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Exotic Option Pricing and Advanced Lévy Models

Author: Andreas Kyprianou

Publisher: John Wiley & Sons

ISBN:

Category: Business & Economics

Page: 344

View: 215

Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field. In recent years, Lévy processes have leapt to the fore as a tractable mechanism for modeling asset returns. Exotic option values are especially sensitive to an accurate portrayal of these dynamics. This comprehensive volume provides a valuable service for financial researchers everywhere by assembling key contributions from the world's leading researchers in the field. Peter Carr, Head of Quantitative Finance, Bloomberg LP. This book provides a front-row seat to the hottest new field in modern finance: options pricing in turbulent markets. The old models have failed, as many a professional investor can sadly attest. So many of the brightest minds in mathematical finance across the globe are now in search of new, more accurate models. Here, in one volume, is a comprehensive selection of this cutting-edge research. Richard L. Hudson, former Managing Editor of The Wall Street Journal Europe, and co-author with Benoit B. Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward

From Stochastic Calculus to Mathematical Finance

The Shiryaev Festschrift

Author: Yu. Kabanov

Publisher: Springer Science & Business Media

ISBN:

Category: Mathematics

Page: 633

View: 220

Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.

PDE and Martingale Methods in Option Pricing

Author: Andrea Pascucci

Publisher: Springer Science & Business Media

ISBN:

Category: Mathematics

Page: 721

View: 542

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 contains a 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 means of of PDEs techniques. After the martingale 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 also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy 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.

Mathematical Congress of the Americas

Author: Jimmy Petean

Publisher: American Mathematical Soc.

ISBN:

Category: Mathematics

Page: 201

View: 118

This volume contains the proceedings of the First Mathematical Congress of the Americas, held from August 5-9, 2013, in Guanajuato, México. With the participation of close to 1,000 researchers from more than 40 countries, the meeting set a benchmark for mathematics in the two continents. The papers, written by some of the plenary and invited speakers, as well as winners of MCA awards, cover new developments in classic topics such as Hopf fibrations, minimal surfaces, and Markov processes, and provide recent insights on combinatorics and geometry, isospectral spherical space forms, homogenization on manifolds, and Lagrangian cobordism, as well as applications to physics and biology.

Monte Carlo and Quasi-Monte Carlo Methods

MCQMC, Leuven, Belgium, April 2014

Author: Ronald Cools

Publisher: Springer

ISBN:

Category: Mathematics

Page: 622

View: 399

This book presents the refereed proceedings of the Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Leuven (Belgium) in April 2014. These biennial conferences are major events for Monte Carlo and quasi-Monte Carlo researchers. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. Offering information on the latest developments in these very active areas, this book is an excellent reference resource for theoreticians and practitioners interested in solving high-dimensional computational problems, arising, in particular, in finance, statistics and computer graphics.

IEEE/ACM Transactions on Networking

A Joint Publication of the IEEE Communications Society, the IEEE Computer Society, and the ACM with Its Special Interest Group on Data Communication

Author:

Publisher:

ISBN:

Category: Computer networks

Page:

View: 410

A community of scholars

faculty and members, 1930-1980

Author: Institute for Advanced Study (Princeton, N.J.)

Publisher:

ISBN:

Category:

Page: 549

View: 279

Whitaker's Books in Print

Author:

Publisher:

ISBN:

Category: Bibliography, National

Page:

View: 961

Subject Guide to Books in Print

An Index to the Publishers' Trade List Annual

Author:

Publisher:

ISBN:

Category: American literature

Page:

View: 862

The American Mathematical Monthly

The Official Journal of the Mathematical Association of America

Author:

Publisher:

ISBN:

Category: Mathematicians

Page:

View: 382

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