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Author : Christian Bayer
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Log-modulated Rough Stochastic Volatility Models written by Christian Bayer and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Bayer
Publisher : SIAM
ISBN 13 : 1611977789
Total Pages : 292 pages
Book Rating : 4.6/5 (119 download)
Download or read book Rough Volatility written by Christian Bayer and published by SIAM. This book was released on 2023-12-18 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. The mathematical description of the volatility process has been an active topic of research for decades; however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility behaves essentially as a fractional Brownian motion with a small Hurst parameter. The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling, providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject’s development and progression. This book is designed for researchers and graduate students in quantitative finance as well as quantitative analysts and finance professionals.
Author : Ricardo Baeza-Yates
Publisher : Springer Science & Business Media
ISBN 13 : 0387233946
Total Pages : 497 pages
Book Rating : 4.3/5 (872 download)
Download or read book Recent Advances in Applied Probability written by Ricardo Baeza-Yates and published by Springer Science & Business Media. This book was released on 2006-02-28 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied probability is a broad research area that is of interest to scientists in diverse disciplines in science and technology, including: anthropology, biology, communication theory, economics, epidemiology, finance, geography, linguistics, medicine, meteorology, operations research, psychology, quality control, sociology, and statistics. Recent Advances in Applied Probability is a collection of survey articles that bring together the work of leading researchers in applied probability to present current research advances in this important area. This volume will be of interest to graduate students and researchers whose research is closely connected to probability modelling and their applications. It is suitable for one semester graduate level research seminar in applied probability.
Author : Peter K. Friz
Publisher : Springer
ISBN 13 : 3319116053
Total Pages : 590 pages
Book Rating : 4.3/5 (191 download)
Download or read book Large Deviations and Asymptotic Methods in Finance written by Peter K. Friz and published by Springer. This book was released on 2015-06-16 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts. Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour. Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.
Author : Louis Bachelier
Publisher : Princeton University Press
ISBN 13 : 1400829305
Total Pages : 205 pages
Book Rating : 4.4/5 (8 download)
Download or read book Louis Bachelier's Theory of Speculation written by Louis Bachelier and published by Princeton University Press. This book was released on 2011-12-12 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: March 29, 1900, is considered by many to be the day mathematical finance was born. On that day a French doctoral student, Louis Bachelier, successfully defended his thesis Théorie de la Spéculation at the Sorbonne. The jury, while noting that the topic was "far away from those usually considered by our candidates," appreciated its high degree of originality. This book provides a new translation, with commentary and background, of Bachelier's seminal work. Bachelier's thesis is a remarkable document on two counts. In mathematical terms Bachelier's achievement was to introduce many of the concepts of what is now known as stochastic analysis. His purpose, however, was to give a theory for the valuation of financial options. He came up with a formula that is both correct on its own terms and surprisingly close to the Nobel Prize-winning solution to the option pricing problem by Fischer Black, Myron Scholes, and Robert Merton in 1973, the first decisive advance since 1900. Aside from providing an accurate and accessible translation, this book traces the twin-track intellectual history of stochastic analysis and financial economics, starting with Bachelier in 1900 and ending in the 1980s when the theory of option pricing was substantially complete. The story is a curious one. The economic side of Bachelier's work was ignored until its rediscovery by financial economists more than fifty years later. The results were spectacular: within twenty-five years the whole theory was worked out, and a multibillion-dollar global industry of option trading had emerged.
