Essentials Stochastic Finance Facts Mo

Author : Anonim
Publisher : Unknown
Page : 0 pages
File Size : 49,5 Mb
Release : 1999-01-18
Category : Electronic
ISBN : 0000991015

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Essentials Stochastic Finance Facts Mo by Anonim Pdf

Author : Albert N Shiryaev
Publisher : World Scientific
Page : 852 pages
File Size : 47,9 Mb
Release : 1999-01-15
Category : Mathematics
ISBN : 9789814495660

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Essentials Of Stochastic Finance: Facts, Models, Theory by Albert N Shiryaev Pdf

This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.

Author : Richard Durrett
Publisher : Springer
Page : 282 pages
File Size : 45,5 Mb
Release : 2016-11-07
Category : Mathematics
ISBN : 9783319456140

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Essentials of Stochastic Processes by Richard Durrett Pdf

Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.

Author : Leonard C. MacLean,William T. Ziemba
Publisher : World Scientific
Page : 941 pages
File Size : 52,9 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814417358

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Handbook of the Fundamentals of Financial Decision Making by Leonard C. MacLean,William T. Ziemba Pdf

This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).

Author : Leonard C MacLean,William T Ziemba
Publisher : World Scientific Publishing Company
Page : 212 pages
File Size : 41,9 Mb
Release : 2016-09-29
Category : Electronic
ISBN : 9789814759366

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Problems in Portfolio Theory and the Fundamentals of Financial Decision Making by Leonard C MacLean,William T Ziemba Pdf

This book consists of invaluable introductions, tutorials and problems which are helpful for teaching purposes and have a very broad appeal and usage. The problems cover many aspects of static and dynamic portfolio theory as well as other important subjects such as arbitrage and asset pricing, utility theory, stochastic dominance, risk aversion and static portfolio theory, risk measures, dynamic portfolio theory and asset allocation. This material could be used with important books that cover these topics including MacLean-Ziemba's The Handbook of the Fundamentals of Financial Decision Making, and Ziemba-Vickson's Stochastic Optimization Models in Finance.

Author : Eckhard Platen,Nicola Bruti-Liberati
Publisher : Springer Science & Business Media
Page : 856 pages
File Size : 55,9 Mb
Release : 2010-07-23
Category : Mathematics
ISBN : 9783642136948

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Numerical Solution of Stochastic Differential Equations with Jumps in Finance by Eckhard Platen,Nicola Bruti-Liberati Pdf

In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992). The present monograph builds on the above-mentioned work and provides an introduction to stochastic differential equations with jumps, in both theory and application, emphasizing the numerical methods needed to solve such equations. It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability. Furthermore, it includes chapters on exact simulation, estimation and filtering. Besides serving as a basic text on quantitative methods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen as the area of application because much of the recent research on stochastic numerical methods has been driven by challenges in quantitative finance. Moreover, the volume introduces readers to the modern benchmark approach that provides a general framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate background in mathematical or quantitative methods, is accessible to a broad readership, including those who are only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics.

Author : Jitendra C. Parikh
Publisher : Alpha Science Int'l Ltd.
Page : 172 pages
File Size : 48,8 Mb
Release : 2003
Category : Business & Economics
ISBN : 1842651587

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Stochastic Processes and Financial Markets by Jitendra C. Parikh Pdf

Aimed at providing an introduction to fundamental concepts and mathematical foundations essential for studying dynamics of financial markets, this volume focuses on stochastic processes and the manner in which they provide the basic framework for modeling the markets. Key Feautres: The book is mathematical in nature, but is not heavy on proofs Contains many examples Simulations and analysis of real data from different financial markets The overall objective is to make the presentation concrete and illustrate successes and limitations of models. In the process, readers are also made aware of a number of advances in the field.

Author : Michiel Hazewinkel
Publisher : Springer Science & Business Media
Page : 564 pages
File Size : 50,7 Mb
Release : 2007-11-23
Category : Mathematics
ISBN : 9780306483738

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Encyclopaedia of Mathematics, Supplement III by Michiel Hazewinkel Pdf

This is the third supplementary volume to Kluwer's highly acclaimed twelve-volume Encyclopaedia of Mathematics. This additional volume contains nearly 500 new entries written by experts and covers developments and topics not included in the previous volumes. These entries are arranged alphabetically throughout and a detailed index is included. This supplementary volume enhances the existing twelve volumes, and together, these thirteen volumes represent the most authoritative, comprehensive and up-to-date Encyclopaedia of Mathematics available.

