Mathematics Of The Bond Market A Lévy Processes Approach

Mathematics Of The Bond Market A Lévy Processes Approach Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Mathematics Of The Bond Market A Lévy Processes Approach book. This book definitely worth reading, it is an incredibly well-written.

Mathematics of the Bond Market: A Lévy Processes Approach

Michał Barski,Jerzy Zabczyk
Mathematics of the Bond Market A L vy Processes Approach Book PDF

Author : Michał Barski,Jerzy Zabczyk
Publisher : Cambridge University Press
Page : 402 pages
File Size : 48,5 Mb
Release : 2020-04-15
Category : Mathematics
ISBN : 9781108889605

Get Book

Mathematics of the Bond Market: A Lévy Processes Approach by Michał Barski,Jerzy Zabczyk Pdf

Mathematical models of bond markets are of interest to researchers working in applied mathematics, especially in mathematical finance. This book concerns bond market models in which random elements are represented by Lévy processes. These are more flexible than classical models and are well suited to describing prices quoted in a discontinuous fashion. The book's key aims are to characterize bond markets that are free of arbitrage and to analyze their completeness. Nonlinear stochastic partial differential equations (SPDEs) are an important tool in the analysis. The authors begin with a relatively elementary analysis in discrete time, suitable for readers who are not familiar with finance or continuous time stochastic analysis. The book should be of interest to mathematicians, in particular to probabilists, who wish to learn the theory of the bond market and to be exposed to attractive open mathematical problems.

Measure, Probability, and Mathematical Finance

Guojun Gan,Chaoqun Ma,Hong Xie
Measure Probability and Mathematical Finance Book PDF

Author : Guojun Gan,Chaoqun Ma,Hong Xie
Publisher : John Wiley & Sons
Page : 54 pages
File Size : 53,8 Mb
Release : 2014-04-07
Category : Mathematics
ISBN : 9781118831960

Get Book

Measure, Probability, and Mathematical Finance by Guojun Gan,Chaoqun Ma,Hong Xie Pdf

An introduction to the mathematical theory and financial models developed and used on Wall Street Providing both a theoretical and practical approach to the underlying mathematical theory behind financial models, Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach presents important concepts and results in measure theory, probability theory, stochastic processes, and stochastic calculus. Measure theory is indispensable to the rigorous development of probability theory and is also necessary to properly address martingale measures, the change of numeraire theory, and LIBOR market models. In addition, probability theory is presented to facilitate the development of stochastic processes, including martingales and Brownian motions, while stochastic processes and stochastic calculus are discussed to model asset prices and develop derivative pricing models. The authors promote a problem-solving approach when applying mathematics in real-world situations, and readers are encouraged to address theorems and problems with mathematical rigor. In addition, Measure, Probability, and Mathematical Finance features: A comprehensive list of concepts and theorems from measure theory, probability theory, stochastic processes, and stochastic calculus Over 500 problems with hints and select solutions to reinforce basic concepts and important theorems Classic derivative pricing models in mathematical finance that have been developed and published since the seminal work of Black and Scholes Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach is an ideal textbook for introductory quantitative courses in business, economics, and mathematical finance at the upper-undergraduate and graduate levels. The book is also a useful reference for readers who need to build their mathematical skills in order to better understand the mathematical theory of derivative pricing models.

Levy Processes in Finance

Wim Schoutens
Levy Processes in Finance Book PDF

Author : Wim Schoutens
Publisher : Wiley
Page : 200 pages
File Size : 54,6 Mb
Release : 2003-05-07
Category : Mathematics
ISBN : 0470851562

Get Book

Levy Processes in Finance by Wim Schoutens Pdf

Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of L?vy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. L?vy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of L?vy-based models, and features many examples of how they may be used to solve problems in finance. * Provides an introduction to the use of L?vy processes in finance. * Features many examples using real market data, with emphasis on the pricing of financial derivatives. * Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling. * Includes many figures to illustrate the theory and examples discussed. * Avoids unnecessary mathematical formalities. The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.

Mathematics of Financial Markets

Robert J Elliott,P. Ekkehard Kopp
Mathematics of Financial Markets Book PDF

Author : Robert J Elliott,P. Ekkehard Kopp
Publisher : Springer Science & Business Media
Page : 298 pages
File Size : 44,9 Mb
Release : 2013-11-11
Category : Mathematics
ISBN : 9781475771466

Get Book

Mathematics of Financial Markets by Robert J Elliott,P. Ekkehard Kopp Pdf

This book explores the mathematics that underpins pricing models for derivative securities such as options, futures and swaps in modern markets. Models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory.

