On A New Parametrization Class Of Solvable Diffusion Models And Transition Probability Kernels

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On a New Parametrization Class of Solvable Diffusion Models and Transition Probability Kernels

Author : Sebastian Tudor
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis On a New Parametrization Class of Solvable Diffusion Models and Transition Probability Kernels by : Sebastian Tudor

Download or read book On a New Parametrization Class of Solvable Diffusion Models and Transition Probability Kernels written by Sebastian Tudor and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present in this paper a novel parametrization class of analytically tractable local volatility diffusion models used to price and hedge financial derivatives. A complete theoretical framework for computing the local volatility and the transition probability density is provided along with efficient model calibration for vanilla option prices, and reliable extrapolation procedures for producing the volatility surface. Our approach is based on the spectral analysis of the pricing operator in the time invariant case, along with some specific properties of the class that we propose. In order to show the advantages of our model, numerical examples with market data are analyzed. Finally, some extensions of our parametrization class are discussed in the conclusions.

Practical Methods of Financial Engineering and Risk Management

Author : Rupak Chatterjee
Publisher : Apress
ISBN 13 : 143026134X
Total Pages : 379 pages
Book Rating : 4.4/5 (32 download)

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Book Synopsis Practical Methods of Financial Engineering and Risk Management by : Rupak Chatterjee

Download or read book Practical Methods of Financial Engineering and Risk Management written by Rupak Chatterjee and published by Apress. This book was released on 2014-09-26 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk control, capital allocation, and realistic derivative pricing and hedging are critical concerns for major financial institutions and individual traders alike. Events from the collapse of Lehman Brothers to the Greek sovereign debt crisis demonstrate the urgent and abiding need for statistical tools adequate to measure and anticipate the amplitude of potential swings in the financial markets—from ordinary stock price and interest rate moves, to defaults, to those increasingly frequent "rare events" fashionably called black swan events. Yet many on Wall Street continue to rely on standard models based on artificially simplified assumptions that can lead to systematic (and sometimes catastrophic) underestimation of real risks. In Practical Methods of Financial Engineering and Risk Management, Dr. Rupak Chatterjee— former director of the multi-asset quantitative research group at Citi—introduces finance professionals and advanced students to the latest concepts, tools, valuation techniques, and analytic measures being deployed by the more discerning and responsive Wall Street practitioners, on all operational scales from day trading to institutional strategy, to model and analyze more faithfully the real behavior and risk exposure of financial markets in the cold light of the post-2008 realities. Until one masters this modern skill set, one cannot allocate risk capital properly, price and hedge derivative securities realistically, or risk-manage positions from the multiple perspectives of market risk, credit risk, counterparty risk, and systemic risk. The book assumes a working knowledge of calculus, statistics, and Excel, but it teaches techniques from statistical analysis, probability, and stochastic processes sufficient to enable the reader to calibrate probability distributions and create the simulations that are used on Wall Street to valuate various financial instruments correctly, model the risk dimensions of trading strategies, and perform the numerically intensive analysis of risk measures required by various regulatory agencies.

Partial Differential Equations in Action

Author : Sandro Salsa
Publisher : Springer
ISBN 13 : 3319150936
Total Pages : 714 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Partial Differential Equations in Action by : Sandro Salsa

Download or read book Partial Differential Equations in Action written by Sandro Salsa and published by Springer. This book was released on 2015-04-24 with total page 714 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is intended as an advanced undergraduate or first-year graduate course for students from various disciplines, including applied mathematics, physics and engineering. It has evolved from courses offered on partial differential equations (PDEs) over the last several years at the Politecnico di Milano. These courses had a twofold purpose: on the one hand, to teach students to appreciate the interplay between theory and modeling in problems arising in the applied sciences, and on the other to provide them with a solid theoretical background in numerical methods, such as finite elements. Accordingly, this textbook is divided into two parts. The first part, chapters 2 to 5, is more elementary in nature and focuses on developing and studying basic problems from the macro-areas of diffusion, propagation and transport, waves and vibrations. In turn the second part, chapters 6 to 11, concentrates on the development of Hilbert spaces methods for the variational formulation and the analysis of (mainly) linear boundary and initial-boundary value problems.

