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Call number: | SPRINGER-2016-9783662496961:ONLINE Show nearby items on shelf |

Title: | Generated Dynamics of Markov and Quantum Processes |

Author(s): |
Martin Janßen |

Date: | 2016 |

Size: | 1 online resource (1 p.) |

Note: | 10.1007/978-3-662-49696-1 |

Contents: | Introduction - Dynamics of Relevant Variables- Generated Dynamics -- Formal Solutions -- Special Solutions -- Observables, States, Entropy and Generating Functionals -- Symmetries and Breaking of Symmetries -- Topology -- Selected |

Applications | |

ISBN: | 9783662496961 |

Series: | eBooks |

Series: | SpringerLink (Online service) |

Series: | Springer eBooks |

Keywords: | Physics , Economics, Mathematical , Engineering , Physics , Theoretical, Mathematical and Computational Physics , Engineering, general , Quantitative Finance |

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Call number: | SPRINGER-2016-9783319310893:ONLINE Show nearby items on shelf |

Title: | Brownian Motion, Martingales, and Stochastic Calculus |

Author(s): |
Jean-François Le Gall |

Date: | 2016 |

Size: | 1 online resource (1 p.) |

Note: | 10.1007/978-3-319-31089-3 |

Contents: | Gaussian variables and Gaussian processes -- Brownian motion -- Filtrations and martingales -- Continuous semimartingales -- Stochastic integration -- General theory of Markov processes -- Brownian motion and partial differential equations -- Stoch astic differential equations -- Local times -- The monotone class lemma -- Discrete martingales -- References |

ISBN: | 9783319310893 |

Series: | eBooks |

Series: | SpringerLink (Online service) |

Series: | Springer eBooks |

Series: | Graduate Texts in Mathematics: 274 |

Keywords: | Mathematics , Measure theory , Economics, Mathematical , System theory , Mathematical models , Probabilities , Mathematics , Probability Theory and Stochastic Processes , Quantitative Finance , Measure and Integration , Mathematical Modeling and Industrial Mathematics , Systems Theory, Control |

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Call number: | SPRINGER-2016-9783319280615:ONLINE Show nearby items on shelf |

Title: | Applied Impulsive Mathematical Models |

Author(s): |
Ivanka Stamova |

Date: | 2016 |

Size: | 1 online resource (318 p.) |

Note: | 10.1007/978-3-319-28061-5 |

Contents: | Introduction.-Basic Theory -- Impulsive Biological Models -- Impulsive Models in Population Dynamics -- Impulsive Neural Networks -- Impulsive Models in Economics -- References -- Index |

ISBN: | 9783319280615 |

Series: | eBooks |

Series: | SpringerLink (Online service) |

Series: | Springer eBooks |

Keywords: | Mathematics , Economics, Mathematical , System theory , Statistical physics , Mathematics , Systems Theory, Control , Nonlinear Dynamics , Mathematical Biology in General , Quantitative Finance |

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Call number: | SPRINGER-2016-9783319255897:ONLINE Show nearby items on shelf |

Title: | Stochastic Analysis for Finance with Simulations |

Author(s): |
Geon Ho Choe |

Date: | 2016 |

Size: | 1 online resource (107 p.) |

Note: | 10.1007/978-3-319-25589-7 |

Contents: | Preface -- Acknowledgements -- List of Figures -- List of Tables -- List of Simulations -- Fundamental Concepts -- Financial Derivatives -- The Lebesgue Integral -- Basic Probability Theory -- Conditional Expectation -- Stochastic Processes -- Brown ian Motion -- Girsanov's Theorem -- The Reflection Principle of Brownian Motion -- The Ito Integral -- The Ito Formula -- Stochastic Differential Equations -- The Feynmann-Kac Theorem -- The Binomial Tree Method for Option Pricing -- The Black-Scholes-Mer ton Differential Equation -- The Martingale Method -- Pricing of Vanilla Options -- Pricing of Exotic Options -- American Options -- The Capital Asset Pricing Model -- Dynamic Programming -- Bond Pricing -- Interest Rate Models -- Numeraires -- Numerical Estimation of Volatility -- Time Series -- Random Numbers -- The Monte Carlo Method for Option Pricing -- Numerical Solution of the Black-Scholes-Merton Equation -- Numerical Solution of Stochastic Differential Equations. Appendices -- |

Solutions for Selected Problems -- Glossary -- References -- Index. | |

ISBN: | 9783319255897 |

Series: | eBooks |

Series: | SpringerLink (Online service) |

Series: | Springer eBooks |

Keywords: | Mathematics , Economics, Mathematical , Mathematics , Mathematics, general , Quantitative Finance |

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Call number: | SPRINGER-2014-9783642549595:ONLINE Show nearby items on shelf |

Title: | A Primer on Scientific Programming with Python [electronic resource] |

Author(s): |
Hans Petter Langtangen |

Date: | 2014 |

Edition: | 4th ed. 2014 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer |

Size: | 1 online resource |

Note: | The book serves as a first introduction to computer programming of scientific applications, using the high-level Python language. The exposition is example and problem-oriented, where the applications are taken from mathematics,numerical calculus, st atistics, physics, biology and finance. The book teaches Matlab-style and procedural programming as well as object-oriented programming. High school mathematics is a required background and it is advantageousto study classical and numerical one-variable c alculus in parallel with reading this book. Besides learning how to program computers, the reader will also learn how to solve mathematical problems, arising in various branches of scienceand engineering, with the aid of numerical methods and programming. By blending programming, mathematics and scientific applications, the book lays a solid foundation for practicing computational science. From the reviews: Langtangen does an excellent job of introducing programming as a set of skills in problem solving. He guides the reader into thinking properly about producing program logic and data structures for modeling real-world problems using objectsand functions and embracing the object-oriented paradigm. Summing Up: Highly recommended. F. H. Wild III, Choice, Vol. 47 (8), April 2010 Those of us who have learned scientific programming in Python on the streets could be alittle jealous of students who have the opportunity to take a course out of Langtangens Primer. John D. Cook, The Mathematical Association of Am erica, September 2011 This book goes through Python in particular, and programmingin general, via tasks that scientists will likely perform. It contains valuable informationfor students new to scientific computing and would be the perfect bridge between a n introduction to programming and an advanced course onnumerical methods or computational science. Alex Small, IEEE, CiSE Vol. 14 (2), March/April 2012 |

Contents: | Preface |

Computing with Formulas | |

Loops and Lists | |

Functions and Branching | |

User Input and Error Handling | |

Array Computing and Curve Plotting | |

Dictionaries and Strings | |

Introduction to Classes | |

Random Numbers and Simple Games | |

Object | |

Oriented Programming | |

Sequences and Difference Equations | |

Introduction to Discrete Calculus | |

Introduction to Differential Equations | |

A Complete Differential Equation Project | |

Programming of Differential Equations | |

Debugging | |

Migrating Python to Compiled Code | |

Technical Topics | |

Bibliography | |

Index | |

ISBN: | 9783642549595 |

Series: | eBooks |

Series: | SpringerLink |

Series: | Texts in Computational Science and Engineering, 1611-0994 : v6 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Software engineering , Computer science |

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Call number: | SPRINGER-2014-9783642376320:ONLINE Show nearby items on shelf |

Title: | Fluctuations of Lvy Processes with Applications [electronic resource] : Introductory Lectures |

Author(s): |
Andreas E Kyprianou |

Date: | 2014 |

Edition: | 2nd ed. 2014 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer |

Size: | 1 online resource |

Note: | Lvy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their application appears in the theory of many areas ofclassical and modern stocha stic processes including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance, continuous-state branching processes and positive self-similar Markovprocesses. This textbook is based on a series of gradu ate courses concerning the theory and application of Lvy processes from the perspective of their path fluctuations. Central to the presentation is the decomposition of paths interms of excursions from the running maximum as well as an understanding of sho rt- and long-term behaviour. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results andapplications often focus on the case of Lvy processes with jumps in only one direction, for which re cent theoretical advances have yielded a higher degree of mathematical tractability. The second edition additionally addresses recentdevelopments in the potential analysis of subordinators, Wiener-Hopf theory, the theory of scale functions and their appli cation to ruin theory, as well as including an extensive overview of the classical and modern theory of positiveself-similar Markov processes. Each chapter has a comprehensive set of exercises. Andreas Kyprianou has a degree in Mathematics from the Univer sity of Oxford and a Ph.D. in Probability Theory from The University of Sheffield. He iscurrently a Professor of Probability at the University of Bath, having held academic positions in Mathematics and Statistics Departments at the London School of Econom ics, Edinburgh University, Utrecht University and Heriot-WattUniversity, besides working for nearly two years as a research mathematician in the oil industry. His research is focused on pure and a |

Contents: | Lvy Processes and Applications |

The LvyIt Decomposition and Path Structure | |

More Distributional and Path | |

Related Properties | |

General Storage Models and Paths of Bounded Variation | |

Subordinators at First Passage and Renewal Measures | |

The WienerHopf Factorisation | |

Lvy Processes at First Passage | |

Exit Problems for Spectrally Negative Processes | |

More on Scale Functions | |

Ruin Problems and Gerber | |

Shiu Theory | |

Applications to Optimal Stopping Problems | |

Continuous | |

State Branching Processes | |

Positive Self | |

similar Markov Processes | |

Epilogue | |

Hints for Exercises | |

ISBN: | 9783642376320 |

Series: | eBooks |

Series: | SpringerLink |

Series: | Universitext, 0172-5939 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) |

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Call number: | SPRINGER-2014-9783319081298:ONLINE Show nearby items on shelf |

Title: | Tychastic Measure of Viability Risk [electronic resource] |

Author(s): |
Jean-Pierre Aubin Luxi Chen Olivier Dordan |

Date: | 2014 |

Publisher: | Cham : Springer International Publishing : Imprint: Springer |

Size: | 1 online resource |

Note: | This book presents a forecasting mechanism of the price intervals for deriving the SCR (solvency capital requirement) eradicating the risk during the exercise period on one hand, and measuring the risk by computing the hedgingexit time function assoc iating with smaller investments the date until which the value of the portfolio hedges the liabilities on the other. This information, summarized under the term tychastic viability measure of risk is anevolutionary alternative to statistical measures, whe n dealing with evolutions under uncertainty. The book is written by experts in the field and the target audience primarily comprises research experts and practitioners |

Contents: | Part I Description, Illustration and Comments of the Results |

The Viabilist Portfolio Performance and Insurance Approach | |

Technical and Quantitative Analysis of Tubes | |

Uncertainty on Uncertainties | |

Part II Mathematical Proofs | |

Why Viability Theory? A Survival Kit | |

General Viabilist Portfolio Performance and Insurance Problem | |

ISBN: | 9783319081298 |

Series: | eBooks |

Series: | SpringerLink |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) |

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Call number: | SPRINGER-2014-9783319066325:ONLINE Show nearby items on shelf |