Author : Steven Shreve
Publisher : Springer Science & Business Media
Page : 212 pages
File Size : 46,9 Mb
Release : 2005-06-28
Category : Mathematics
ISBN : 0387249680

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Stochastic Calculus for Finance I by Steven Shreve Pdf

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

Author : Fima C. Klebaner
Publisher : Imperial College Press
Page : 431 pages
File Size : 52,9 Mb
Release : 2005
Category : Mathematics
ISBN : 9781860945557

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Introduction to Stochastic Calculus with Applications by Fima C. Klebaner Pdf

This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.

Author : Gordon J. Alexander,William F. Sharpe,Jeffery V. Bailey
Publisher : Pearson Educación
Page : 824 pages
File Size : 50,8 Mb
Release : 2001
Category : Business & Economics
ISBN : 9702603757

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Fundamentals of Investments by Gordon J. Alexander,William F. Sharpe,Jeffery V. Bailey Pdf

This introduction provides a clear framework for understanding and analyzing securities, and covers the major institutional features and theories of investing. While the book presents a thorough discussion of investments, the authors keep the material practical, relevant, and easy to understand. The latest developments in investments are brought to life through the use of tables, graphs, and illustrations that incorporate current market information and academic research. An international content deals directly with international securities and securities markets throughout the book--along with currency management and interest rate parity. Up-to-date "Money Matters" articles reflect the latest real-world developments and are provided throughout each chapter to give readers a sense of how practitioners deal with various investment issues and use techniques. Other coverage includes an array of investment tools--presented through discussions on stocks, bonds, and other securities such as options and futures. A guide to reviewing, forecasting, and monitoring--for individuals preparing to make investments or take the CFA exam.

Author : Vigirdas Mackevicius
Publisher : Elsevier
Page : 130 pages
File Size : 55,9 Mb
Release : 2016-11-08
Category : Mathematics
ISBN : 9780081020869

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Stochastic Models of Financial Mathematics by Vigirdas Mackevicius Pdf

This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black-Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox-Ingersoll-Ross, and Heath-Jarrow-Morton interest rate models are also explored. The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided. About continuous-time stochastic models of financial mathematics Black-Sholes model and interest rate models Requiring a minimum knowledge of stochastic integration and stochastic differential equations

Author : Steven Shreve
Publisher : Springer
Page : 187 pages
File Size : 55,7 Mb
Release : 2005-06-28
Category : Mathematics
ISBN : 0387249680

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Stochastic Calculus for Finance I by Steven Shreve Pdf

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

Author : J. McCombie,C. Rodríguez González,Carlos Rodríguez González
Publisher : Springer
Page : 200 pages
File Size : 46,6 Mb
Release : 2007-01-30
Category : Business & Economics
ISBN : 9780230801493

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Issues in Finance and Monetary Policy by J. McCombie,C. Rodríguez González,Carlos Rodríguez González Pdf

The book investigates the contemporary functioning of financial institutions and monetary policies in order to assess their effects in different economic situations. It advances some proposals to improve their contribution towards a more stable and vigorous economy in the context of both developed and developing countries.

Author : Allanus Hak-Man Tsoi,David Nualart,George Yin
Publisher : World Scientific
Page : 274 pages
File Size : 45,6 Mb
Release : 2011
Category : Business & Economics
ISBN : 9789814355711

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Stochastic Analysis, Stochastic Systems, and Applications to Finance by Allanus Hak-Man Tsoi,David Nualart,George Yin Pdf

Pt. I. Stochastic analysis and systems. 1. Multidimensional Wick-Ito formula for Gaussian processes / D. Nualart and S. Ortiz-Latorre. 2. Fractional white noise multiplication / A.H. Tsoi. 3. Invariance principle of regime-switching diffusions / C. Zhu and G. Yin -- pt. II. Finance and stochastics. 4. Real options and competition / A. Bensoussan, J.D. Diltz and S.R. Hoe. 5. Finding expectations of monotone functions of binary random variables by simulation, with applications to reliability, finance, and round robin tournaments / M. Brown, E.A. Pekoz and S.M. Ross. 6. Filtering with counting process observations and other factors : applications to bond price tick data / X. Hu, D.R. Kuipers and Y. Zeng. 7. Jump bond markets some steps towards general models in applications to hedging and utility problems / M. Kohlmann and D. Xiong. 8. Recombining tree for regime-switching model : algorithm and weak convergence / R.H. Liu. 9. Optimal reinsurance under a jump diffusion model / S. Luo. 10. Applications of counting processes and martingales in survival analysis / J. Sun. 11. Stochastic algorithms and numerics for mean-reverting asset trading / Q. Zhang, C. Zhuang and G. Yin