Interdisciplinary Topics in Applied Mathematics, Modeling and Computational Science

Author : Monica G. Cojocaru
Publisher : Springer
ISBN 13 : 3319123076
Total Pages : 538 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Interdisciplinary Topics in Applied Mathematics, Modeling and Computational Science by : Monica G. Cojocaru

Download or read book Interdisciplinary Topics in Applied Mathematics, Modeling and Computational Science written by Monica G. Cojocaru and published by Springer. This book was released on 2015-07-03 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Applied Mathematics, Modelling, and Computational Science (AMMCS) conference aims to promote interdisciplinary research and collaboration. The contributions in this volume cover the latest research in mathematical and computational sciences, modeling, and simulation as well as their applications in natural and social sciences, engineering and technology, industry, and finance. The 2013 conference, the second in a series of AMMCS meetings, was held August 26—30 and organized in cooperation with AIMS and SIAM, with support from the Fields Institute in Toronto, and Wilfrid Laurier University. There were many young scientists at AMMCS-2013, both as presenters and as organizers. This proceedings contains refereed papers contributed by the participants of the AMMCS-2013 after the conference. This volume is suitable for researchers and graduate students, mathematicians and engineers, industrialists, and anyone who would like to delve into the interdisciplinary research of applied and computational mathematics and its areas of applications.

Analysis, Geometry, and Modeling in Finance

Author : Pierre Henry-Labordere
Publisher : CRC Press
ISBN 13 : 1420087002
Total Pages : 403 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Analysis, Geometry, and Modeling in Finance by : Pierre Henry-Labordere

Download or read book Analysis, Geometry, and Modeling in Finance written by Pierre Henry-Labordere and published by CRC Press. This book was released on 2008-09-22 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th

Fundamentals of Inhomogeneous Fluids

Author : Douglas Henderson
Publisher : CRC Press
ISBN 13 : 1000104834
Total Pages : 616 pages
Book Rating : 4.0/5 (1 download)

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Book Synopsis Fundamentals of Inhomogeneous Fluids by : Douglas Henderson

Download or read book Fundamentals of Inhomogeneous Fluids written by Douglas Henderson and published by CRC Press. This book was released on 2021-12-17 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: A monograph examining recent progress in the field of inhomogeneous fluids, focusing on the theoretical - as well as experimental - techniques used. It presents the comprehensive theory of first-order phase transitions, including melting, and contains numerous figures, tables and display equations.;The contributors treat such subjects as: exact sum rules for inhomogenous fluids, explaining density functional and integral equation methods; exact solutions for two-dimensional homogeneous and inhomogeneous plasmas; current advances in the theory of interfacial electrochemistry; wetting experiments and the theory of wetting; freezing, with an emphasis on quantum systems and homogeneous nucleation in liquid-vapour and solid-liquid transitions; self-organizing liquids as well as kinetic phenomena in inhomogeneous fluids, using a modified Enskog theory.;Featuring over 1000 bibliographic citations, this volume is aimed at physical, surface, colloid and surfactant chemists; also physicists, electrochemists and graduate-level students in these disciplines.

Dive Into Deep Learning

Author : Joanne Quinn
Publisher : Corwin Press
ISBN 13 : 1544385404
Total Pages : 297 pages
Book Rating : 4.5/5 (443 download)

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Book Synopsis Dive Into Deep Learning by : Joanne Quinn

Download or read book Dive Into Deep Learning written by Joanne Quinn and published by Corwin Press. This book was released on 2019-07-15 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: The leading experts in system change and learning, with their school-based partners around the world, have created this essential companion to their runaway best-seller, Deep Learning: Engage the World Change the World. This hands-on guide provides a roadmap for building capacity in teachers, schools, districts, and systems to design deep learning, measure progress, and assess conditions needed to activate and sustain innovation. Dive Into Deep Learning: Tools for Engagement is rich with resources educators need to construct and drive meaningful deep learning experiences in order to develop the kind of mindset and know-how that is crucial to becoming a problem-solving change agent in our global society. Designed in full color, this easy-to-use guide is loaded with tools, tips, protocols, and real-world examples. It includes: • A framework for deep learning that provides a pathway to develop the six global competencies needed to flourish in a complex world — character, citizenship, collaboration, communication, creativity, and critical thinking. • Learning progressions to help educators analyze student work and measure progress. • Learning design rubrics, templates and examples for incorporating the four elements of learning design: learning partnerships, pedagogical practices, learning environments, and leveraging digital. • Conditions rubrics, teacher self-assessment tools, and planning guides to help educators build, mobilize, and sustain deep learning in schools and districts. Learn about, improve, and expand your world of learning. Put the joy back into learning for students and adults alike. Dive into deep learning to create learning experiences that give purpose, unleash student potential, and transform not only learning, but life itself.