Title: | General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions [electronic resource] |

Author(s): |
Qi L Xu Zhang |

Date: | 2014 |

Publisher: | Cham : Springer International Publishing : Imprint: Springer |

Size: | 1 online resource |

Note: | The classical Pontryagin maximum principle (addressed to deterministic finite dimensional control systems) is one of the three milestones in modern control theory. The corresponding theory is by now well-developed in thedeterministic infinite dimensi onal setting and for the stochastic differential equations. However, very little is known about the same problem but for controlled stochastic (infinite dimensional) evolution equations when the diffusionterm contains the control variables and the control domains are allowed to be non-convex. Indeed, it is one of the longstanding unsolved problems in stochastic control theory to establish the Pontryagintype maximum principle for thiskind of general control systems: this book aims to give a solution to thi s problem. This bookwill beuseful for both beginners and experts who are interested in optimal control theory for stochastic evolution equations |

ISBN: | 9783319066325 |

Series: | eBooks |

Series: | SpringerLink |

Series: | SpringerBriefs in Mathematics, 2191-8198 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Systems theory , Mathematical optimization , Distribution (Probability theory) , Statistics |

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Call number: | SPRINGER-2014-9783319015958:ONLINE Show nearby items on shelf |

Title: | Data Analysis, Machine Learning and Knowledge Discovery [electronic resource] |

Author(s): |
Myra Spiliopoulou Lars Schmidt-Thieme Ruth Janning |

Date: | 2014 |

Publisher: | Cham : Springer International Publishing : Imprint: Springer |

Size: | 1 online resource |

Note: | Data analysis, machine learning and knowledge discovery are research areas at the intersection of computer science, artificial intelligence, mathematics and statistics. They cover general methods and techniques that can be appliedto a vast set of app lications such as web and text mining, marketing, medicine, bioinformatics and business intelligence. This volume contains the revised versions of selected papers in the field of data analysis, machine learning andknowledge discovery presented during the 36th annual conference of the German Classification Society (GfKl). The conference was held at the University of Hildesheim (Germany) in August 2012 |

Contents: | AREA Statistics and Data Analysis: Classifcation, Cluster Analysis, Factor Analysis and Model Selection |

AREA Machine Learning and Knowledge Discovery: Clustering, Classifiers, Streams and Social Networks | |

AREA Data Analysis and Classification in Marketing | |

AREA Data Analysis in Finance | |

AREA Data Analysis in Biostatistics and Bioinformatics | |

AREA Interdisciplinary Domains: Data Analysis in Music, Education and Psychology | |

LIS Workshop: Workshop on Classification and Subject Indexing in Library and Information Science | |

ISBN: | 9783319015958 |

Series: | eBooks |

Series: | SpringerLink |

Series: | Studies in Classification, Data Analysis, and Knowledge Organization, 1431-8814 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Statistics , Data mining , Statistical methods , Mathematical statistics , Marketing , Philosophy (General) |

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Call number: | SPRINGER-2014-9781461495338:ONLINE Show nearby items on shelf |

Title: | Genericity in Nonlinear Analysis [electronic resource] |

Author(s): |
Simeon Reich Alexander J Zaslavski |

Date: | 2014 |

Publisher: | New York, NY : Springer New York : Imprint: Springer |

Size: | 1 online resource |

Note: | This book presents an extensive collection of state-of-the-art results and references in nonlinear functional analysis demonstrating how the generic approach proves to be very useful in solving many interesting and importantproblems. Nonlinear analys is plays an ever-increasing role in theoretical and applied mathematics, as well as in many other areas of science such as engineering, statistics, computer science, economics, finance, and medicine. The textmay be used as supplementary material for gradu ate courses in nonlinear functional analysis, optimization theory and approximation theory, and is a treasure trove for instructors, researchers, and practitioners in mathematics and inthe mathematical sciences. Each chapter is self-contained proofs are solid and carefully communicated. Genericity in Nonlinear Analysis is the first book to systematically present the generic approach to nonlinear analysis. Topicspresented include convergence analysis of powers and infinite products via the Baire Category Theorem, fixed point theory of both single- and set-valued mappings, best approximation problems, discrete and continuous descent methods forminimization in a general Banach space, and the structure of minimal energy configurations with rational numbers i n the AubryMather theory |

Contents: | Preface |

1. Introduction | |

2. Fixed Point Results and Convergence of Powers of Operators | |

3. Contractive Mappings | |

4. Dynamical Systems with Convex Lyapunov Functions | |

5. Relatively Nonexpansive Operators with Respect to Bregman Distances | |

6. Infinite Products | |

7.Best Approximation | |

8. Descent Methods | |

9. Set | |

Valued Mappings | |

References | |

Index | |

ISBN: | 9781461495338 |

Series: | eBooks |

Series: | SpringerLink |

Series: | Developments in Mathematics, 1389-2177 : v34 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Functional analysis , Operator theory , Mathematical optimization |

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Call number: | SPRINGER-2013-9783642335907:ONLINE Show nearby items on shelf |

Title: | Mathematical Risk Analysis [electronic resource] : Dependence, Risk Bounds, Optimal Allocations and Portfolios |

Author(s): |
Ludger Rschendorf |

Date: | 2013 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical riskanalysis, in particular of those parts of risk theory that are of special relevance to finance and insurance. Describing the influence of dependence in multivariate stochastic models on risk vectors is the main focus of the text thatpresents main ideas and methods as well as their relevance to practical applications. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence andto the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant tooptimal risk allocation, optimal portfolio problems as well as to the optimization of insuran ce contracts. Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortablyreading and working with the present volume, which is intended for graduate students, practitioners and researchers a nd can serve as a reference resource for the main concepts and techniques. |

Note: | Springer eBooks |

Contents: | Preface |

Part I: Stochastic Dependence and Extremal Risk | |

1 Copulas, Sklar's Theorem, and Distributional Transform | |

2 Frchet Classes, Risk Bounds, and Duality Theory | |

3 Convex Order, Excess of Loss, and Comonotonicity | |

4 Bounds for the Distribution Function and Value at Risk of the Joint Portfolio | |

5 Restrictions on the Dependence Structure | |

6 Dependence Orderings of Risk Vectors and Portfolios | |

Part II: Risk Measures and Worst Case Portfolios | |

7 Risk Measures for Real Risks | |

8 Risk Measures for Portfolio Vectors | |

9 Law Invariant Convex Risk Measures on L_d^p and Optimal Ma | |

ISBN: | 9783642335907 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Series in Operations Research and Financial Engineering, 1431-8598 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) , Economics Statistics |

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Call number: | SPRINGER-2013-9783642317422:ONLINE Show nearby items on shelf |

Title: | Discrete Time Series, Processes, and Applications in Finance [electronic resource] |

Author(s): |
Gilles Zumbach |

Date: | 2013 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing thedynamic behavior of financ ial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications forimportant financial applications used in many ar eas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empiricalstatistics provide a solid benchmark of stylized facts (heteroskedasticity, l ong memory, fat-tails, leverage), in order to assess various mathematical structures that can capture the observed regularities. The author introduces abroad range of processes and evaluates them systematically against the benchmark, summarizing the succe sses and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with longmemory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process,whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market riskevaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, includinggraduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics. Gilles Zumbach |

Note: | Springer eBooks |

Contents: | Preface |

List of Figures | |

List of Tables | |

1. Introduction | |

2.Notation, naming and general definitions | |

3.Stylized facts | |

4.Empirical mug shots | |

5.Process Overview | |

6.Logarithmic versus relative random walks | |

7.ARCH processes | |

8.Stochastic volatility processes | |

9.Regime switching process | |

10.Price and volatility using high | |

frequency data | |

11.Time reversal asymmetry | |

12.Characterizing heteroskedasticity | |

13.The innovation distributions | |

14.Leverage effect | |

15.Processes and market risk evaluation | |

16.Option pricing | |

17.Properties of large covariance matrices | |

ISBN: | 9783642317422 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Finance, 1616-0533 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) , Economics Statistics |

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Call number: | SPRINGER-2013-9783642142000:ONLINE Show nearby items on shelf |

Title: | Contract Theory in Continuous-Time Models [electronic resource] |

Author(s): |
Jaka Cvitani Jianfeng Zhang |

Date: | 2013 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | In recent years there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solvingstochastic optimizatio n problems of finding the optimal contracts between two parties, under various assumptions on the information they have access to, and the effect they have on the underlying profit/loss values. This monographsurveys recent results of the theory in a syste matic way, using the approach of the so-called Stochastic Maximum Principle, in models driven by Brownian Motion. Optimal contracts are characterized via a system of Forward-BackwardStochastic Differential Equations. In a number of interesting special cas es these can be solved explicitly, enabling derivation of many qualitative economic conclusions |

Note: | Springer eBooks |

Contents: | Preface |

PART I Introduction: 1.The Principal | |

Agent Problem | |

2.Single | |

Period Examples | |

PART II First Best. Risk Sharing under Full Information: 3.Linear Models with Project Selection, and Preview of Results | |

4.The General Risk Sharing Problem | |

PART III Second Best. Contracting Under Hidden Action | |

The Case of Moral Hazard: 5.The General Moral Hazard Problem | |

6.DeMarzo and Sannikov (2007), Biais et al (2007) An Application to Capital Structure Problems: Optimal Financing of a Company | |

PART IV Third Best. Contracting Under Hidden Action and Hidden Type The Case of Moral Haz | |

ISBN: | 9783642142000 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Finance, 1616-0533 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Systems theory |

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Call number: | SPRINGER-2013-9783034805452:ONLINE Show nearby items on shelf |

Title: | Seminar on Stochastic Analysis, Random Fields and Applications VII [electronic resource] : Centro Stefano Franscini, Ascona, May 2011 |

Author(s): |
Robert C Dalang Marco Dozzi Francesco Russo |

Date: | 2013 |

Publisher: | Basel : Springer Basel : Imprint: Birkhuser |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | This book presents refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications, which was held at the Centro Stefano Franscini (Monte Verit) in Ascona, Switzerland,in May 2011. The seminar mainly focused on: stochastic (partial) differential equations, especially with regard to jump processes, construction of solutions and approximations Malliavin calculus and Stein methods, and othertechniques in stochastic analysis, especially chaos rep resentations and convergence, and applications to models of interacting particle systems stochastic methods in financial models, especially models for power markets or for riskanalysis, empirical estimation and approximation, stochastic control and optim al pricing. The notes of the public lecture held by Nicolas Bouleau on the fundamental question of whether there can be an excessive mathematization of theworld in an economic context are also included. The book will be a valuable resource for researchers working in stochastic analysis and for professionals interested in stochastic methods in finance. Contributors: R. Balan F.E. Benth F.Biagini N. Bouleau S. Cawston C. Ceci R. Cogo G. Di Nunno R. Eden H. Eyjolfsson B. Ferrario D. Filipovic A. Gombani I. G yngy B. Jourdain A. Kohatsu-Higa T. Lim V. Ly Vath V. Mandrekar C. Marinelli L.M. Morato H.-L. Ngo I. Nourdin G.Peccati B. Rdiger W.J. Runggaldier J.-M. Sahut M. Sbai S. Scotti S. Sjursen R. Speicher S.S. Sritharan W. Stannat P.R. Stinga S. Tappe S. Ugoli ni A.R.L. Valdez T. Vargiolu F. Viens L. Vostrikova M. Xu |

