital Rationalist written by Georges Canguilhem and published by Princeton University Press. This book was released on 2000-04-04 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: Georges Canguilhem is one of France's foremost historians of science. Trained as a medical doctor as well as a philosopher, he combined these practices to demonstrate to philosophers that there could be no epistemology without concrete study of the actual development of the sciences and to historians that there could be no worthwhile history of science without a philosophical understanding of the conceptual basis of all knowledge. A Vital Rationalist brings together for the first time a selection of Canguilhem's most important writings, including excerpts from previously unpublished manuscripts and a critical bibliography by Camille Limoges. Organized around the major themes and problems that have preoccupied Canguilhem throughout his intellectual career, the collection allows readers, whether familiar or unfamiliar with Canguilhem's work, access to a vast array of conceptual and concrete meditations on epistemology, methodology, science, and history. Canguilhem is a demanding writer, but Delaporte succeeds in marking out the main lines of his thought with unrivaled clarity; readers will come away with a heightened understanding of the complex and crucial place he holds in French intellectual history.
