Jump Diffusion Processes

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Diffusion Processes, Jump Processes, and Stochastic Differential Equations

Author : Wojbor A. Woyczyński
Publisher : CRC Press
ISBN 13 : 1000475352
Total Pages : 138 pages
Book Rating : 4.0/5 (4 download)

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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.

Point Processes and Jump Diffusions

Author : Tomas Björk
Publisher : Cambridge University Press
ISBN 13 : 1316518671
Total Pages : 323 pages
Book Rating : 4.3/5 (165 download)

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Book Synopsis Point Processes and Jump Diffusions by : Tomas Björk

Download or read book Point Processes and Jump Diffusions written by Tomas Björk and published by Cambridge University Press. This book was released on 2021-06-17 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.

Stochastic Flows and Jump-Diffusions

Author : Hiroshi Kunita
Publisher : Springer
ISBN 13 : 9811338019
Total Pages : 352 pages
Book Rating : 4.8/5 (113 download)

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Book Synopsis Stochastic Flows and Jump-Diffusions by : Hiroshi Kunita

Download or read book Stochastic Flows and Jump-Diffusions written by Hiroshi Kunita and published by Springer. This book was released on 2019-03-26 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a modern treatment of (1) stochastic differential equations and (2) diffusion and jump-diffusion processes. The simultaneous treatment of diffusion processes and jump processes in this book is unique: Each chapter starts from continuous processes and then proceeds to processes with jumps.In the first part of the book, it is shown that solutions of stochastic differential equations define stochastic flows of diffeomorphisms. Then, the relation between stochastic flows and heat equations is discussed. The latter part investigates fundamental solutions of these heat equations (heat kernels) through the study of the Malliavin calculus. The author obtains smooth densities for transition functions of various types of diffusions and jump-diffusions and shows that these density functions are fundamental solutions for various types of heat equations and backward heat equations. Thus, in this book fundamental solutions for heat equations and backward heat equations are constructed independently of the theory of partial differential equations.Researchers and graduate student in probability theory will find this book very useful.

Applied Stochastic Control of Jump Diffusions

Author : Bernt Øksendal
Publisher : Springer Science & Business Media
ISBN 13 : 3540698264
Total Pages : 263 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Applied Stochastic Control of Jump Diffusions by : Bernt Øksendal

Download or read book Applied Stochastic Control of Jump Diffusions written by Bernt Øksendal and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.

Encyclopedia of Finance

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.

Stochastic Flows and Stochastic Differential Equations

Author : Hiroshi Kunita
Publisher : Cambridge University Press
ISBN 13 : 9780521599252
Total Pages : 364 pages
Book Rating : 4.5/5 (992 download)

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Book Synopsis Stochastic Flows and Stochastic Differential Equations by : Hiroshi Kunita

Download or read book Stochastic Flows and Stochastic Differential Equations written by Hiroshi Kunita and published by Cambridge University Press. This book was released on 1990 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main purpose of this book is to give a systematic treatment of the theory of stochastic differential equations and stochastic flow of diffeomorphisms, and through the former to study the properties of stochastic flows.The classical theory was initiated by K. Itô and since then has been much developed. Professor Kunita's approach here is to regard the stochastic differential equation as a dynamical system driven by a random vector field, including thereby Itô's theory as a special case. The book can be used with advanced courses on probability theory or for self-study.

Financial Modelling with Jump Processes

Author : Peter Tankov
Publisher : CRC Press
ISBN 13 : 1135437947
Total Pages : 552 pages
Book Rating : 4.1/5 (354 download)

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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

Quantitative Finance

Author : Maria C. Mariani
Publisher : John Wiley & Sons
ISBN 13 : 1118629965
Total Pages : 496 pages
Book Rating : 4.1/5 (186 download)

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Book Synopsis Quantitative Finance by : Maria C. Mariani

Download or read book Quantitative Finance written by Maria C. Mariani and published by John Wiley & Sons. This book was released on 2019-11-06 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field. The Quantitative Finance book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Lvy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. We discuss models for pricing bonds market, marketable securities, credit default swaps (CDS) and securitizations. Classroom-tested over a three-year period with the input of students and experienced practitioners Emphasizes the volatility of financial analyses and interpretations Weaves theory with application throughout the book Utilizes R and MATLAB software programs Presents pseudo-algorithms for readers who do not have access to any particular programming system Supplemented with extensive author-maintained web site that includes helpful teaching hints, data sets, software programs, and additional content Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields.

Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott

Author : Samuel N Cohen
Publisher : World Scientific
ISBN 13 : 9814483915
Total Pages : 605 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott by : Samuel N Cohen

Download or read book Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Applied Stochastic Processes and Control for Jump Diffusions

Author : Floyd B. Hanson
Publisher : SIAM
ISBN 13 : 0898716330
Total Pages : 461 pages
Book Rating : 4.8/5 (987 download)

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Book Synopsis Applied Stochastic Processes and Control for Jump Diffusions by : Floyd B. Hanson

Download or read book Applied Stochastic Processes and Control for Jump Diffusions written by Floyd B. Hanson and published by SIAM. This book was released on 2007-11-22 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical, entry-level text integrating the basic principles of applied mathematics and probability, and computational science.

Jump Diffusion Process

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (79 download)

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Book Synopsis Jump Diffusion Process by :

Download or read book Jump Diffusion Process written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Multidimensional Diffusion Processes

Author : Daniel W. Stroock
Publisher : Springer
ISBN 13 : 3540289992
Total Pages : 338 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Multidimensional Diffusion Processes by : Daniel W. Stroock

Download or read book Multidimensional Diffusion Processes written by Daniel W. Stroock and published by Springer. This book was released on 2007-02-03 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik

On the Strong Approximation of Jump-diffusion Processes

Author : Nicola Bruti Liberati
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (255 download)

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Book Synopsis On the Strong Approximation of Jump-diffusion Processes by : Nicola Bruti Liberati

Download or read book On the Strong Approximation of Jump-diffusion Processes written by Nicola Bruti Liberati and published by . This book was released on 2005 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Analysis and Data-Based Reconstruction of Complex Nonlinear Dynamical Systems

Author : M. Reza Rahimi Tabar
Publisher : Springer
ISBN 13 : 3030184722
Total Pages : 280 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis Analysis and Data-Based Reconstruction of Complex Nonlinear Dynamical Systems by : M. Reza Rahimi Tabar

Download or read book Analysis and Data-Based Reconstruction of Complex Nonlinear Dynamical Systems written by M. Reza Rahimi Tabar and published by Springer. This book was released on 2019-07-04 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on a central question in the field of complex systems: Given a fluctuating (in time or space), uni- or multi-variant sequentially measured set of experimental data (even noisy data), how should one analyse non-parametrically the data, assess underlying trends, uncover characteristics of the fluctuations (including diffusion and jump contributions), and construct a stochastic evolution equation? Here, the term "non-parametrically" exemplifies that all the functions and parameters of the constructed stochastic evolution equation can be determined directly from the measured data. The book provides an overview of methods that have been developed for the analysis of fluctuating time series and of spatially disordered structures. Thanks to its feasibility and simplicity, it has been successfully applied to fluctuating time series and spatially disordered structures of complex systems studied in scientific fields such as physics, astrophysics, meteorology, earth science, engineering, finance, medicine and the neurosciences, and has led to a number of important results. The book also includes the numerical and analytical approaches to the analyses of complex time series that are most common in the physical and natural sciences. Further, it is self-contained and readily accessible to students, scientists, and researchers who are familiar with traditional methods of mathematics, such as ordinary, and partial differential equations. The codes for analysing continuous time series are available in an R package developed by the research group Turbulence, Wind energy and Stochastic (TWiSt) at the Carl von Ossietzky University of Oldenburg under the supervision of Prof. Dr. Joachim Peinke. This package makes it possible to extract the (stochastic) evolution equation underlying a set of data or measurements.

Derivative Security Pricing

Author : Carl Chiarella
Publisher : Springer
ISBN 13 : 366245906X
Total Pages : 616 pages
Book Rating : 4.6/5 (624 download)

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Book Synopsis Derivative Security Pricing by : Carl Chiarella

Download or read book Derivative Security Pricing written by Carl Chiarella and published by Springer. This book was released on 2015-03-25 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By focusing more on the financial intuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward interest rates. Furthermore an extensive overview of the associated literature is presented and its relevance and applicability are discussed. Most of the key concepts are covered including Ito’s Lemma, martingales, Girsanov’s theorem, Brownian motion, jump processes, stochastic volatility, American feature and binomial trees. The book is beneficial to higher-degree research students, academics and practitioners as it provides the elementary theoretical tools to apply the techniques of stochastic finance in research or industrial problems in the field.

Jump-diffusion Processes and the Term Structure of Interest Rates

Author : Chang Mo Ahn
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (186 download)

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Book Synopsis Jump-diffusion Processes and the Term Structure of Interest Rates by : Chang Mo Ahn

Download or read book Jump-diffusion Processes and the Term Structure of Interest Rates written by Chang Mo Ahn and published by . This book was released on 1986 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Inference for Diffusion Processes

Author : Christiane Fuchs
Publisher : Springer Science & Business Media
ISBN 13 : 3642259693
Total Pages : 439 pages
Book Rating : 4.6/5 (422 download)

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Book Synopsis Inference for Diffusion Processes by : Christiane Fuchs

Download or read book Inference for Diffusion Processes written by Christiane Fuchs and published by Springer Science & Business Media. This book was released on 2013-01-18 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.