Probability and Statistical Physics in Two and More Dimensions

Author : Clay Mathematics Institute. Summer School
Publisher : American Mathematical Soc.
ISBN 13 : 0821868632
Total Pages : 481 pages
Book Rating : 4.8/5 (218 download)

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Book Synopsis Probability and Statistical Physics in Two and More Dimensions by : Clay Mathematics Institute. Summer School

Download or read book Probability and Statistical Physics in Two and More Dimensions written by Clay Mathematics Institute. Summer School and published by American Mathematical Soc.. This book was released on 2012 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of lecture notes for six of the ten courses given in Buzios, Brazil by prominent probabilists at the 2010 Clay Mathematics Institute Summer School, ``Probability and Statistical Physics in Two and More Dimensions'' and at the XIV Brazilian School of Probability. In the past ten to fifteen years, various areas of probability theory related to statistical physics, disordered systems and combinatorics have undergone intensive development. A number of these developments deal with two-dimensional random structures at their critical points, and provide new tools and ways of coping with at least some of the limitations of Conformal Field Theory that had been so successfully developed in the theoretical physics community to understand phase transitions of two-dimensional systems. Included in this selection are detailed accounts of all three foundational courses presented at the Clay school--Schramm-Loewner Evolution and other Conformally Invariant Objects, Noise Sensitivity and Percolation, Scaling Limits of Random Trees and Planar Maps--together with contributions on Fractal and Multifractal properties of SLE and Conformal Invariance of Lattice Models. Finally, the volume concludes with extended articles based on the courses on Random Polymers and Self-Avoiding Walks given at the Brazilian School of Probability during the final week of the school. Together, these notes provide a panoramic, state-of-the-art view of probability theory areas related to statistical physics, disordered systems and combinatorics. Like the lectures themselves, they are oriented towards advanced students and postdocs, but experts should also find much of interest.

Topological Insulators and Topological Superconductors

Author : B. Andrei Bernevig
Publisher : Princeton University Press
ISBN 13 : 1400846730
Total Pages : 264 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Topological Insulators and Topological Superconductors by : B. Andrei Bernevig

Download or read book Topological Insulators and Topological Superconductors written by B. Andrei Bernevig and published by Princeton University Press. This book was released on 2013-04-07 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: This graduate-level textbook is the first pedagogical synthesis of the field of topological insulators and superconductors, one of the most exciting areas of research in condensed matter physics. Presenting the latest developments, while providing all the calculations necessary for a self-contained and complete description of the discipline, it is ideal for graduate students and researchers preparing to work in this area, and it will be an essential reference both within and outside the classroom. The book begins with simple concepts such as Berry phases, Dirac fermions, Hall conductance and its link to topology, and the Hofstadter problem of lattice electrons in a magnetic field. It moves on to explain topological phases of matter such as Chern insulators, two- and three-dimensional topological insulators, and Majorana p-wave wires. Additionally, the book covers zero modes on vortices in topological superconductors, time-reversal topological superconductors, and topological responses/field theory and topological indices. The book also analyzes recent topics in condensed matter theory and concludes by surveying active subfields of research such as insulators with point-group symmetries and the stability of topological semimetals. Problems at the end of each chapter offer opportunities to test knowledge and engage with frontier research issues. Topological Insulators and Topological Superconductors will provide graduate students and researchers with the physical understanding and mathematical tools needed to embark on research in this rapidly evolving field.

All the Mathematics You Missed

Author : Thomas A. Garrity
Publisher : 清华大学出版社有限公司
ISBN 13 : 9787302090854
Total Pages : 380 pages
Book Rating : 4.0/5 (98 download)

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Book Synopsis All the Mathematics You Missed by : Thomas A. Garrity

Download or read book All the Mathematics You Missed written by Thomas A. Garrity and published by 清华大学出版社有限公司. This book was released on 2004 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Processes in Physics and Engineering

Author : Sergio Albeverio
Publisher : Springer Science & Business Media
ISBN 13 : 9400928939
Total Pages : 418 pages
Book Rating : 4.4/5 (9 download)

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Book Synopsis Stochastic Processes in Physics and Engineering by : Sergio Albeverio