Topics in Numerical Methods for Finance

Mark Cummins,Finbarr Murphy,John J.H. Miller
Topics in Numerical Methods for Finance Book PDF

Author : Mark Cummins,Finbarr Murphy,John J.H. Miller
Publisher : Springer Science & Business Media
Page : 213 pages
File Size : 41,6 Mb
Release : 2012-07-15
Category : Mathematics
ISBN : 9781461434337

Get Book

Topics in Numerical Methods for Finance by Mark Cummins,Finbarr Murphy,John J.H. Miller Pdf

Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds with the development of a fear index based on equity option surfaces, allowing for the measurement of overall fear levels in the market. The problem of American option pricing is considered next, applying simulation methods combined with regression techniques and discussing convergence properties. Changing focus to integral transform methods, a variety of option pricing problems are considered. The COS method is practically applied for the pricing of options under uncertain volatility, a method developed by the authors that relies on the dynamic programming principle and Fourier cosine series expansions. Efficient approximation methods are next developed for the application of the fast Fourier transform for option pricing under multifactor affine models with stochastic volatility and jumps. Following this, fast and accurate pricing techniques are showcased for the pricing of credit derivative contracts with discrete monitoring based on the Wiener-Hopf factorisation. With an energy theme, a recombining pentanomial lattice is developed for the pricing of gas swing contracts under regime switching dynamics. The book concludes with a linear and nonlinear review of the arbitrage-free parity theory for the CDS and bond markets.

Mathematical Finance

Michael Kohlmann,Tang Shanjian
Mathematical Finance Book PDF

Author : Michael Kohlmann,Tang Shanjian
Publisher : Birkhäuser
Page : 373 pages
File Size : 49,7 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783034882910

Get Book

Mathematical Finance by Michael Kohlmann,Tang Shanjian Pdf

The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph. D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a mathematical discipline. On this remarkable anniversary the workshop on mathematical finance held at the University of Konstanz brought together practitioners, economists and mathematicians to discuss the state of the art. Apart from contributions to the known discrete, Brownian, and Lvy process models, first attempts to describe a market in a reasonable way by a fractional Brownian motion model are presented, opening many new aspects for practitioners and new problems for mathematicians. As most dynamical financial problems are stochastic filtering or control problems many talks presented adaptations of control methods and techniques to the classical financial problems in portfolio selection irreversible investment risk sensitive asset allocation capital asset pricing hedging contingent claims option pricing interest rate theory. The contributions of practitioners link the theoretical results to the steadily increasing flow of real world problems from financial institutions into mathematical laboratories. The present volume reflects this exchange of theoretical and applied results, methods and techniques that made the workshop a fruitful contribution to the interdisciplinary work in mathematical finance.

Equivalents of the Riemann Hypothesis

Kevin Broughan
Equivalents of the Riemann Hypothesis Book PDF

Author : Kevin Broughan
Publisher : Cambridge University Press
Page : 705 pages
File Size : 53,5 Mb
Release : 2023-09-30
Category : Mathematics
ISBN : 9781009384803

Get Book

Equivalents of the Riemann Hypothesis by Kevin Broughan Pdf

This third volume presents further equivalents to the Riemann hypothesis and explores its decidability.

Equivalents of the Riemann Hypothesis: Volume 3, Further Steps towards Resolving the Riemann Hypothesis

Kevin Broughan
Equivalents of the Riemann Hypothesis Volume 3 Further Steps towards Resolving the Riemann Hypothesis Book PDF

Author : Kevin Broughan
Publisher : Cambridge University Press
Page : 706 pages
File Size : 41,9 Mb
Release : 2023-09-30
Category : Mathematics
ISBN : 9781009384773

Get Book

Equivalents of the Riemann Hypothesis: Volume 3, Further Steps towards Resolving the Riemann Hypothesis by Kevin Broughan Pdf

This three-volume work presents the main known equivalents to the Riemann hypothesis, perhaps the most important problem in mathematics. Volume 3 covers new arithmetic and analytic equivalences from numerous studies in the field, such as Rogers and Tao, and presents derivations which show whether the Riemann hypothesis is decidable.

Option Pricing, Interest Rates and Risk Management

Elyès Jouini,Jakša Cvitanić,Marek Musiela
Option Pricing Interest Rates and Risk Management Book PDF

Author : Elyès Jouini,Jakša Cvitanić,Marek Musiela
Publisher : Cambridge University Press
Page : 324 pages
File Size : 48,7 Mb
Release : 2001
Category : Derivative securities
ISBN : 0521792371

Get Book

Option Pricing, Interest Rates and Risk Management by Elyès Jouini,Jakša Cvitanić,Marek Musiela Pdf

This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material.

Coxeter Bialgebras

Marcelo Aguiar,Swapneel Mahajan
Coxeter Bialgebras Book PDF

Author : Marcelo Aguiar,Swapneel Mahajan
Publisher : Cambridge University Press
Page : 897 pages
File Size : 54,8 Mb
Release : 2022-10-31
Category : Mathematics
ISBN : 9781009243735

Get Book

Coxeter Bialgebras by Marcelo Aguiar,Swapneel Mahajan Pdf

The goal of this monograph is to develop Hopf theory in the setting of a real reflection arrangement. The central notion is that of a Coxeter bialgebra which generalizes the classical notion of a connected graded Hopf algebra. The authors also introduce the more structured notion of a Coxeter bimonoid and connect the two notions via a family of functors called Fock functors. These generalize similar functors connecting Hopf monoids in the category of Joyal species and connected graded Hopf algebras. This monograph opens a new chapter in Coxeter theory as well as in Hopf theory, connecting the two. It also relates fruitfully to many other areas of mathematics such as discrete geometry, semigroup theory, associative algebras, algebraic Lie theory, operads, and category theory. It is carefully written, with effective use of tables, diagrams, pictures, and summaries. It will be of interest to students and researchers alike.