Note: | Springer eBooks |

Contents: | Foreword |

Public lecture by N. Bouleau, Can there be excessive mathematization of the world? | |

Part I: Stochastic analysis and random fields R. Balan, Recent advances related to SPDEs with fractional noise | |

G. Di Nunno, S.Sjursen, On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process | |

R. Eden, F. Viens, General upper and lower tail estimates using Malliavin calculus and Stein's equations | |

B. Ferrario, Uniqueness and absolute continuity for semilinear SPDE's | |

I. Gyngy, P.R. Stinga, Rate of convergence of Wong | |

Zakai approximations for SPDEs | |

ISBN: | 9783034805452 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Progress in Probability : v67 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Global analysis (Mathematics) , Differential equations, partial , Distribution (Probability theory) |

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Call number: | SPRINGER-2013-9781461485117:ONLINE Show nearby items on shelf |

Title: | Finance with Monte Carlo [electronic resource] |

Author(s): |
Ronald W Shonkwiler |

Date: | 2013 |

Publisher: | New York, NY : Springer New York : Imprint: Springer |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed onexploiting the power of th e Monte Carlo method to illustrate and explore financial principles. Monte Carlo is the uniquely appropriate tool for modeling the random factors that drive financial markets and simulating their implications.The Monte Carlo method is introduced early and it is used in conjunction with the geometric Brownian motion model (GBM) to illustrate and analyze the topics covered in the remainder of the text. Placing focus on Monte Carlo methodsallows for students to travel a short road from theory to practical ap plications. Coverage includes investment science, mean-variance portfolio theory, option pricing principles, exotic options, option trading strategies, jumpdiffusion and exponential Lvy alternative models, and the Kelly criterion for maximizing investment growth. Novel features: inclusion of both portfolio theory and contingent claim analysis in a single text pricing methodology forexotic options expectation analysis of option trading strategies pricing models that transcend the BlackScholes framework opt imizing investment allocations concepts thoroughly explored through numerous simulation exercises numerousworked examples and illustrations The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions o f linear systems, and a knowledge of probability including expectation, densities andthe normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language. The mathematicalbackground required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge o |

Note: | Springer eBooks |

Contents: | 1. Geometric Brownian Motion and the Efficient Market Hypothesis |

2. Return and Risk | |

3. Forward and Option Contracts and their Pricing | |

4. Pricing Exotic Options | |

5. Option Trading Strategies | |

6. Alternative to GBM Prices | |

7. Kelly's Criterion | |

Appendices | |

A. Some Mathematical Background Topics | |

B. Stochastic Calculus | |

C. Convergence of the Binomial Method | |

D. Variance Reduction Techniques | |

E. Shell Sort | |

F. Next Day Prices Program | |

References | |

List of Notation | |

List of Algorithms | |

Index | |

ISBN: | 9781461485117 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Undergraduate Texts in Mathematics and Technology, 1867-5506 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Numerical analysis , Distribution (Probability theory) |

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Call number: | SPRINGER-2013-9781447153313:ONLINE Show nearby items on shelf |

Title: | Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications [electronic resource] : BSDEs with Jumps |

Author(s): |
ukasz Delong |

Date: | 2013 |

Publisher: | London : Springer London : Imprint: Springer |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and acompensated random measure, with an emphasis on those generated by step processes and Lvy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistentnonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory. Part II investigates actuarial and financial applications of BSDEs with jumps. Itconsiders a general financial and insurance model and deals with pricing and hed ging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadraticoptimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricin g and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications. This book will makeBSDEs more accessible to those who are interested in applying these equations to actuarial and financial problems. It will be bene ficial to students and researchers in mathematical finance, risk measures, portfolio optimization as wellas actuarial practitioners |

Note: | Springer eBooks |

Contents: | Introduction |

Stochastic Calculus | |

Backward Stochastic Differential Equations the General Case | |

Forward | |

Backward Stochastic Differential Equations | |

Numerical Methods for FBSDEs | |

Nonlinear Expectations and g | |

Expectations | |

Combined Financial and Insurance Model | |

Linear BSDEs and Predictable Representations of Insurance Payment Processes | |

Arbitrage | |

Free Pricing, Perfect Hedging and Superhedging | |

Quadratic Pricing and Hedging | |

Utility Maximization and Indifference Pricing and Hedging | |

Pricing and Hedging under a Least Favorable Measure | |

Dynamic Risk Measures | |

Other Cl | |

ISBN: | 9781447153313 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | EAA Series, 1869-6929 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) |

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Call number: | SPRINGER-2012-9789491216473:ONLINE Show nearby items on shelf |

Title: | Stochastic Differential Games. Theory and Applications [electronic resource] |

Author(s): |
Kandethody M Ramachandran Chris P Tsokos |

Date: | 2012 |

Publisher: | Paris : Atlantis Press |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | Conflicts in the form of wars, or competition among countries and industrial institutions are plenty in human history. The introduction of game theory in the middle of the twentieth century shed insights and enabled researchers toanalyze this subject with mathematical rigor. From the ground-breaking work of VonNeumann and Morgenston, modern game theory evolved enormously. In the last few decades, Dynamic game theory framework has been deepened and generalizedfrom the pioneering work on differential g ames by R. Isaacs, L.S. Pontryagin and his school, and on stochastic games by Shapley. This book will expose the reader to some of the fundamental methodology in non-cooperative game theory,and highlight some numerical methods, along with some relevant ap plications. Since the early development days, differential game theory has had a significant impact in such diverse disciplines as applied mathematics, economics, systemstheory, engineering, operations, research, biology, ecology, environmental sciences, among others. Modern game theory now relies on wide ranging mathematical and computational methods, and relevant applications that are rich andchallenging. Game theory has been widely recognized as an important tool in many fields. Importance of game theo ry to economics is illustrated by the fact that numerous game theorists, such as John Forbes Nash, Jr., Robert J. Aumannand Thomas C. Schelling, have won the Nobel Memorial Prize in Economics Sciences. Simply put, game-theory has the potential to reshape the analysis of human interaction |

Note: | Springer eBooks |

Contents: | Introduction, Survey and Background Material |

Stochastic Linear Pursuit | |

Evasion Game | |

Two Person Zero | |

Sum Differential Games | |

General Case | |

Formal Solutions for Some Classes of Stochastic Linear Pursuit | |

N | |

Person Noncooperative Differential Games | |

Weak Convergence in Two Player Stochastic Differential Games | |

Weak Convergence in Many Player Games | |

Some Numerical Methods | |

Applications to Finance | |

ISBN: | 9789491216473 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Atlantis Studies in Probability and Statistics, 1879-6893 : v2 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Distribution (Probability theory) , Economics, Mathematical |

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Call number: | SPRINGER-2012-9788847025387:ONLINE Show nearby items on shelf |

Title: | Financial Mathematics [electronic resource] : Theory and Problems for Multi-period Models |

Author(s): |
Andrea Pascucci Wolfgang J Runggaldier |

Date: | 2012 |

Publisher: | Milano : Springer Milan : Imprint: Springer |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | With the Bologna Accords a bachelor-master-doctor curriculum has been introduced in various countries with the intention that students may enter the job market already at the bachelor level. Since financial Institutions providenon negligible job oppo rtunities also for mathematicians, and scientists in general, it appeared to be appropriate to have a financial mathematics course already at the bachelor level in mathematics. Most mathematical techniques in usein financial mathematics are related to con tinuous time models and require thus notions from stochastic analysis that bachelor students do in general not possess. Basic notions and methodologies in use in financial mathematics canhowever be transmitted to students also without the technicalities f rom stochastic analysis by using discrete time (multi-period) models for which general notions from Probability suffice and these are generally familiar to studentsnot only from science courses, but also from economics with quantitative curricula. There d o not exists many textbooks for multi-period models and the present volume is intended to fill in this gap. It deals with the basic topics infinancial mathematics and, for each topic, there is a theoretical section and a problem section. The latter includ es a great variety of possible problems with complete solution |

Note: | Springer eBooks |

Contents: | Pricing and hedging |

Portfolio optimization | |

American options | |

Interest rates | |

ISBN: | 9788847025387 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Unitext, 2038-5714 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Economics |

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Call number: | SPRINGER-2012-9783642312144:ONLINE Show nearby items on shelf |

Title: | Analytically Tractable Stochastic Stock Price Models [electronic resource] |

Author(s): |
Archil Gulisashvili |

Date: | 2012 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in acelebrated Black-Sch oles model of option pricing. In a stock price model with stochastic volatility, the random behavior of the volatility is described by a stochastic process. For instance, in the Hull-White model the volatilityprocess is a geometric Brownian motion, the St ein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility. One of theauthor's main goals is to provide sharp asymptotic formulas with error estimates for distribution densities of stock prices, option pricing functions, and implied volatilities in various stochastic volatility models. The author alsoestablishes sharp asymptotic formulas for the implied volatility at extreme strikes in general stochastic stock price models. The present volume is addressed to researchers and graduate students working in the area of financialmathematics, analysis, or probability theory. The reader is expected to be familiar with elements of classical analysis, s tochastic analysis and probability theory |

Note: | Springer eBooks |

Contents: | Preface |

Aknowledgements | |

1.Volatility Processes | |

2.Stock Price Models with Stochastic Volatility | |

3.Realized Volatility and Mixing Distributions | |

4.Integral Transforms of Distribution Densities | |

5.Asymptotic Analysis of Mixing Distributions | |

6.Asymptotic Analysis of Stock Price Distributions | |

7.Regularly Varying Functions and Pareto Type Distributions | |

8.Asymptotic Analysis of Option Pricing Functions | |

9.Asymptotic Analysis of Implied Volatility | |

10.More Formulas for Implied Volatility | |

11.Implied Volatility in Models Without Moment Explosions | |

Bibliography | |

Index | |

ISBN: | 9783642312144 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Finance, 1616-0533 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Global analysis (Mathematics) , Finance , Distribution (Probability theory) |

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Call number: | SPRINGER-2012-9783642172298:ONLINE Show nearby items on shelf |