Download or read book Stochastic Processes in Physics and Engineering written by Sergio Albeverio and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Approach your problems from the right end It isn't that they can't see the solution. It is and begin with the answers. Then one day, that they can't see the problem. perhaps you will find the final question. O. K. Chesterton. The Scandal of Father 'The Hermit Qad in Crane Feathers' in R. Brown 'The point of a Pin'. van Gu!ik's The Chinese Maze Murders. Growing specialization and diversification have brought a host of monographs and textbooks on increasingly specialized topics. However, the "tree" of knowledge of mathematics and related fields does not grow only by putting forth new branches. It also happens, quite often in fact, that branches which were thought to be completely disparate are suddenly seen to be related. Further, the kind and level of sophistication of mathematics applied in various sciences has changed drastically in recent years: measure theory is used (non-trivially) in regional and theoretical economics; algebraic geometry interacts with physics; the Minkowsky lemma, coding theory and the structure of water meet one another in packing and covering theory; quantum fields, crystal defects and mathematical programming profit from homotopy theory; Lie algebras are relevant to filtering; and prediction and electrical engineering can use Stein spaces. And in addition to this there are such new emerging subdisciplines as "experimental mathematics", "CFD", "completely integrable systems", "chaos, synergetics and large-scale order", which are almost impossible to fit into the existing classification schemes. They draw upon widely different sections of mathematics.

Mathematical Control Theory

Author : Eduardo D. Sontag
Publisher : Springer Science & Business Media
ISBN 13 : 1461205778
Total Pages : 543 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Mathematical Control Theory by : Eduardo D. Sontag

Download or read book Mathematical Control Theory written by Eduardo D. Sontag and published by Springer Science & Business Media. This book was released on 2013-11-21 with total page 543 pages. Available in PDF, EPUB and Kindle. Book excerpt: Geared primarily to an audience consisting of mathematically advanced undergraduate or beginning graduate students, this text may additionally be used by engineering students interested in a rigorous, proof-oriented systems course that goes beyond the classical frequency-domain material and more applied courses. The minimal mathematical background required is a working knowledge of linear algebra and differential equations. The book covers what constitutes the common core of control theory and is unique in its emphasis on foundational aspects. While covering a wide range of topics written in a standard theorem/proof style, it also develops the necessary techniques from scratch. In this second edition, new chapters and sections have been added, dealing with time optimal control of linear systems, variational and numerical approaches to nonlinear control, nonlinear controllability via Lie-algebraic methods, and controllability of recurrent nets and of linear systems with bounded controls.

Principles of Multiscale Modeling

Author : Weinan E
Publisher : Cambridge University Press
ISBN 13 : 1107096545
Total Pages : 485 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Principles of Multiscale Modeling by : Weinan E

Download or read book Principles of Multiscale Modeling written by Weinan E and published by Cambridge University Press. This book was released on 2011-07-07 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: A systematic discussion of the fundamental principles, written by a leading contributor to the field.

Numerical Computations with GPUs

Author : Volodymyr Kindratenko
Publisher : Springer
ISBN 13 : 3319065483
Total Pages : 404 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Numerical Computations with GPUs by : Volodymyr Kindratenko

Download or read book Numerical Computations with GPUs written by Volodymyr Kindratenko and published by Springer. This book was released on 2014-07-03 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together research on numerical methods adapted for Graphics Processing Units (GPUs). It explains recent efforts to adapt classic numerical methods, including solution of linear equations and FFT, for massively parallel GPU architectures. This volume consolidates recent research and adaptations, covering widely used methods that are at the core of many scientific and engineering computations. Each chapter is written by authors working on a specific group of methods; these leading experts provide mathematical background, parallel algorithms and implementation details leading to reusable, adaptable and scalable code fragments. This book also serves as a GPU implementation manual for many numerical algorithms, sharing tips on GPUs that can increase application efficiency. The valuable insights into parallelization strategies for GPUs are supplemented by ready-to-use code fragments. Numerical Computations with GPUs targets professionals and researchers working in high performance computing and GPU programming. Advanced-level students focused on computer science and mathematics will also find this book useful as secondary text book or reference.