Author : M. A. H. Dempster
Publisher : CRC Press
ISBN 13 : 1000784045
Total Pages : 864 pages
Book Rating : 4.0/5 (7 download)
Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2022-12-09 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets. After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts – the fifth of which is entirely new material covering cutting-edge developments. Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds Electricity Markets supplies an overview of the current and future modelling of electricity markets Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes
Author : M'hamed Eddahbi
Publisher : Springer
ISBN 13 : 3319304178
Total Pages : 228 pages
Book Rating : 4.3/5 (193 download)
Download or read book Statistical Methods and Applications in Insurance and Finance written by M'hamed Eddahbi and published by Springer. This book was released on 2016-04-08 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the outcome of the CIMPA School on Statistical Methods and Applications in Insurance and Finance, held in Marrakech and Kelaat M'gouna (Morocco) in April 2013. It presents two lectures and seven refereed papers from the school, offering the reader important insights into key topics. The first of the lectures, by Frederic Viens, addresses risk management via hedging in discrete and continuous time, while the second, by Boualem Djehiche, reviews statistical estimation methods applied to life and disability insurance. The refereed papers offer diverse perspectives and extensive discussions on subjects including optimal control, financial modeling using stochastic differential equations, pricing and hedging of financial derivatives, and sensitivity analysis. Each chapter of the volume includes a comprehensive bibliography to promote further research.
Author : Harold A. Rothbart
Publisher : McGraw-Hill Professional Publishing
ISBN 13 :
Total Pages : 632 pages
Book Rating : 4.3/5 (91 download)
Download or read book Cam Design Handbook written by Harold A. Rothbart and published by McGraw-Hill Professional Publishing. This book was released on 2004 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with hundreds of detailed illustrations! THE DEFINITIVE GUIDE TO CAM TECHNOLOGY! The transformation of a simple motion, such as rotation, into linear or other motion is accomplished by means of a cam -- two moving elements mounted on a fixed frame. Cam devices are versatile -- almost any specified motion can be obtained. If you work with industrial applications where precision is essential, the "Cam Design Handbook" is a key resource you'll need handy at all times. You'll find thorough, detailed coverage of cams in industrial machinery, automotive optimization, and gadgets and inventions. Written with tremendous practical insight by engineering experts, the "Cam Design Handbook" gathers the information you need to understand cam manufacture and design. Comprehensive in scope and authoritative in nature, the book delivers a firm grasp of: * The advantages of cams compared to other motion devices * Computer-aided design and manufacturing techniques * Numerical controls for manufacturing * Cam size and profile determination * Dynamics of high-speed systems Get comprehensive coverage of: * Basic curves * Profile geometry * Stresses and accuracy * Camwear life predictions * Cam system dynamics * And more!
Author : Narendra Agrawal
Publisher : Springer
ISBN 13 : 1489975624
Total Pages : 454 pages
Book Rating : 4.4/5 (899 download)
Download or read book Retail Supply Chain Management written by Narendra Agrawal and published by Springer. This book was released on 2015-04-20 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition focuses on three crucial areas of retail supply chain management: (1) empirical studies of retail supply chain practices, (2) assortment and inventory planning and (3) integrating price optimization into retail supply chain decisions. The book has been fully updated, expanding on the distinguishing features of the original, while offering three new chapters on recent topics which reflect areas of great interest and relevance to the academic and professional communities alike - inventory management in the presence of data inaccuracies, retail workforce management, and fast fashion retail strategies. The innovations, lessons for practice, and new technological solutions for managing retail supply chains are important not just in retailing, but offer crucial insights and strategies for the ultimate effective management of supply chains in other industries as well. The retail industry has emerged as a fascinating choice for researchers in the field of supply chain management. It presents a vast array of stimulating challenges that have long provided the context of much of the research in the area of operations research and inventory management. However, in recent years, advances in computing capabilities and information technologies, hyper-competition in the retail industry, emergence of multiple retail formats and distribution channels, an ever increasing trend towards a globally dispersed retail network, and a better understanding of the importance of collaboration in the extended supply chain have led to a surge in academic research on topics in retail supply chain management. Many supply chain innovations (e.g., vendor managed inventory) were first conceived and successfully validated in this industry, and have since been adopted in others. Conversely, many retailers have been quick to adopt cutting edge practices that first originated in other industries. Retail Supply Chain Management: Quantitative Models and Empirical Studies, 2nd Ed. is an attempt to summarize the state of the art in this research, as well as offer a perspective on what new applications may lie ahead.