Title: | Applied Multivariate Statistical Analysis [electronic resource] |

Author(s): |
Wolfgang Karl Hrdle Lopold Simar |

Date: | 2012 |

Edition: | 3rd ed. 2012 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

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Note: | Springer 2013 e-book collections |

Note: | Most of the observable phenomena in the empirical sciences are of a multivariate nature. In financial studies, assets are observed simultaneously and their joint development is analysed to better understand general risk and totrack indices. In medici ne recorded observations of subjects in different locations are the basis of reliable diagnoses and medication. In quantitative marketing consumer preferences are collected in order to construct models ofconsumer behavior. The underlying data structure of these and many other quantitative studies of applied sciences is multivariate. Focusing on applications this book presents the tools and concepts of multivariate data analysis ina way that is understandable for non-mathematicians and practitioners who ne ed to analyze statistical data. The book surveys the basic principles of multivariate statistical data analysis and emphasizes both exploratory andinferential statistics. All chapters have exercises that highlight applications in different fields. The thi rd edition of this book on Applied Multivariate Statistical Analysis offers the following new features A new Chapter onRegression Models has been added All numerical examples have been redone, updated and made reproducible in MATLAB or R, see www.quantlet .org for a repository of quantlets |

Note: | Springer eBooks |

Contents: | I. Descriptive Techniques: Comparison of Batches |

II. Multivariate Random Variables: A Short Excursion into Matrix Algebra | |

Moving to Higher Dimensions | |

Multivariate Distributions | |

Theory of the Multinormal | |

Theory of Estimation | |

Hypothesis Testing | |

III. Multivariate Techniques: Regression Models | |

Decomposition of Data Matrices by Factors | |

Principal Components Analysis | |

Factor Analysis | |

Cluster Analysis | |

Discriminant Analysis | |

Correspondence Analysis | |

Canonical Correlation Analysis | |

Multidimensional Scaling | |

Conjoint Measurement Analysis | |

Applications | |

ISBN: | 9783642172298 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Statistics , Finance , Mathematical statistics , Economics Statistics , Economics |

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Call number: | SPRINGER-2012-9780387714189:ONLINE Show nearby items on shelf |

Title: | Neutral and Indifference Portfolio Pricing, Hedging and Investing [electronic resource] : With applications in Equity and FX |

Author(s): |
Srdjan Stojanovic |

Date: | 2012 |

Publisher: | New York, NY : Springer New York : Imprint: Springer |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | This book is written for quantitative finance professionals, students, educators, and mathematically inclined individual investors. It is about some of the latest developments in pricing, hedging, and investing in incompletemarkets. With regard to pr icing, two frameworks are fully elaborated: neutral and indifference pricing. With regard to hedging, the most conservative and relaxed hedging formulas are derived. With regard to investing, the neutralpricing methodology is also considered as a tool for connecting market asset prices with optimal positions in such assets. While there are many books on the financial mathematics of incomplete markets based on probability, andequivalent martingale measure approach to pricing, this book is based solely on t he analytical aspects of stochastic control, or more precisely, portfolio optimization. Namely, relying solely on portfolio optimization, neutral andindifference pricing as well as hedging methodologies were fully developed in the context of arbitrary dif fusiveMarkovian market models and portfolios of contracts. That was made possible by some recent discoveries, the most specificone being a recently found matrix inverse the fundamental matrix of derivatives pricing and hedging. This approach, while very general, is very feasible for practical implementations. So, many examples are fully derived. The readerwill get the full understanding of the relationship between neutral and indifference pricing, how to implement either one of these pricing methodologie s, how to implement hedging methodologies, and how to apply all these in equityportfolio valuations and foreign exchange. SrdjanD.Stojanovic isProfessor in the Department of Mathematical Sciences at University of Cincinnati (USA) and Professor in the Cent er for Financial Engineering at Suzhou University(China) |

Note: | Springer eBooks |

Contents: | Preface |

Background Material | |

Simple economiescomplete and incomplete markets | |

Investment Portfolio Optimization | |

Pricing: Neutral and Indifference | |

Hedging | |

Equity Valuation and Investing | |

FX Rates and FX Derivatives | |

Appendix | |

References | |

ISBN: | 9780387714189 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Differential equations, partial , Finance , Computer science Mathematics |

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Call number: | SPRINGER-2011-9788847017818:ONLINE Show nearby items on shelf |

Title: | PDE and Martingale Methods in Option Pricing [electronic resource] |

Author(s): |
Andrea Pascucci |

Date: | 2011 |

Publisher: | Milano : Springer Milan |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part containsa presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by meansof of PDEs techniques. After the martingal e representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are alsoused in the analysis of volatility modeling. The book also contai ns an Introduction to Lvy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo,binomial trees, finite differences and Fourier transform |

Note: | Springer eBooks |

ISBN: | 9788847017818 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Bocconi & Springer Series, 2039-1471 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) |

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Call number: | SPRINGER-2011-9783642207211:ONLINE Show nearby items on shelf |

Title: | Life Insurance Risk Management Essentials [electronic resource] |

Author(s): |
Michael Koller |

Date: | 2011 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | The aim of the book is to provide an overview of risk management in life insurance companies. The focus is twofold: (1) to provide a broad view of the different topics needed for risk management and (2) to provide the necessarytools and techniques to concretely apply them in practice. Much emphasis has been put into the presentation of the book so that it presents the theory in a simple but sound manner. The first chapters deal with valuation concepts whichare defined and analysed, the emphasis is on understanding the risks in corresponding assets and liabilities such as bonds, shares and also insurance liabilities. In the following chapters risk appetite and key insurance processes andtheir risks are presented and analysed. This more general treatme nt is followed by chapters describing asset risks, insurance risks and operational risks - the application of models and reporting of the corresponding risks is central.Next, the risks of insurance companies and of special insurance products are looked at . The aim is to show the intrinsic risks in some particular products and the way they can be analysed. The book finishes with emerging risks and riskmanagement from a regulatory point of view, the standard model of Solvency II and the Swiss Solvency Test are analysed and explained. The book has several mathematical appendices which deal with the basic mathematical tools, e.g.probability theory, stochastic processes, Markov chains and a tochastic life insurance model based on Markov chains. Moreover, the a ppendices look at the mathematical formulation of abstract valuation concepts such as replicatingportfolios, state space deflators, arbitrage free pricing and the valuation of unit linked products with guarantees. The various concepts in the book are supp orted by tables and figures |

Note: | Springer eBooks |

Contents: | What is Risk Management |

The role of the Balance Sheets and of Capital | |

Accounting Principles | |

Risk Appetite and Tolerance | |

Key Insurance Processes and their Risks | |

Financial Risks and their Modelling | |

Insurance Risks | |

Operational Risks | |

Capital Models and Integrated Risk Management | |

Risk adjusted performance Metrics | |

Risk Management in a Group and Intra | |

group Transactions | |

Products and their Risks | |

Emerging Risks | |

Regulatory view on Risk Management: Solvency II | |

Governance and Organisation | |

A Stochastic Processes | |

B Application of the Markov model to Life Insur | |

ISBN: | 9783642207211 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | EAA Series, 1869-6929 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Economics , Mathematics , Distribution (Probability theory) , Economics Statistics , Economics, Mathematical , Finance |

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Call number: | SPRINGER-2011-9783642184123:ONLINE Show nearby items on shelf |

Title: | Advanced Mathematical Methods for Finance [electronic resource] |

Author(s): |
Giulia Di Nunno Bernt ksendal |

Date: | 2011 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion,insider trading, informati on in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lvyprocesses and jump diffusions. Moreover, fractional Br ownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, newmethods and new models are all introduced in different forms according to th e subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students,researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters wi ll also be of interest to experts in the financial market interested in new methods and products. This volume presents theresults of the European ESF research networking program Advanced Mathematical Methods for Finance |

Note: | Springer eBooks |

Contents: | Dynamic risk measures |

Ambit processes and stochastic partial differential equations | |

Fractional processes as models in stochastic finance | |

Credit contagion in a long range dependent macroeconomic factor model | |

Modeling information flows in financial markets | |

An overview of comonotonicity and its applicationsin finance and insurance | |

A general maximum principle for anticipative stochastic control and applications to insider trading | |

Analyticity of the Wiener | |

Hopf factors and valuation of exotic options in Levy models | |

Optimal liquidation of a pairs trade | |

A PDE | |

based approa | |

ISBN: | 9783642184123 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) , Economics Statistics , Macroeconomics |

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Call number: | SPRINGER-2011-9783642183249:ONLINE Show nearby items on shelf |

Title: | Markov Decision Processes with Applications to Finance [electronic resource] |

Author(s): |
Nicole Buerle Ulrich Rieder |

Date: | 2011 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerousexamples, mostly taken fr om the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well aspartially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with aparticular view towards finance. It is useful for upper-level undergrad uates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions). |

Note: | Springer eBooks |

Contents: | Preface |

1.Introduction and First Examples | |

Part I Finite Horizon Optimization Problems and Financial Markets | |

2.Theory of Finite Horizon Markov Decision Processes | |

3.The Financial Markets | |

4.Financial Optimization Problems | |

Part II Partially Observable Markov Decision Problems | |

5.Partially Observable Markov Decision Processes | |

6.Partially Observable Markov Decision Problems in Finance | |

Part III Infinite Horizon Optimization Problems | |

7.Theory of Infinite Horizon Markov Decision Processes | |

8.Piecewise Deterministic Markov Decision Processes | |

9.Optimization Problems in F | |

ISBN: | 9783642183249 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Universitext, 0172-5939 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) |

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Call number: | SPRINGER-2010-9783642148521:ONLINE Show nearby items on shelf |

Title: | Market-Consistent Actuarial Valuation [electronic resource] |

Author(s): |
Mario V Wthrich Hans Bhlmann Hansjrg Furrer |

Date: | 2010 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market priceswhereas liabilities are often measured by established actuarial methods. However, there is a general agreement that the balance sheet of an insurance company should be measured in a consistent way. Market-Consistent Actuarial Valuationpresents powerful methods to measure liabil ities and assets in a consistent way. The mathematical framework that leads to market-consistent values for insurance liabilities is explained in detail by the authors. Topics covered arestochastic discounting with deflators, valuation portfolio in life a nd non-life insurance, probability distortions, asset and liability management, financial risks, insurance technical risks, and solvency |

Note: | Springer eBooks |

Contents: | Stochastic discounting |

Valuation portfolio in life insurance | |

Financial risks | |

Valuation portfolio in non | |

life insurance | |

Selected Topics | |

ISBN: | 9783642148521 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | EAA Series, 1869-6929 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Banks and banking |

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Call number: | SPRINGER-2010-9783642051012:ONLINE Show nearby items on shelf |

Title: | Ubiquitous Quantum Structure [electronic resource] : From Psychology to Finance |

