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Mathematical finance: theory review and exercises
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…
- Edisi
- Ed.1
- ISBN/ISSN
- 9783319013572
- Deskripsi Fisik
- x, 277 hlm.
- Judul Seri
- -
- No. Panggil
- E724
Analysis of variations for self-similar processes
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…
- Edisi
- Ed.1
- ISBN/ISSN
- 9783319009360
- Deskripsi Fisik
- xi, 268 hlm.
- Judul Seri
- -
- No. Panggil
- E715
Automatic trend estimation
Our book introduces a method to evaluate the accuracy of trend estimation algorithms under conditions similar to those encountered in real time series processing. This method is based on Monte Carlo experiments with artificial time series numerically generated by an original algorithm. The second part of the book contains several automatic algorithms for trend estimation and time series partiti…
- Edisi
- -
- ISBN/ISSN
- 978-94-007-4825-5
- Deskripsi Fisik
- x, 131 hlm : il.
- Judul Seri
- -
- No. Panggil
- E1816
Stochastic world
This book is an introduction into stochastic processes for physicists, biologists and financial analysts. Using an informal approach, all the necessary mathematical tools and techniques are covered, including the stochastic differential equations, mean values, probability distribution functions, stochastic integration and numerical modeling. Numerous examples of practical applications of the st…
- Edisi
- Ed.1
- ISBN/ISSN
- 9783319000718
- Deskripsi Fisik
- ix, 339 hlm.
- Judul Seri
- Mathematical Engineering
- No. Panggil
- E696
Gerber–shiu risk theory
Motivated by the many and long-standing contributions of H. Gerber and E. Shiu, this book gives a modern perspective on the problem of ruin for the classical Cramér–Lundberg model and the surplus of an insurance company. The book studies martingales and path decompositions, which are the main tools used in analysing the distribution of the time of ruin, the wealth prior to ruin and the defic…
- Edisi
- Ed.1
- ISBN/ISSN
- 9783319023038
- Deskripsi Fisik
- viii, 93 hlm.
- Judul Seri
- -
- No. Panggil
- E732
Seminar on stochastic analysis, random fields and applications VII : centro s…
This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximatio…
- Edisi
- Ed.1
- ISBN/ISSN
- 9783034805452
- Deskripsi Fisik
- xi, 469 hlm.
- Judul Seri
- -
- No. Panggil
- E675
Mathematical methods in robust control of linear stochastic systems
This second edition of Mathematical Methods in the Robust Control of Linear Stochastic Systems includes a large number of recent results in the control of linear stochastic systems. More specifically, the new results presented are: - A unified and abstract framework for Riccati type equations arising in the stochastic control - Stability and control problems for systems perturbed by homo…
- Edisi
- Ed.2
- ISBN/ISSN
- 9781461486633
- Deskripsi Fisik
- xv, 442 hlm.
- Judul Seri
- -
- No. Panggil
- E643
Stochastic processes : from Physics to Finance
This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their m…
- Edisi
- 2nd edition
- ISBN/ISSN
- 9783319003276
- Deskripsi Fisik
- xiii, 280 hlm. : il.
- Judul Seri
- -
- No. Panggil
- E1642
Statistics and analysis of scientific data
Statistics and Analysis of Scientific Data covers the foundations of probability theory and statistics, and a number of numerical and analytical methods that are essential for the present-day analyst of scientific data. Topics covered include probability theory, distribution functions of statistics, fits to two-dimensional datasheets and parameter estimation, Monte Carlo methods and Markov chai…
- Edisi
- -
- ISBN/ISSN
- 9781461479840
- Deskripsi Fisik
- xv, 301 hlm. : il. warna.
- Judul Seri
- Graduate Texts in Physics (GTP)
- No. Panggil
- E1628
Mean field games and mean field type control theory
Mean field games and Mean field type control introduce new problems in Control Theory. The terminology “games” may be confusing. In fact they are control problems, in the sense that one is interested in a single decision maker, whom we can call the representative agent. However, these problems are not standard, since both the evolution of the state and the objective functional is influenced…
- Edisi
- 1
- ISBN/ISSN
- 9781461485087
- Deskripsi Fisik
- X, 128 hlm.
- Judul Seri
- -
- No. Panggil
- E637
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