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ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.E/5 ( download)
Download or read book Symposium in Honour of Ole E. Barndorff-Nielsen, 16-18 November 2000, Aarhus written by and published by . This book was released on 2000 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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ISBN 13 :
Total Pages : 1524 pages
Book Rating : 4.X/5 (6 download)
Download or read book Mathematical Reviews written by and published by . This book was released on 2004 with total page 1524 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul Glasserman
Publisher : Springer Science & Business Media
ISBN 13 : 0387216170
Total Pages : 603 pages
Book Rating : 4.3/5 (872 download)
Download or read book Monte Carlo Methods in Financial Engineering written by Paul Glasserman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis
Author : Fred Espen Benth
Publisher : Springer Science & Business Media
ISBN 13 : 3540708472
Total Pages : 672 pages
Book Rating : 4.5/5 (47 download)
Download or read book Stochastic Analysis and Applications written by Fred Espen Benth and published by Springer Science & Business Media. This book was released on 2007-04-24 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over presented the newest developments within the exciting and fast growing field of stochastic analysis. This volume combines both papers from the invited speakers and contributions by the presenting lecturers. In addition, it includes the Memoirs that Kiyoshi Ito wrote for this occasion.
Author : Yacine Aït-Sahalia
Publisher : Princeton University Press
ISBN 13 : 0691161437
Total Pages : 683 pages
Book Rating : 4.6/5 (911 download)
Download or read book High-Frequency Financial Econometrics written by Yacine Aït-Sahalia and published by Princeton University Press. This book was released on 2014-07-21 with total page 683 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
Author : Fred Espen Benth
Publisher : Springer
ISBN 13 : 3319234250
Total Pages : 362 pages
Book Rating : 4.3/5 (192 download)
Download or read book Stochastics of Environmental and Financial Economics written by Fred Espen Benth and published by Springer. This book was released on 2015-10-23 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.
Author : Monique Mainguet
Publisher : Springer Science & Business Media
ISBN 13 : 3662039060
Total Pages : 320 pages
Book Rating : 4.6/5 (62 download)
Download or read book Aridity written by Monique Mainguet and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: At the intersection of environmental science and human biology, this book deals with dry ecosystems, the societies so affected, and the inventiveness of those living under such conditions. It also tries to answer the question of whether long-lasting development is possible in dry environments.
Author : Barrieu Pauline
Publisher : World Scientific
ISBN 13 : 1786341964
Total Pages : 320 pages
Book Rating : 4.7/5 (863 download)
Download or read book Risk And Stochastics: Ragnar Norberg written by Barrieu Pauline and published by World Scientific. This book was released on 2019-04-18 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: with an autobiography from Ragnar NorbergThe Risk and Stochastics Conference, held at the Royal Statistical Society in April 2015, brought together academics from the worlds of actuarial science, stochastic calculus, finance and statistics to celebrate the achievements of Professor Ragnar Norberg as he turned 70. After the conference, Ragnar Norberg suddenly fell very ill and passed away; this book honours his life and work.This collection of articles is written by speakers of the conference, themselves respected academics who have influenced and been influenced by the life and work of Professor Norberg. His professional and academic achievements are celebrated here, most significantly the instrumental work he put into setting up the world-renowned Risk and Stochastics Enterprise at the London School of Economics (LSE). Subjects covered include discussion of risk measurements, ruin constraint, supporting stable pensions, filtration in discrete time, Riesz means and Beurling moving averages and orthonormal polynomial expansions. Also featured are notes from contributors giving account of their personal relations with Professor Norberg, as well as an autobiographical chapter from the man himself.Aimed at graduate level students and researchers interested in the life and work of Ragnar Norberg, this book provides a unique opportunity to reflect on and understand key findings and ground-breaking research in modern actuarial and financial mathematics and their interface, while giving intimate insights into the life of a leading academic mind.
Author : Riccardo Rebonato
Publisher : John Wiley & Sons
ISBN 13 : 0470091401
Total Pages : 864 pages
Book Rating : 4.4/5 (7 download)
Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author : Oleg A. Ivanov
Publisher : American Mathematical Soc.