Author(s): |
Andrei Y Khrennikov |

Date: | 2010 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

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Note: | Quantum-like structure is present practically everywhere. Quantum-like (QL) models, i.e. models based on the mathematical formalism of quantum mechanics and its generalizations can be successfully applied to cognitive science,psychology, genetics, ec onomics, finances, and game theory. This book is not about quantum mechanics as a physical theory. The short review of quantum postulates is therefore mainly of historical value: quantum mechanics is just thefirst example of the successful application of non-Kolmogorov probabilities, the first step towards a contextual probabilistic description of natural, biological, psychological, social, economical or financial phenomena. A generalcontextual probabilistic model (Vxj model) is presented. It can be used for describing probabilities in both quantum and classical (statistical) mechanics as well as in the above mentioned phenomena. This model can be representedin a quantum-like way, namely, in complex and more general Hilbert spaces. In this way quantum pro bability is totally demystified: Born's representation of quantum probabilities by complex probability amplitudes, wave functions, issimply a special representation of this type |

Note: | Springer eBooks |

Contents: | Quantum |

like Paradigm | |

Classical (Kolmogorovian) and Quantum (Born) Probability | |

Contextual Probabilistic Model Vxj Model | |

Quantum | |

like Representation Algorithm | |

QLRA | |

The Quantum | |

like Brain | |

Experimental Tests of Quantum | |

like Behavior of the Mind | |

Quantum | |

like Decision Making and Disjunction Effect | |

Macroscopic Games and Quantum Logic | |

Contextual Approach to Quantum | |

like Macroscopic Games | |

Psycho | |

financial Model | |

The Problem of Smoothness of Bohmian Trajectories | |

ISBN: | 9783642051012 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Physics and Astronomy (Springer-11651) |

Keywords: | Distribution (Probability theory) , Quantum theory , Economics |

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Call number: | SPRINGER-2010-9783540681212:ONLINE Show nearby items on shelf |

Title: | Markets with Transaction Costs [electronic resource] : Mathematical Theory |

Author(s): |
Yuri Kabanov Mher Safarian |

Date: | 2010 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

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Note: | The central mathematical concept in the theory of frictionless markets is a martingale measure. In this, the first monograph devoted to the theory of financial markets with transaction costs, the authors argue that, for financialmarkets with proporti onal transaction costs, this concept should be replaced by that of the consistent price system, which is a martingale evolving in the duals to the solvency cones. Three main subjects are considered: 1. The Lelandapproach to the hedging of contingent claim s based on approximate replication. 2. Arbitrage theory for markets with proportional transaction costs based on a geometric approach. 3. The consumption-investment problem analyzed usingviscosity solutions of the Hamilton-Jacobi-Bellman equation. The fir st part contains recent findings on hedging errors and limit theorems for Leland-type strategies. The rigorous mathematical analysis presented in the book is designedto serve as a platform for further studies. The second part includes a chapter on the arb itrage theory for frictionless markets in discrete time. It is presented as an introduction to the theory of markets with transaction costs, butcan also be read independently. The main subjects of the second part are no-arbitrage criteria and hedging theo rems for European and American options under transaction costs. In contrast to the classical theory, the value processes arevector-valued and the concept of the martingale measure is replaced by the concept of the consistent price system. Hedging theorems give dual descriptions of the set of initial endowments needed to super-replicate contingent claims.These descriptions are expressed in terms of consistent price systems. This volume provides a detailed study of various new phenomena arising in the prese nce of market friction in discrete and continuous time. The mathematics needed isa synthesis of ideas from finite-dimensional geometry, geometric functional analysis, and general theory of stochastic pr |

Note: | Springer eBooks |

Contents: | 1.Approximative Hedging |

2.Arbitrage Theory for Frictionless Markets | |

3.Arbitrage Theory under Transaction Costs | |

4.Consumption | |

Investment Problems | |

A.Appendices: A.1.Facts from Convex Analysis | |

A.2.Csaro Convergence | |

A.3.Facts from Probability | |

A.4.Measurable Selection | |

A.5.Fatou | |

Convergence and Bipolar Theorem in L0 | |

A.6.Skorohod Problem and SDE with Reflections | |

B.Bibliographical comments | |

References | |

ISBN: | 9783540681212 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Finance |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) |

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Call number: | SPRINGER-2010-9781441906618:ONLINE Show nearby items on shelf |

Title: | Spectral Analysis of Large Dimensional Random Matrices [electronic resource] |

Author(s): |
Zhidong Bai Jack W Silverstein |

Date: | 2010 |

Publisher: | New York, NY : Springer New York |

Size: | 1 online resource |

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Note: | The aim of the book is to introduce basic concepts, main results, and widely applied mathematical tools in the spectral analysis of large dimensional random matrices. The core of the book focuses on results established undermoment conditions on rando m variables using probabilistic methods, and is thus easily applicable to statistics and other areas of science. The book introduces fundamental results, most of them investigated by the authors, such as thesemicircular law of Wigner matrices, the Marcenk o-Pastur law, the limiting spectral distribution of the multivariate F matrix, limits of extreme eigenvalues, spectrum separation theorems, convergence rates of empirical distributions,central limit theorems of linear spectral statistics, and the partial solution of the famous circular law. While deriving the main results, the book simultaneously emphasizes the ideas and methodologies of the fundamental mathematicaltools, among them being: truncation techniques, matrix identities, moment convergence theor ems, and the Stieltjes transform. Its treatment is especially fitting to the needs of mathematics and statistics graduate students and beginningresearchers, having a basic knowledge of matrix theory and an understanding of probability theory at the gradua te level, who desire to learn the concepts and tools in solving problems in this area. It can also serve as a detailedhandbook on results of large dimensional random matrices for practical users. This second edition includes two additional chapters, one o n the authors' results on the limiting behavior of eigenvectors of sample covariance matrices,another on applications to wireless communications and finance. While attempting to bring this edition up-to-date on recent work, it also provides summaries of o ther areas which are typically considered part of the general field ofrandom matrix theory. Zhidong Bai is a professor of the School of Mathematics and Statistics at Northeast Normal University and Depa |

Note: | Springer eBooks |

Contents: | Wigner Matrices and Semicircular Law |

Sample Covariance Matrices and the Marenko | |

Pastur Law | |

Product of Two Random Matrices | |

Limits of Extreme Eigenvalues | |

Spectrum Separation | |

Semicircular Law for Hadamard Products | |

Convergence Rates of ESD | |

CLT for Linear Spectral Statistics | |

Eigenvectors of Sample Covariance Matrices | |

Circular Law | |

Some Applications of RMT | |

ISBN: | 9781441906618 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Series in Statistics, 0172-7397 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Statistics , Mathematical statistics |

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Call number: | SPRINGER-2010-9780817649876:ONLINE Show nearby items on shelf |

Title: | Probability and Statistical Models [electronic resource] : Foundations for Problems in Reliability and Financial Mathematics |

Author(s): |
Arjun K Gupta Wei-Bin Zeng Yanhong Wu |

Date: | 2010 |

Edition: | First |

Publisher: | Boston, MA : Birkhuser Boston : Imprint: Birkhuser |

Size: | 1 online resource |

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Note: | With an emphasis on models and techniques, this textbook introduces many of the fundamental concepts of stochastic modeling that are now a vital component of almost every scientific investigation. These models form the basis ofwell-known parametric l ifetime distributions such as exponential, Weibull, and gamma distributions, as well as change-point and mixture models. The authors also consider more general notions of non-parametric lifetime distributionclasses. In particular, emphasis is placed onlay ing the foundation for solving problems in reliability, insurance, finance, and credit risk. Exercises and solutions to selected problems accompany each chapter in order toallowstudents to explore these foundations. The key subjects covered include: * Exp onential distributions and the Poisson process * Parametric lifetime distributions * Non-parametric lifetime distribution classes * Multivariate exponentialextensions * Association and dependence * Renewal theory * Problems in reliability, insurance, fina nce, and credit risk Thiswork differs from traditional probability textbooks in a number of ways. Since no measure theory knowledge isnecessary to understand the material and coverage of the central limit theorem and normal theory related topics has been omitted,the work may be used as a single-semester senior undergraduate or first-year graduate textbook as wellas in a second course on probability modeling. Many of the chapters that examine central topics in applied probability can be read independently, allowing both instructors and readers extra flexibility in their use of the book.Probability and Statistical Models is for a wide audience including advanced undergraduate and beginning-level graduate students, researchers, and practitioners in mathemati cs, statistics, engineering, and economics |

Note: | Springer eBooks |

Contents: | Preface |

Preliminaries | |

Exponential Distribution | |

Poisson Process | |

Parametric Families | |

Lifetime Distribution Classes | |

Multivariate Lifetime Distributions | |

Association and Dependence | |

Renewal Theory | |

Risk Theory | |

Asset Pricing Theory | |

Credit Risk Modeling | |

Bibliographical Notes | |

Bibliography | |

Answers and Solutions to Selected Problems | |

Index | |

ISBN: | 9780817649876 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) , Economics Statistics , Engineering mathematics |

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Call number: | SPRINGER-2010-9780817649241:ONLINE Show nearby items on shelf |

Title: | Advances in Degradation Modeling [electronic resource] : Applications to Reliability, Survival Analysis, and Finance |

Author(s): |
M.S Nikulin Nikolaos Limnios N Balakrishnan Waltraud Kahle Catherine Huber-Carol |

Date: | 2010 |

Publisher: | Boston, MA : Birkhuser Boston |

Size: | 1 online resource |

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Note: | This volumededicated to William Q. Meeker on the occasion of his sixtieth birthdayis a collection of invited chapters covering recent advances in accelerated life testing and degradation models. The book covers a wide rangeof applications to areas su ch as reliability, quality control, the health sciences, economics, and finance. Specific topics covered include: * Accelerated testing and inference * Step-stress testing and inference * Nonparametricinference * Model validity in accelerated testing * Th e point process approach * Bootstrap methods in degradation analysis * Exact inferential methods in reliability * Dynamic perturbed systems * Degradation models in statisticsAdvances in Degradation Modeling is an excellent reference for researchers and pr actitioners in applied probability and statistics, industrial statistics, the health sciences, quality control, economics, and finance |

Note: | Springer eBooks |

Contents: | Preface |

William Q. MeekerCareer and Accomplishments | |

List of Contributors | |

List of Tables | |

List of Figures | |

Part I. Review, Tutorials, and Perspective | |

Trends in the Statistical Assessment of Reliability | |

Degradation Processes: An Overview | |

Defect Initiation, Growth, and FailureA General Statistical Model and Data Analyses | |

Properties of Lifetime Estimators Based on Warranty Data Consisting only of Failures | |

Part II. Shock Models | |

Shock Models | |

Parametric Shock Models | |

Poisson Approximation of Processes with Locally Independent Increments and Semi | |