Mathematical Methods for Financial Markets

Monique Jeanblanc,Marc Yor,Marc Chesney
Mathematical Methods for Financial Markets Book PDF

Author : Monique Jeanblanc,Marc Yor,Marc Chesney
Publisher : Springer Science & Business Media
Page : 754 pages
File Size : 42,7 Mb
Release : 2009-10-03
Category : Business & Economics
ISBN : 9781846287374

Get Book

Mathematical Methods for Financial Markets by Monique Jeanblanc,Marc Yor,Marc Chesney Pdf

Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that 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 risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.

Quantitative Finance

Maria Cristina Mariani,Ionut Florescu
Quantitative Finance Book PDF

Author : Maria Cristina Mariani,Ionut Florescu
Publisher : John Wiley & Sons
Page : 489 pages
File Size : 55,9 Mb
Release : 2019-11-08
Category : Business & Economics
ISBN : 9781118629888

Get Book

Quantitative Finance by Maria Cristina Mariani,Ionut Florescu Pdf

Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field. The Quantitative Finance book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Lvy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. We discuss models for pricing bonds market, marketable securities, credit default swaps (CDS) and securitizations. Classroom-tested over a three-year period with the input of students and experienced practitioners Emphasizes the volatility of financial analyses and interpretations Weaves theory with application throughout the book Utilizes R and MATLAB software programs Presents pseudo-algorithms for readers who do not have access to any particular programming system Supplemented with extensive author-maintained web site that includes helpful teaching hints, data sets, software programs, and additional content Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields.

Handbook of Constructive Mathematics

Douglas Bridges,Hajime Ishihara,Michael Rathjen,Helmut Schwichtenberg
Handbook of Constructive Mathematics Book PDF

Author : Douglas Bridges,Hajime Ishihara,Michael Rathjen,Helmut Schwichtenberg
Publisher : Cambridge University Press
Page : 864 pages
File Size : 55,6 Mb
Release : 2023-03-31
Category : Mathematics
ISBN : 9781009041416

Get Book

Handbook of Constructive Mathematics by Douglas Bridges,Hajime Ishihara,Michael Rathjen,Helmut Schwichtenberg Pdf

Constructive mathematics – mathematics in which 'there exists' always means 'we can construct' – is enjoying a renaissance. fifty years on from Bishop's groundbreaking account of constructive analysis, constructive mathematics has spread out to touch almost all areas of mathematics and to have profound influence in theoretical computer science. This handbook gives the most complete overview of modern constructive mathematics, with contributions from leading specialists surveying the subject's myriad aspects. Major themes include: constructive algebra and geometry, constructive analysis, constructive topology, constructive logic and foundations of mathematics, and computational aspects of constructive mathematics. A series of introductory chapters provides graduate students and other newcomers to the subject with foundations for the surveys that follow. Edited by four of the most eminent experts in the field, this is an indispensable reference for constructive mathematicians and a fascinating vista of modern constructivism for the increasing number of researchers interested in constructive approaches.

Fundamentals of the Theory of Structured Dependence between Stochastic Processes

Tomasz R. Bielecki,Jacek Jakubowski,Mariusz Niew?glowski
Fundamentals of the Theory of Structured Dependence between Stochastic Processes Book PDF

Author : Tomasz R. Bielecki,Jacek Jakubowski,Mariusz Niew?glowski
Publisher : Cambridge University Press
Page : 279 pages
File Size : 43,6 Mb
Release : 2020-08-27
Category : Business & Economics
ISBN : 9781107154254

Get Book

Fundamentals of the Theory of Structured Dependence between Stochastic Processes by Tomasz R. Bielecki,Jacek Jakubowski,Mariusz Niew?glowski Pdf

Comprehensive presentation of the technical aspects and applications of the theory of structured dependence between random processes.

Asymptotic Analysis of Random Walks: Light-Tailed Distributions

A.A. Borovkov
Asymptotic Analysis of Random Walks Light Tailed Distributions Book PDF

Author : A.A. Borovkov
Publisher : Cambridge University Press
Page : 437 pages
File Size : 41,5 Mb
Release : 2020-10-29
Category : Mathematics
ISBN : 9781107074682

Get Book

Asymptotic Analysis of Random Walks: Light-Tailed Distributions by A.A. Borovkov Pdf

A systematic modern treatise on large deviation theory for random walks with light tails, from one of its key creators.