ISBN 13 : 0821848089
Total Pages : 349 pages
Book Rating : 4.8/5 (218 download)
Download or read book Making Mathematics Come to Life written by Oleg A. Ivanov and published by American Mathematical Soc.. This book was released on 2009-12-16 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: ``It is difficult to define the genre of the book. It is not a problem book, nor a textbook, nor a `book for reading about mathematics'. It is most of all reminiscent of a good lecture course, from which a thoughtful student comes away with more than was actually spoken about in the lectures.'' --from the Preface by A. S. Merkurjev If you are acquainted with mathematics at least to the extent of a standard high school curriculum and like it enough to want to learn more, and if, in addition, you are prepared to do some serious work, then you should start studying this book. An understanding of the material of the book requires neither a developed ability to reason abstractly nor skill in using the refined techniques of mathematical analysis. In each chapter elementary problems are considered, accompanied by theoretical material directly related to them. There are over 300 problems in the book, most of which are intended to be solved by the reader. In those places in the book where it is natural to introduce concepts outside the high school syllabus, the corresponding definitions are given with examples. And in order to bring out the meaning of such concepts clearly, appropriate (but not too many) theorems are proved concerning them. Unfortunately, what is sometimes studied at school under the name ``mathematics'' resembles real mathematics not any closer than a plucked flower gathering dust in a herbarium or pressed between the pages of a book resembles that same flower in the meadow besprinkled with dewdrops sparkling in the light of the rising sun.
Author : Eva Kaufholz-Soldat
Publisher : Springer Nature
ISBN 13 : 3030476103
Total Pages : 331 pages
Book Rating : 4.0/5 (34 download)
Download or read book Against All Odds written by Eva Kaufholz-Soldat and published by Springer Nature. This book was released on 2020-07-29 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an overview of the ways in which women have been able to conduct mathematical research since the 18th century, despite their general exclusion from the sciences. Grouped into four thematic sections, the authors concentrate on well-known figures like Sophie Germain and Grace Chisholm Young, as well as those who have remained unnoticed by historians so far. Among them are Stanisława Nidodym, the first female students at the universities in Prague at the turn of the 20th century, and the first female professors of mathematics in Denmark. Highlighting individual biographies, couples in science, the situation at specific European universities, and sociological factors influencing specific careers from the 18th century to the present, the authors trace female mathematicians’ status as it evolved from singular and anomalous to virtually commonplace. The book also offers insights into the various obstacles women faced when trying to enter perhaps the “most male” discipline of all, and how some of them continue to shape young girls’ self-perceptions and career choices today. Thus, it will benefit scholars and students in STEM disciplines, gender studies and the history of science; women in science, mathematics and at institutions, and those working in mathematics education.
Author : Andreas Kyprianou
Publisher : John Wiley & Sons
ISBN 13 : 0470017201
Total Pages : 344 pages
Book Rating : 4.4/5 (7 download)
Download or read book Exotic Option Pricing and Advanced Lévy Models written by Andreas Kyprianou and published by John Wiley & Sons. This book was released on 2006-06-14 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field. In recent years, Lévy processes have leapt to the fore as a tractable mechanism for modeling asset returns. Exotic option values are especially sensitive to an accurate portrayal of these dynamics. This comprehensive volume provides a valuable service for financial researchers everywhere by assembling key contributions from the world's leading researchers in the field. Peter Carr, Head of Quantitative Finance, Bloomberg LP. This book provides a front-row seat to the hottest new field in modern finance: options pricing in turbulent markets. The old models have failed, as many a professional investor can sadly attest. So many of the brightest minds in mathematical finance across the globe are now in search of new, more accurate models. Here, in one volume, is a comprehensive selection of this cutting-edge research. Richard L. Hudson, former Managing Editor of The Wall Street Journal Europe, and co-author with Benoit B. Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward
Author : Katharine G. Abraham
Publisher : University of Chicago Press
ISBN 13 : 022680125X
Total Pages : 502 pages
Book Rating : 4.2/5 (268 download)