Markov Switch | |

ISBN: | 9780817649241 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Statistics for Industry and Technology |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Statistics , Mathematical statistics , Economics Statistics |

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Call number: | SPRINGER-2010-9780387894881:ONLINE Show nearby items on shelf |

Title: | Stochastic Partial Differential Equations [electronic resource] : A Modeling, White Noise Functional Approach |

Author(s): |
Helge Holden Bernt ksendal Jan Ube Tusheng Zhang |

Date: | 2010 |

Publisher: | New York, NY : Springer New York |

Size: | 1 online resource |

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Note: | The first edition of Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach, gave a comprehensive introduction to SPDEs driven by space-time Brownian motion noise. In this, the second edition, theauthors extend the the ory to include SPDEs driven by space-time Lvy process noise, and introduce new applications of the field. Because the authors allow the noise to be in both space and time, the solutions to SPDEs are usually ofthe distribution type, rather than a classical random field. To make this study rigorous and as general as possible, the discussion of SPDEs is therefore placed in the context of Hida white noise theory. The key connection betweenwhite noise theory and SPDEs is that integration with respect to Browni an random fields can be expressed as integration with respect to the Lebesgue measure of the Wick product of the integrand with Brownian white noise, and similarlywith Lvy processes. The first part of the book deals with the classical Brownian motion case . The second extends it to the Lvy white noise case. For SPDEs of the Wick type, a general solution method is given by means of the Hermitetransform, which turns a given SPDE into a parameterized family of deterministic PDEs. Applications of this theory a re emphasized throughout. The stochastic pressure equation for fluid flow in porous media is treated, as areapplications to finance. Graduate students in pure and applied mathematics as well as researchers in SPDEs, physics, and engineering will find this introduction indispensible. Useful exercises are collected at the end of each chapter.From the reviews of the first edition: The authors have made significant contributions to each of the areas. As a whole, the book is well organized and very carefully w ritten and the details of the proofs are basically spelled out...This is a rich and demanding book It will be of great value for students of probability theory or SPDEs with an interest in the |

Note: | Springer eBooks |

Contents: | Preface to the Second Edition |

Preface to the First Edition | |

Introduction | |

Framework | |

Applications to stochastic ordinary differential equations | |

Stochastic partial differential equations driven by Brownian white noise | |

Stochastic partial differential equations driven by Lvy white noise | |

Appendix A. The Bochner | |

Minlos theorem | |

Appendix B. Stochastic calculus based on Brownian motion | |

Appendix C. Properties of Hermite polynomials | |

Appendix D. Independence of bases in Wick products | |

Appendix E. Stochastic calculus based on Lvy processes | |

References | |

List of frequently | |

ISBN: | 9780387894881 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Universitext |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Differential Equations , Differential equations, partial , Distribution (Probability theory) |

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Title: | Stochastic Analysis in Discrete and Continuous Settings [electronic resource] : With Normal Martingales |

Author(s): |
Nicolas Privault |

Date: | 2009 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

Note: | Springer e-book platform |

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Note: | This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students andresearchers having already received a basic training in probability. The simultaneous treatment of continuous and jump processes is done in the framework of normal martingales that includes the Brownian motion and compensated Poissonprocesses as specific cases. In particular, the basic tools of stochastic analysis (chaos representation, gradient, divergence, integration by parts) are presented in this general setting. Applications are given to functional anddeviation inequalities and mathematical finance |

Note: | Springer eBooks |

Contents: | 1 The Discrete Time Case |

2 Continuous Time Normal Martingales | |

3 Gradient and Divergence Operators | |

4 Annihilation and creation operators | |

5 Analysis on the Wiener Space | |

6 Analysis on the Poisson space | |

7 Local Gradients on the Poisson space | |

8 Option Hedging in Continuous Time | |

ISBN: | 9783642023804 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Lecture Notes in Mathematics, 0075-8434 : v1982 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Distribution (Probability theory) |

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Call number: | SPRINGER-2009-9783540929000:ONLINE Show nearby items on shelf |

Title: | Recursions for Convolutions and Compound Distributions with Insurance Applications [electronic resource] |

Author(s): |
Raluca Vernic Bjoern Sundt |

Date: | 2009 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

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Note: | Since 1980, methods for recursive evaluation of aggregate claims distributions have received extensive attention in the actuarial literature. This book gives a unified survey of the theory and is intended to be self-contained to alarge extent. As the methodology is applicable also outside the actuarial field, it is presented in a general setting, but actuarial applications are used for motivation. The book is divided into two parts. Part I is devoted tounivariate distributions, whereas in Part II, th e methodology is extended to multivariate settings. Primarily intended as a monograph, this book can also be used as text for courses on the graduate level. Suggested outlines for suchcourses are given. The book is of interest for actuaries and statistici ans working within the insurance and finance industry, as well as for people in other fields like operations research and reliability theory |

Note: | Springer eBooks |

Contents: | I Univariate distributions |

Counting Distributions with Recursion ofOrderOne | |

Compound Mixed Poisson Distributions | |

Infinite Divisibility | |

Counting Distributions with Recursion ofHigher Order | |

De Pril Transforms of Distributions in | |

Individual Models | |

Cumulative Functions and Tails | |

Moments | |

Approximations Based on De Pril Transforms | |

Extension to Distributions in ? | |

Allowing for Negative Severities | |

Underflow and Overflow | |

II Multivariate distributions | |

Multivariate Compound Distributions of Type 1 | |

De Pril Transforms | |

Moments | |

Approximations Based on D | |

ISBN: | 9783540929000 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | EAA Lecture Notes, 1865-2174 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Banks and banking |

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Call number: | SPRINGER-2009-9783540785729:ONLINE Show nearby items on shelf |

Title: | Malliavin Calculus for Lvy Processes with Applications to Finance [electronic resource] |

Author(s): |
Giulia Di Nunno Bernt ksendal Frank Proske |

Date: | 2009 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

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Note: | While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential equations, this book has another goal. It portrays the most important and innovative applications instochastic control a nd finance, such as hedging in complete and incomplete markets, optimisation in the presence of asymmetric information and also pricing and sensitivity analysis. In a self-contained fashion, both the Malliavincalculus with respect to Brownian motion and g eneral Lvy type of noise are treated. Besides, forward integration is included and indeed extended to general Lvy processes. The forward integration is a recent development withinanticipative stochastic calculus that, together with the Malliavin calculus, provides new methods for the study of insider trading problems. To allow more flexibility in the treatment of the mathematical tools, the generalization ofMalliavin calculus to the white noise framework is also discussed. This book is a valuable resource for graduate students, lecturers in stochastic analysis and applied researchers |

Note: | Springer eBooks |

ISBN: | 9783540785729 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Universitext |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) |

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Call number: | SPRINGER-2009-9783540708704:ONLINE Show nearby items on shelf |

Title: | Concentration Risk in Credit Portfolios [electronic resource] |

Author(s): |
Eva Ltkebohmert |

Date: | 2009 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

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Note: | Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causesof bank distress. Ther efore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives an introduction to credit risk modeling with the aim to measureconcentration risks in credit portfolios. Taking the b asic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at theportfolio level. Besides these industry models the Internal Ratings Based mo del, on which Basel II is based, is treated. On the basis of these models various methods for the quantification of name and sector concentration risk and thetreatment of default contagion are discussed. The book reflects current research in these areas f rom both an academic and a supervisory perspective |

Note: | Springer eBooks |

Contents: | to Credit Risk Modeling |

Risk Measurement | |

Modeling Credit Risk | |

The Merton Model | |

The Asymptotic Single Risk Factor Model | |

Mixture Models | |

The CreditRisk+ Model | |

Concentration Risk in Credit Portfolios | |

Ad | |

Hoc Measures of Concentration | |

Name Concentration | |

Sector Concentration | |

Empirical Studies on Concentration Risk | |

Default Contagion | |

Empirical Studies on Default Contagion | |

Models Based on Copulas | |

A Voter Model for Credit Contagion | |

Equilibrium Models | |

ISBN: | 9783540708704 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | EAA Lecture Notes, 1865-2174 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance |

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Call number: | SPRINGER-2009-9781846287374:ONLINE Show nearby items on shelf |

Title: | Mathematical Methods for Financial Markets [electronic resource] |

Author(s): |
Monique Jeanblanc Marc Yor Marc Chesney |

Date: | 2009 |

Publisher: | London : Springer London |

Size: | 1 online resource |

Note: | Springer e-book platform |

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Note: | Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. The subject draws upon quite difficult results from the theory of stochasticprocesses, stochastic calculu s and differential equations, among others, which can be daunting for the beginning researcher. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a stylethat is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default riskwith the mathematical theory of Brownian motion, diffusion processes, and Lvy processes. The authors proceed by successive generalisations with increasing complexity assuming some basic knowledge of probability theory. The first halfof the book is devoted to continuous path processes whereas the second half deals with disconti nuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly tolocate where the reference is cited within the book, making this volume an invaluable tool both for students and for thos e at the forefront of research and practice |

Note: | Springer eBooks |

Contents: | Part I Continuous Path Processes |

1. Continuous Path Random Processes: Mathematical Prerequisites | |

2. Basic Concepts and Examples in Finance | |

3. Hitting Times: A Mix of Mathematics and Finance | |

4. Complements on Brownian Motion | |

5. Complements on Continuous Path Processes | |

6. A Special Family of Diffusions: Bessel Processes | |

Part II: Jump Processes | |

7. Default Risk: An Enlargement of Filtration Approach | |

8. Poisson Processes and Ruin Theory | |

9. General Processes: Mathematical Facts | |

10. Mixed Processes | |

11. Lvy Processes | |

Appendices | |

References | |

Index | |

ISBN: | 9781846287374 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Finance |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) , Banks and banking |

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Call number: | SPRINGER-2009-9780817648343:ONLINE Show nearby items on shelf |

Title: | Advances in Dynamic Games and Their Applications [electronic resource] : Analytical and Numerical Developments |

Author(s): |
Odile Pourtallier Vladimir Gaitsgory Pierre Bernhard |

Date: | 2009 |

Publisher: | Boston : Birkhuser Boston |

Size: | 1 online resource |

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Note: | This bookan outgrowth of the 12th International Symposium on Dynamic Gamespresents current advances in the theory of dynamic games and their applications in several disciplines. The selected contributions cover a variety oftopics ranging from purely theoretical developments in game theory, to numerical analysis of various dynamic games, and then progressing to applications of dynamic games in economics, finance, and energy supply. Thematically organizedinto eight parts, the book covers key topics in these main areas: * theoretical developments in general dynamic and differential games * pursuit-evasion games * numerical approaches to dynamic and differential games * applications ofdynamic games in economics and option pricing * search games * evoluti onary games * stopping games * stochastic games and large neighborhood games A unified collection of state-of-the-art advances in theoretical and numericalanalysis of dynamic games and their applications, the work is suitable for researchers, practitioner s, and graduate students in applied mathematics, engineering, economics, as well as environmental and management sciences |