Author : Albert N. Shiryaev
Publisher : World Scientific
ISBN 13 : 9810236050
Total Pages : 852 pages
Book Rating : 4.8/5 (12 download)
Download or read book Essentials of Stochastic Finance written by Albert N. Shiryaev and published by World Scientific. This book was released on 1999 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt: Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.
Author : Raffaele De Caterina
Publisher : Academic Press
ISBN 13 : 0128045876
Total Pages : 588 pages
Book Rating : 4.1/5 (28 download)
Download or read book Principles of Nutrigenetics and Nutrigenomics written by Raffaele De Caterina and published by Academic Press. This book was released on 2019-09-22 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles of Nutrigenetics and Nutrigenomics: Fundamentals for Individualized Nutrition is the most comprehensive foundational text on the complex topics of nutrigenetics and nutrigenomics. Edited by three leaders in the field with contributions from the most well-cited researchers conducting groundbreaking research in the field, the book covers how the genetic makeup influences the response to foods and nutrients and how nutrients affect gene expression. Principles of Nutrigenetics and Nutrigenomics: Fundamentals for Individualized Nutrition is broken into four parts providing a valuable overview of genetics, nutrigenetics, and nutrigenomics, and a conclusion that helps to translate research into practice. With an overview of the background, evidence, challenges, and opportunities in the field, readers will come away with a strong understanding of how this new science is the frontier of medical nutrition. Principles of Nutrigenetics and Nutrigenomics: Fundamentals for Individualized Nutrition is a valuable reference for students and researchers studying nutrition, genetics, medicine, and related fields. - Uniquely foundational, comprehensive, and systematic approach with full evidence-based coverage of established and emerging topics in nutrigenetics and nutrigenomics - Includes a valuable guide to ethics for genetic testing for nutritional advice - Chapters include definitions, methods, summaries, figures, and tables to help students, researchers, and faculty grasp key concepts - Companion website includes slide decks, images, questions, and other teaching and learning aids designed to facilitate communication and comprehension of the content presented in the book
Author : Dumitru Luca
Publisher : Springer
ISBN 13 : 3319674595
Total Pages : 352 pages
Book Rating : 4.3/5 (196 download)
Download or read book Recent Advances in Technology Research and Education written by Dumitru Luca and published by Springer. This book was released on 2017-09-08 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents selected contributions to the 16th International Conference on Global Research and Education Inter-Academia 2017 hosted by Alexandru Ioan Cuza University of Iași, Romania from 25 to 28 September 2017. It is the third volume in the series, following the editions from 2015 and 2016. Fundamental and applied research in natural sciences have led to crucial developments in the ongoing 4th global industrial revolution, in the course of which information technology has become deeply embedded in industrial management, research and innovation – and just as deeply in education and everyday life. Materials science and nanotechnology, plasma and solid state physics, photonics, electrical and electronic engineering, robotics and metrology, signal processing, e-learning, intelligent and soft computing have long since been central research priorities for the Inter-Academia Community (I-AC) – a body comprising 14 universities and research institutes from Japan and Central/East-European countries that agreed, in 2002, to coordinate their research and education programs so as to better address today’s challenges. The book is intended for use in academic, government, and industrial R&D departments as a reference tool in research and technology education. The 42 peer-reviewed papers were written by more than 119 leading scientists from 14 countries, most of them affiliated to the I-AC.