The Craft of Probabilistic Modelling

Author : J. Gani
Publisher : Springer Science & Business Media
ISBN 13 : 1461386314
Total Pages : 323 pages
Book Rating : 4.4/5 (613 download)

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Book Synopsis The Craft of Probabilistic Modelling by : J. Gani

Download or read book The Craft of Probabilistic Modelling written by J. Gani and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the personal accounts and reflections of nineteen mathematical model-builders, whose specialty is probabilistic modelling. The reader may well wonder why, apart from personal interest, one should commission and edit such a collection of articles. There are, of course, many reasons, but perhaps the three most relevant are: (i) a philosophicaJ interest in conceptual models; this is an interest shared by everyone who has ever puzzled over the relationship between thought and reality; (ii) a conviction, not unsupported by empirical evidence, that probabilistic modelling has an important contribution to make to scientific research; and finally (iii) a curiosity, historical in its nature, about the complex interplay between personal events and the development of a field of mathematical research, namely applied probability. Let me discuss each of these in turn. Philosophical Abstraction, the formation of concepts, and the construction of conceptual models present us with complex philosophical problems which date back to Democritus, Plato and Aristotle. We have all, at one time or another, wondered just how we think; are our thoughts, concepts and models of reality approxim&tions to the truth, or are they simply functional constructs helping us to master our environment? Nowhere are these problems more apparent than in mathematical model ling, where idealized concepts and constructions replace the imperfect realities for which they stand.

Machine Learning Meets Quantum Physics

Author : Kristof T. Schütt
Publisher : Springer Nature
ISBN 13 : 3030402452
Total Pages : 473 pages
Book Rating : 4.0/5 (34 download)

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Book Synopsis Machine Learning Meets Quantum Physics by : Kristof T. Schütt

Download or read book Machine Learning Meets Quantum Physics written by Kristof T. Schütt and published by Springer Nature. This book was released on 2020-06-03 with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designing molecules and materials with desired properties is an important prerequisite for advancing technology in our modern societies. This requires both the ability to calculate accurate microscopic properties, such as energies, forces and electrostatic multipoles of specific configurations, as well as efficient sampling of potential energy surfaces to obtain corresponding macroscopic properties. Tools that can provide this are accurate first-principles calculations rooted in quantum mechanics, and statistical mechanics, respectively. Unfortunately, they come at a high computational cost that prohibits calculations for large systems and long time-scales, thus presenting a severe bottleneck both for searching the vast chemical compound space and the stupendously many dynamical configurations that a molecule can assume. To overcome this challenge, recently there have been increased efforts to accelerate quantum simulations with machine learning (ML). This emerging interdisciplinary community encompasses chemists, material scientists, physicists, mathematicians and computer scientists, joining forces to contribute to the exciting hot topic of progressing machine learning and AI for molecules and materials. The book that has emerged from a series of workshops provides a snapshot of this rapidly developing field. It contains tutorial material explaining the relevant foundations needed in chemistry, physics as well as machine learning to give an easy starting point for interested readers. In addition, a number of research papers defining the current state-of-the-art are included. The book has five parts (Fundamentals, Incorporating Prior Knowledge, Deep Learning of Atomistic Representations, Atomistic Simulations and Discovery and Design), each prefaced by editorial commentary that puts the respective parts into a broader scientific context.

Introduction to Partial Differential Equations

Author : Peter J. Olver
Publisher : Springer Science & Business Media
ISBN 13 : 3319020994
Total Pages : 636 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Introduction to Partial Differential Equations by : Peter J. Olver

Download or read book Introduction to Partial Differential Equations written by Peter J. Olver and published by Springer Science & Business Media. This book was released on 2013-11-08 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook is designed for a one year course covering the fundamentals of partial differential equations, geared towards advanced undergraduates and beginning graduate students in mathematics, science, engineering, and elsewhere. The exposition carefully balances solution techniques, mathematical rigor, and significant applications, all illustrated by numerous examples. Extensive exercise sets appear at the end of almost every subsection, and include straightforward computational problems to develop and reinforce new techniques and results, details on theoretical developments and proofs, challenging projects both computational and conceptual, and supplementary material that motivates the student to delve further into the subject. No previous experience with the subject of partial differential equations or Fourier theory is assumed, the main prerequisites being undergraduate calculus, both one- and multi-variable, ordinary differential equations, and basic linear algebra. While the classical topics of separation of variables, Fourier analysis, boundary value problems, Green's functions, and special functions continue to form the core of an introductory course, the inclusion of nonlinear equations, shock wave dynamics, symmetry and similarity, the Maximum Principle, financial models, dispersion and solutions, Huygens' Principle, quantum mechanical systems, and more make this text well attuned to recent developments and trends in this active field of contemporary research. Numerical approximation schemes are an important component of any introductory course, and the text covers the two most basic approaches: finite differences and finite elements.