Note: | Springer eBooks |

Contents: | Preface |

List of Contributors | |

Part I. Dynamic | |

Differential Games: Theoretical Developments | |

On Differential Games with Long | |

Time | |

Average Cost | |

Fields of Extremals and Sufficient Conditions for a Class of Variational Games | |

Linear Quadratic Differential Games: An Overview | |

A Neumann Boundary Control for Multidimensional Parabolic Minmax Control Problems | |

Non | |

Cooperative and Semi | |

Cooperative Differential Games | |

Part II. Pursuit | |

Evasion (P | |

E) Games | |

Some Geometrical Properties of the Phase Space Structure in Games on Manifolds | |

Strategies for Alternative Pursuit Games | |

So | |

ISBN: | 9780817648343 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Annals of the International Society of Dynamic Games : v10 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics |

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Call number: | SPRINGER-2009-9780387096148:ONLINE Show nearby items on shelf |

Title: | Continuous Bivariate Distributions [electronic resource] : Second Edition |

Author(s): |
Chin Diew Lai N Balakrishnan |

Date: | 2009 |

Publisher: | New York, NY : Springer New York |

Size: | 1 online resource |

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Note: | Random variables are rarely independent in practice and so many multivariate distributions have been proposed in the literature to give a dependence structure for two or more variables. In this book, we restrict ourselves to thebivariate distribution s for two reasons: (i) correlation structure and other properties are easier to understand and the joint density plot can be displayed more easily, and (ii) a bivariate distribution can normally be extended to amultivariate one through a vector or matrix representation. This volume is a revision of Chapters 1-17 of the previous book Continuous Bivariate Distributions, Emphasising Applications authored by Drs. Paul Hutchinson and Chin-DiewLai. The book updates the subject of copulas which have grown immens ely during the past two decades. Similarly, conditionally specified distributions and skewed distributions have become important topics of discussion in this area ofresearch. This volume, which provides an up-to-date review of various developments relatin g to bivariate distributions in general, should be of interest to academics and graduate students, as well as applied researchers in finance,economics, science, engineering and technology. N. BALAKRISHNAN is Professor in the Department of Mathematics and Statistics at McMaster University, Hamilton, Ontario, Canada. He has published numerous research articles in many areasof probability and statistics and has authored a number of books including the four-volume series on Distributions in Statistics, jointl y with Norman L. Johnson and S. Kotz, published by Wiley. He is a Fellow of the AmericanStatistical Association and the Institute of Mathematical Statistics, and the Editor-in-Chief of Communications in Statistics and the Executive Editor of Journal of St atistical Planning and Inference. CHIN-DIEW LAI holds a PersonalChair in Statistics at Massey University, Palmerston North, New Zealand. He has published more than 100 peer-reviewed research articles an |

Note: | Springer eBooks |

ISBN: | 9780387096148 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Statistics , Mathematical statistics |

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Call number: | SPRINGER-2008-9783540740117:ONLINE Show nearby items on shelf |

Title: | Optimal Stopping Rules [electronic resource] |

Author(s): |
Albert N Shiryaev B Rozovskii G Grimmett |

Date: | 2008 |

Publisher: | New York, NY : Springer New York |

Size: | 1 online resource |

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Note: | Although three decades have passed since first publication of this book reprinted now as a result of popular demand, the content remains up-to-date and interesting for many researchers as is shown by the many references to it incurrent publications. The ground floor of Optimal Stopping Theory was constructed by A.Wald in his sequential analysis in connection with the testing of statistical hypotheses by non-traditional (sequential) methods. It was laterdiscovered that these methods have, in idea, a c lose connection to the general theory of stochastic optimization for random processes. The area of application of the Optimal Stopping Theory is very broad. It is sufficient at this pointto emphasise that its methods are well tailored to the study of Amer ican (-type) options (in mathematics of finance and financial engineering), where a buyer has the freedom to exercise an option at any stopping time. In this book, thegeneral theory of the construction of optimal stopping policies is developed for the cas e of Markov processes in discrete and continuous time. One chapter is devoted specially to the applications that address problems of the testing ofstatistical hypotheses, and quickest detection of the time of change of the probability characteristics of t he observable processes. The author, A.N.Shiryaev, is one of the leading experts of the field and gives an authoritativetreatment of a subject that, 30 years after original publication of this book, is proving increasingly important |

Note: | Springer eBooks |

ISBN: | 9783540740117 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Stochastic Modelling and Applied Probability, 0172-4568 : v8 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics |

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Call number: | SPRINGER-2008-9780387758398:ONLINE Show nearby items on shelf |

Title: | Simulation and Inference for Stochastic Differential Equations [electronic resource] : With R Examples |

Author(s): |
Stefano M Iacus |

Date: | 2008 |

Publisher: | New York, NY : Springer New York |

Size: | 1 online resource |

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Note: | This book is unique because of its focus on the practical implementation of the simulation and estimation methods presented. The book will be useful to practitioners and students with only a minimal mathematical backgroundbecause of the many R progra ms, and to more mathematically-educated practitioners. Many of the methods presented in the book have not been used much in practice because the lack of an implementation in a unified framework. This bookfills the gap. With the R code included in this boo k, a lot of useful methods become easy to use for practitioners and students. An R package called sde provides functions with easy interfaces ready to be used on empirical datafrom real life applications. Although it contains a wide range of results, the book has an introductory character and necessarily does not cover the whole spectrum of simulation and inference for general stochastic differentialequations. The book is organized into four chapters. The first one introduces the subject and presents seve ral classes of processes used in many fields of mathematics, computational biology, finance and the social sciences. The secondchapter is devoted to simulation schemes and covers new methods not available in other publications. The third one focuses on pa rametric estimation techniques. In particular, it includes exact likelihood inference, approximated andpseudo-likelihood methods, estimating functions, generalized method of moments, and other techniques. The last chapter contains miscellaneous topics lik e nonparametric estimation, model identification and change point estimation. Thereader who is not an expert in the R language will find a concise introduction to this environment focused on the subject of the book. A documentation page is available at th e end of the book for each R function presented in the book.Stefano M. Iacus is associate professor of Probability and Mathematical Statistics at the University of Milan, Department of Economics, Busi |

Note: | Springer eBooks |

Contents: | Stochastic processes and stochastic differential equations |

Numerical methods for SDE | |

Parametric estimation | |

Miscellaneous topics | |

ISBN: | 9780387758398 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Series in Statistics, 0172-7397 : v1 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Statistics , Computer simulation , Finance , Computer science Mathematics , Mathematical statistics , Econometrics |

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Call number: | SPRINGER-2007-9788847005341:ONLINE Show nearby items on shelf |

Title: | Complexity Hints for Economic Policy [electronic resource] |

Author(s): |
Massimo Salzano David Colander |

Date: | 2007 |

Publisher: | Milano : Springer Milan |

Size: | 1 online resource |

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Note: | This volume extends the complexity approach to economics. This complexity approach is not a completely new way of doing economics, and that it is a replacement for existing economics, but rather the integration of some newanalytic and computational t echniques into economists bag of tools. It provides some alternative pattern generators, which can supplement existing approaches by providing an alternative way of finding patterns than be obtained bythe traditional scientific approach. On this new kind of policy hints can be obtained. The reason why the complexity approach is taking hold now in economics is because the computing technology has advanced. This advance allowsconsideration of analytical systems that could not previously be considered by eco nomists. Consideration of these systems suggested that the results of the control-based models might not extend easily to more complicated systems,and that we now have a methodpiggybacking computer assisted analysis onto analytic methodsto start generatin g patterns that might provide a supplement to the standard approach. It is that approach that we consider the complexityapproach. The papers in this volume develop these ideas. In terms of policy the papers suggest that economists should become a bit less certain in their policy conclusions, and that they expand their bag of tools supplementing theirstandard model with some additional models including (1) agent based models, in which one does not use analytics to develop the pattern, but instead one uses computational power to deal with specification of models that are far beyondanalytic solution and (2) non-linear dynamic stochastic models many of which are beyond analytic solution, but whose nature can be discovered by a combination of analytics and com puter simulations. The volume is divided into foursections: general issues, modeling issues, applications, and policy issues. Each struggles with complicated ideas related to our general the |

Note: | Springer eBooks |

ISBN: | 9788847005341 |

Series: | e-books |

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Series: | New Economic Windows |

Series: | Physics and Astronomy (Springer-11651) |

Keywords: | Economics , Engineering , Economic policy , Finance |

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Call number: | SPRINGER-2007-9783540711896:ONLINE Show nearby items on shelf |

Title: | Sminaire de Probabilits XL [electronic resource] |

Author(s): |
Catherine Donati-Martin Michel mery Alain Rouault Christophe Stricker |

Date: | 2007 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

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Note: | Two noteworthy features of the 40th volume of the Sminaire de Probabilits are L. Coutins advanced course on calculus driven by fractional Brownian motion, and a series of seven interrelated works on local time-spacecalculus. Other topics from stochas tic processes and stochastic finance include three contributions by A.S. Cherny on general approaches to arbitrage pricing |

Note: | Springer eBooks |

ISBN: | 9783540711896 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Lecture Notes in Mathematics, 0075-8434 : v1899 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Distribution (Probability theory) |

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Call number: | SPRINGER-2007-9780817645458:ONLINE Show nearby items on shelf |

Title: | Advances in Mathematical Finance [electronic resource] |

Author(s): |
Michael C Fu Robert A Jarrow Ju-Yi J Yen Robert J Elliott |

Date: | 2007 |

Publisher: | Boston, MA : Birkhuser Boston |

Size: | 1 online resource |

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Note: | This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the fields of mathematical finance and financial engineering. Presenting state-of-the-artdevelopments in theory and practice, the Festschrift is dedicated to Dilip B. Madan on the occasion of his 60th birthday. Specific topics covered include: * Theory and application of the Variance-Gamma process * Lvy process drivenfixed-income and credit-risk models, including CDO pricing * Numerical PDE and Monte Carlo methods * Asset pricing and derivatives valuation and hedging * It formulas for fractional Brownian motion * Martingale characterization ofasset price bubbles * Utility valuation for credit derivatives and portfolio management Advances in Mathematical Finance is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financialengineering. Contributors: H. Albrecher, D. C. Brody, P. Carr, E. Eberlein, R. J. Elliott, M. C. Fu, H. Geman, M. Heidari, A. Hirsa, L. P. Hughston, R. A. Jarrow, X. Jin, W. Kluge, S. A. Ladoucette, A. Macrina, D. B. Madan, F. Milne,M. Musiela, P. Protter, W. Schoutens, E. Seneta, K. Shimbo, R. Sircar, J. van der Hoek, M.Yor, T. Zariphopoulou |