Author : Dariusz Buraczewski
Publisher : Springer
ISBN 13 : 3319296795
Total Pages : 325 pages
Book Rating : 4.3/5 (192 download)
Download or read book Stochastic Models with Power-Law Tails written by Dariusz Buraczewski and published by Springer. This book was released on 2016-07-04 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, where (A_t,B_t) constitute an iid sequence, is provided. The classical theory for these equations, including the existence and uniqueness of a stationary solution, the tail behavior with special emphasis on power law behavior, moments and support, is presented. The authors collect recent asymptotic results on extremes, point processes, partial sums (central limit theory with special emphasis on infinite variance stable limit theory), large deviations, in the univariate and multivariate cases, and they further touch on the related topics of smoothing transforms, regularly varying sequences and random iterative systems. The text gives an introduction to the Kesten-Goldie theory for stochastic recurrence equations of the type X_t=A_tX_{t-1}+B_t. It provides the classical results of Kesten, Goldie, Guivarc'h, and others, and gives an overview of recent results on the topic. It presents the state-of-the-art results in the field of affine stochastic recurrence equations and shows relations with non-affine recursions and multivariate regular variation.
Author : G. Gripenberg
Publisher : Cambridge University Press
ISBN 13 : 0521372895
Total Pages : 727 pages
Book Rating : 4.5/5 (213 download)
Download or read book Volterra Integral and Functional Equations written by G. Gripenberg and published by Cambridge University Press. This book was released on 1990 with total page 727 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book looks at the theories of Volterra integral and functional equations.
Author : Hermann Brunner
Publisher : Cambridge University Press
ISBN 13 : 1107098726
Total Pages : 405 pages
Book Rating : 4.1/5 (7 download)
Download or read book Volterra Integral Equations written by Hermann Brunner and published by Cambridge University Press. This book was released on 2017-01-20 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: See publisher description :
Author : Jean Jacod
Publisher : Springer Science & Business Media
ISBN 13 : 3662025140
Total Pages : 620 pages
Book Rating : 4.6/5 (62 download)
Download or read book Limit Theorems for Stochastic Processes written by Jean Jacod and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart from a few exceptions essentially concerning diffusion processes, it is only recently that the relation between the two theories has been thoroughly studied. The authors of this Grundlehren volume, two of the international leaders in the field, propose a systematic exposition of convergence in law for stochastic processes, from the point of view of semimartingale theory, with emphasis on results that are useful for mathematical theory and mathematical statistics. This leads them to develop in detail some particularly useful parts of the general theory of stochastic processes, such as martingale problems, and absolute continuity or contiguity results. The book contains an elementary introduction to the main topics: theory of martingales and stochastic integrales, Skorokhod topology, etc., as well as a large number of results which have never appeared in book form, and some entirely new results. It should be useful to the professional probabilist or mathematical statistician, and of interest also to graduate students.
Author : Nina Golyandina
Publisher : Springer
ISBN 13 : 3662573806
Total Pages : 284 pages
Book Rating : 4.6/5 (625 download)
Download or read book Singular Spectrum Analysis with R written by Nina Golyandina and published by Springer. This book was released on 2018-06-14 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive and richly illustrated volume provides up-to-date material on Singular Spectrum Analysis (SSA). SSA is a well-known methodology for the analysis and forecasting of time series. Since quite recently, SSA is also being used to analyze digital images and other objects that are not necessarily of planar or rectangular form and may contain gaps. SSA is multi-purpose and naturally combines both model-free and parametric techniques, which makes it a very special and attractive methodology for solving a wide range of problems arising in diverse areas, most notably those associated with time series and digital images. An effective, comfortable and accessible implementation of SSA is provided by the R-package Rssa, which is available from CRAN and reviewed in this book. Written by prominent statisticians who have extensive experience with SSA, the book (a) presents the up-to-date SSA methodology, including multidimensional extensions, in language accessible to a large circle of users, (b) combines different versions of SSA into a single tool, (c) shows the diverse tasks that SSA can be used for, (d) formally describes the main SSA methods and algorithms, and (e) provides tutorials on the Rssa package and the use of SSA. The book offers a valuable resource for a very wide readership, including professional statisticians, specialists in signal and image processing, as well as specialists in numerous applied disciplines interested in using statistical methods for time series analysis, forecasting, signal and image processing. The book is written on a level accessible to a broad audience and includes a wealth of examples; hence it can also be used as a textbook for undergraduate and postgraduate courses on time series analysis and signal processing.
