The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to solve the exercises. The book is intended as an exercise textbook to accompany g…
Two prisoners are told that they will be brought to a room and seated so that each can see the other. Hats will be placed on their heads; each hat is either red or green. The two prisoners must simultaneously submit a guess of their own hat color, and they both go free if at least one of them guesses correctly. While no communication is allowed once the hats have been placed, they will, however…
Describing novel mathematical concepts for recommendation engines, Realtime Data Mining: Self-Learning Techniques for Recommendation Engines features a sound mathematical framework unifying approaches based on control and learning theories, tensor factorization, and hierarchical methods. Furthermore, it presents promising results of numerous experiments on real-world data. The area of realti…
This monograph covers some of the most important developments in Ramsey theory from its beginnings in the early 20th century via its many breakthroughs to recent important developments in the early 21st century. The book first presents a detailed discussion of the roots of Ramsey theory before offering a thorough discussion of the role of parameter sets. It presents several examples of struc…
This monograph provides a complete and self-contained account of the theory, methods, and applications of constant-sign solutions of integral equations. In particular, the focus is on different systems of Volterra and Fredholm equations. The presentation is systematic and the material is broken down into several concise chapters. An introductory chapter covers the basic preliminaries. Throughou…
This title examines the structure of approximate solutions of optimal control problems considered on subintervals of a real line. Specifically at the properties of approximate solutions which are independent of the length of the interval. The results illustrated in this book look into the so-called turnpike property of optimal control problems. The author generalizes the results of the turnpik…
There are several techniques to study noncooperative dynamic games, such as dynamic programming and the maximum principle (also called the Lagrange method). It turns out, however, that one way to characterize dynamic potential games requires to analyze inverse optimal control problems, and it is here where the Euler equation approach comes in because it is particularly well–suited to solve…
This authored monograph presents the use of dynamic spatiotemporal modeling tools for the identification of complex underlying processes in conflict, such as diffusion, relocation, heterogeneous escalation, and volatility. The authors use ideas from statistics, signal processing, and ecology, and provide a predictive framework which is able to assimilate data and give confidence estimates on th…
This book presents four mathematical essays which explore the foundations of mathematics and related topics ranging from philosophy and logic to modern computer mathematics. While connected to the historical evolution of these concepts, the essays place strong emphasis on developments still to come. The book originated in a 2002 symposium celebrating the work of Bruno Buchberger, Professor …
Self-similar processes are stochastic processes that are invariant in distribution under suitable time scaling, and are a subject intensively studied in the last few decades. This book presents the basic properties of these processes and focuses on the study of their variation using stochastic analysis. While self-similar processes, and especially fractional Brownian motion, have been discussed…