Note: | Springer eBooks |

Contents: | Preface |

Career Highlights and List of Publications / Dilip B. Madan | |

Part I. Variance | |

Gamma and Related Stochastic Processes | |

The Early Years of the Variance | |

Gamma Process | |

Variance | |

Gamma and Monte Carlo | |

Some Remarkable Properties of Gamma Processes | |

A Note About Selberg's Integrals in Relation with the Beta | |

Gamma Algebra | |

It Formulas for Fractional Brownian Motion | |

Part II. Asset and Option Pricing | |

A Tutorial on Zero Volatility and Option Adjusted Spreads | |

Asset Price Bubbles in Complete Markets | |

Taxation and Transaction Costs in a General Equilibrium Asset Economy | |

ISBN: | 9780817645458 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Applied and Numerical Harmonic Analysis |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Engineering mathematics , Economics, Mathematical |

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Call number: | SPRINGER-2007-9780387690339:ONLINE Show nearby items on shelf |

Title: | Stochastic Simulation: Algorithms and Analysis [electronic resource] |

Author(s): |
Sren Asmussen Peter W Glynn |

Date: | 2007 |

Publisher: | New York, NY : Springer New York |

Size: | 1 online resource |

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Note: | Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides abroad treatment of such sampling-based methods, as well as accompanying mathematical analysis of the convergence properties of the methods discussed. The reach of the ideas is illustrated by discussing a wide range of applications andthe models that have found wide usage. The f irst half of the book focuses on general methods, whereas the second half discusses model-specific algorithms. Given the wide range of examples, exercises and applications students,practitioners and researchers in probability, statistics, operations resea rch, economics, finance, engineering as well as biology and chemistry and physics will find the book of value. Sren Asmussen is a professor of AppliedProbability at Aarhus University, Denmark and Peter Glynn is the Thomas Ford professor of Engineering at Stanford University |

Note: | Springer eBooks |

Contents: | What this Book is about |

Part A: General Methods and Algorithms | |

Generating Random Objects | |

Output Analysis | |

Steady | |

State Simulation | |

Variance Reduction Methods | |

Rare Event Simulation | |

Gradient Estimation | |

Stochastic Optimization | |

Part B: Algorithms for Special Models | |

Numerical Integration | |

Stochastic Differential Equations | |

Gaussian Processes | |

Lvy Processes | |

Markov Chain Monte Carlo Methods | |

Selected Topics and Extended Examples | |

Appendix | |

Bibliography | |

Index | |

ISBN: | 9780387690339 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Stochastic Modelling and Applied Probability, 0172-4568 : v57 |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Operations research , Distribution (Probability theory) , Mathematical statistics , Industrial engineering |

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Call number: | SPRINGER-2006-9783764373900:ONLINE Show nearby items on shelf |

Title: | Optimal Stopping and Free-Boundary Problems [electronic resource] |

Author(s): |
Goran Peskir Albert Shiryaev |

Date: | 2006 |

Publisher: | Basel : Birkhuser Basel |

Size: | 1 online resource |

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Note: | The book aims at disclosing a fascinating connection between optimal stopping problems in probability and free-boundary problems in analysis using minimal tools and focusing on key examples. The general theory of optimal stoppingis exposed at the lev el of basic principles in both discrete and continuous time covering martingale and Markovian methods. Methods of solution explained range from classic ones (such as change of time, change of space, change ofmeasure) to more recent ones (such as local tim e-space calculus and nonlinear integral equations). A detailed chapter on stochastic processes is included making the material more accessible to a wider cross-disciplinary audience. Thebook may be viewed as an ideal compendium for an interested reader wh o wishes to master stochastic calculus via fundamental examples. Areas of application where examples are worked out in full detail include financial mathematics,financial engineering, mathematical statistics, and stochastic analysis |

Note: | Springer eBooks |

Contents: | Preface |

Introduction | |

1. Optimal Stopping: General Facts | |

2. Stochastic Processes: A Brief Review | |

3. Optimal Stopping and Free Boundary Problems | |

4. Methods of Solution | |

5. Optimal Stopping in Stochastic Analysis | |

6. Optimal Stopping in Mathematical Statistics | |

7. Optimal Stopping in Mathematical Finance | |

8. Optimal Stopping in Financial Engineering | |

Bibliography | |

ISBN: | 9783764373900 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Lectures in Mathematics. ETH Zrich |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Differential equations, partial , Finance , Mathematical optimization , Distribution (Probability theory) |

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Call number: | SPRINGER-2006-9783540478560:ONLINE Show nearby items on shelf |

Title: | A Benchmark Approach to Quantitative Finance [electronic resource] |

Author(s): |
Eckhard Platen David Heath |

Date: | 2006 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

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Note: | The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing,integrated risk management and insurance risk modeling. The existence of an equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respect to the real world probability measure. This yieldsimportant modeling freedom which turns out to be necessary for the derivation of realistic, parsimonious market models. The first part of the book describes the necessary tools from probability theory, statistics, stochastic calculusand the theory of stochastic differential equations with jumps. The se cond part is devoted to financial modeling under the benchmark approach. Various quantitative methods for the fair pricing and hedging of derivatives are explained.The general framework is used to provide an understanding of the nature of stochastic volat ility. The book is intended for a wide audience that includes quantitative analysts, postgraduate students and practitioners in finance,economics and insurance. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantit ative finance for readers that have a reasonable mathematical or quantitative background. Finally, the book shouldstimulate interest in the benchmark approach by describing some of its power and wide applicability |

Note: | Springer eBooks |

Contents: | Preliminaries |

Statistical Methods | |

Modeling via Stochastic Processes | |

Diffusion Processes | |

Martingales and Stochastic Integrals | |

The Ito Integral or Stochastic Chain Rule | |

Stochastic Differential Equations | |

Continuous Benchmark Models | |

Introduction to Option Pricing | |

Various Approaches to Asset Pricing | |

Numerical Methods for Derivatives Pricing | |

Pricing of Derivatives | |

Benchmark Models with Jumps | |

ISBN: | 9783540478560 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Finance |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) , Economics Statistics |

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Call number: | SPRINGER-2006-9783540313434:ONLINE Show nearby items on shelf |

Title: | Introductory Lectures on Fluctuations of Lvy Processes with Applications [electronic resource] |

Author(s): |
Andreas E Kyprianou |

Date: | 2006 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

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Note: | Lvy processes are the natural continuous-time analogue of random walks and form a rich class of stochastic processes around which a robust mathematical theory exists. Their mathematical significance is justified by theirapplication in many areas of c lassical and modern stochastic models including storage models, renewal processes, insurance risk models, optimal stopping problems, mathematical finance and continuous-state branching processes. This textbook forms the basis of a graduate course on the t heory and applications of Lvy processes, from the perspective of their path fluctuations. Central to the presentation are decompositions of the paths of Lvy processes in terms oftheir local maxima and an understanding of their short- and long-term behavio ur. The book aims to be mathematically rigorous while still providing an intuitive feel for underlying principles. The results and applications often focus onthe case of Lvy processes with jumps in only one direction, for which recent theoretical advances have yielded a higher degree of mathematical transparency and explicitness. Each chapter has a comprehensive set of exercises withcomplete solutions |

Note: | Springer eBooks |

Contents: | Lvy Processes and Applications |

TheLvyIt Decomposition and Path Structure | |

More Distributional and Path | |

Related Properties | |

General Storage Models and Paths of Bounded Variation | |

Subordinators at First Passage and Renewal Measures | |

The WienerHopf Factorisation | |

Lvy Processes at First Passage and Insurance Risk | |

Exit Problems for Spectrally Negative Processes | |

Applications to Optimal Stopping Problems | |

Continuous | |

State Branching Processes | |

ISBN: | 9783540313434 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) |

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Call number: | SPRINGER-2006-9783540312994:ONLINE Show nearby items on shelf |

Title: | The Mathematics of Arbitrage [electronic resource] |

Author(s): |
Freddy Delbaen Walter Schachermayer |

Date: | 2006 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

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Note: | This long-awaited book aims at a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of 'no arbitrage'. The first part presents a relatively elementary introduction,restricting itself to the case of finite probability spaces. The second part consists of an updated edition of seven original research papers by the authors, which analyse the topic in the general framework of semi-martingale theory |

Note: | Springer eBooks |

Contents: | Models on Finite Probability Spaces |

The Kreps | |

Yan Theorem | |

The Dalang | |

Morton | |

Willinger | |

Theorem | |

The Continuous Time Model | |

Bachelier and the Black | |

Scholes | |

The No | |

Arbitrage Theory for General Processes | |

A General Version of Fundamental Theorem of Asset Pricing | |

The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes | |

A Compactness Principle for Bounded Sequences of Martingales with Applications | |

The Banach Space Workable Contingent Claims in Arbitrage Theory | |

The Existence of Absolutely Continuous Local Martingale Measures | |

The No | |

Arbitrage Property U | |

ISBN: | 9783540312994 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Springer Finance |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Functional analysis , Operator theory , Finance , Distribution (Probability theory) , Banks and banking |

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Call number: | SPRINGER-2006-9783540272663:ONLINE Show nearby items on shelf |

Title: | Extreme Financial Risks [electronic resource] : From Dependence to Risk Management |

Author(s): |
Yannick Malevergne Didier Sornette |

Date: | 2006 |

Publisher: | Berlin, Heidelberg : Springer Berlin Heidelberg |

Size: | 1 online resource |

Note: | Springer e-book platform |

Note: | Springer 2013 e-book collections |

Note: | Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties ofdependences between the different assets. This book offers an original and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis isplaced on the theory of copulas and their empirica l testing and calibration, because they offer intrinsic and complete measures of dependences. Extreme Financial Risks will be useful to: students looking for a general and in-depthintroduction to the field financial engineers, economists, econometricians, actuarial professionals researchers and mathematicians looking for a synoptic view comparing the pros and cons of different modelling strategies andquantitative practitioners for the insights offered on the subtleties and the many dimensional components of both risk and dependence. In toto, the content of this book will also be useful to a broader scientific community interestedin quantifying the complexity of many natural and artificial processes in which a growing emphasis is on the role and importance of extreme phenomena |

Note: | Springer eBooks |

Contents: | On the Origin of Risks and Extremes |

Marginal Distributions of Returns | |

Notions of Copulas | |

Measures of Dependences | |

Description of Financial Dependences With Copulas | |

Measuring Extreme Dependences | |

Summary and Outlook | |

ISBN: | 9783540272663 |

Series: | e-books |

Series: | SpringerLink (Online service) |

Series: | Mathematics and Statistics (Springer-11649) |

Keywords: | Mathematics , Finance , Distribution (Probability theory) , Statistical physics , Economics Statistics , Econometrics , Economics |

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