Download or read book Big Data for Twenty-First-Century Economic Statistics written by Katharine G. Abraham and published by University of Chicago Press. This book was released on 2022-03-11 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction.Big data for twenty-first-century economic statistics: the future is now /Katharine G. Abraham, Ron S. Jarmin, Brian C. Moyer, and Matthew D. Shapiro --Toward comprehensive use of big data in economic statistics.Reengineering key national economic indicators /Gabriel Ehrlich, John Haltiwanger, Ron S. Jarmin, David Johnson, and Matthew D. Shapiro ;Big data in the US consumer price index: experiences and plans /Crystal G. Konny, Brendan K. Williams, and David M. Friedman ;Improving retail trade data products using alternative data sources /Rebecca J. Hutchinson ;From transaction data to economic statistics: constructing real-time, high-frequency, geographic measures of consumer spending /Aditya Aladangady, Shifrah Aron-Dine, Wendy Dunn, Laura Feiveson, Paul Lengermann, and Claudia Sahm ;Improving the accuracy of economic measurement with multiple data sources: the case of payroll employment data /Tomaz Cajner, Leland D. Crane, Ryan A. Decker, Adrian Hamins-Puertolas, and Christopher Kurz --Uses of big data for classification.Transforming naturally occurring text data into economic statistics: the case of online job vacancy postings /Arthur Turrell, Bradley Speigner, Jyldyz Djumalieva, David Copple, and James Thurgood ;Automating response evaluation for franchising questions on the 2017 economic census /Joseph Staudt, Yifang Wei, Lisa Singh, Shawn Klimek, J. Bradford Jensen, and Andrew Baer ;Using public data to generate industrial classification codes /John Cuffe, Sudip Bhattacharjee, Ugochukwu Etudo, Justin C. Smith, Nevada Basdeo, Nathaniel Burbank, and Shawn R. Roberts --Uses of big data for sectoral measurement.Nowcasting the local economy: using Yelp data to measure economic activity /Edward L. Glaeser, Hyunjin Kim, and Michael Luca ;Unit values for import and export price indexes: a proof of concept /Don A. Fast and Susan E. Fleck ;Quantifying productivity growth in the delivery of important episodes of care within the Medicare program using insurance claims and administrative data /John A. Romley, Abe Dunn, Dana Goldman, and Neeraj Sood ;Valuing housing services in the era of big data: a user cost approach leveraging Zillow microdata /Marina Gindelsky, Jeremy G. Moulton, and Scott A. Wentland --Methodological challenges and advances.Off to the races: a comparison of machine learning and alternative data for predicting economic indicators /Jeffrey C. Chen, Abe Dunn, Kyle Hood, Alexander Driessen, and Andrea Batch ;A machine learning analysis of seasonal and cyclical sales in weekly scanner data /Rishab Guha and Serena Ng ;Estimating the benefits of new products /W. Erwin Diewert and Robert C. Feenstra.
Author : Wim Schoutens
Publisher : Wiley
ISBN 13 : 9780470851562
Total Pages : 200 pages
Book Rating : 4.8/5 (515 download)
Download or read book Levy Processes in Finance written by Wim Schoutens and published by Wiley. This book was released on 2003-05-07 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of L?vy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. L?vy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of L?vy-based models, and features many examples of how they may be used to solve problems in finance. * Provides an introduction to the use of L?vy processes in finance. * Features many examples using real market data, with emphasis on the pricing of financial derivatives. * Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling. * Includes many figures to illustrate the theory and examples discussed. * Avoids unnecessary mathematical formalities. The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.
Author : Ole E. Barndorff-Nielsen
Publisher : Springer
ISBN 13 : 3319941291
Total Pages : 402 pages
Book Rating : 4.3/5 (199 download)
Download or read book Ambit Stochastics written by Ole E. Barndorff-Nielsen and published by Springer. This book was released on 2018-11-01 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context. Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.
Author : Robert Everist Greene
Publisher : American Mathematical Soc.
ISBN 13 : 9780821839621
Total Pages : 536 pages
Book Rating : 4.8/5 (396 download)
Download or read book Function Theory of One Complex Variable written by Robert Everist Greene and published by American Mathematical Soc.. This book was released on 2006 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Complex analysis is one of the most central subjects in mathematics. It is compelling and rich in its own right, but it is also remarkably useful in a wide variety of other mathematical subjects, both pure and applied. This book is different from others in that it treats complex variables as a direct development from multivariable real calculus. As each new idea is introduced, it is related to the corresponding idea from real analysis and calculus. The text is rich with examples andexercises that illustrate this point. The authors have systematically separated the analysis from the topology, as can be seen in their proof of the Cauchy theorem. The book concludes with several chapters on special topics, including full treatments of special functions, the prime number theorem,and the Bergman kernel. The authors also treat $Hp$ spaces and Painleve's theorem on smoothness to the boundary for conformal maps. This book is a text for a first-year graduate course in complex analysis. It is an engaging and modern introduction to the subject, reflecting the authors' expertise both as mathematicians and as expositors.
Author : Serge Tabachnikov
Publisher : American Mathematical Soc.
ISBN 13 : 9780821821718
Total Pages : 148 pages
Book Rating : 4.8/5 (217 download)
Download or read book Kvant Selecta: Combinatorics, I written by Serge Tabachnikov and published by American Mathematical Soc.. This book was released on 2001 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of articles translated from Russian editions of the journal "Kvant"--T.p. verso.
