An Introduction to Continuous-Time Stochastic Processes, Capasso
Автор: Oksendal Название: Stochastic Differential Equations ISBN: 3540047581 ISBN-13(EAN): 9783540047582 Издательство: Springer Рейтинг: Цена: 54820.00 T Наличие на складе: Есть Описание: Gives an introduction to the basic theory of stochastic calculus and its applications. This book offers examples in order to motivate and illustrate the theory and show its importance for many applications in for example economics, biology and physics.
Автор: Hans Follmer, Alexander Schied Название: Stochastic Finance: An Introduction in Discrete Time ISBN: 311046344X ISBN-13(EAN): 9783110463446 Издательство: Walter de Gruyter Цена: 68120.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry.The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage.The first part of the book contains a study of a simple one-period model, which also serves as a building block for later developments. Topics include the characterization of arbitrage-free markets, preferences on asset profiles, an introduction to equilibrium analysis, and monetary measures of financial risk.In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk.This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents: Part I: Mathematical finance in one periodArbitrage theoryPreferencesOptimality and equilibriumMonetary measures of riskPart II: Dynamic hedgingDynamic arbitrage theoryAmerican contingent claimsSuperhedgingEfficient hedgingHedging under constraintsMinimizing the hedging errorDynamic risk measures
Автор: Prieto-Rumeau Tomas Et Al Название: Selected Topics On Continuous-Time Controlled Markov Chains And Markov Games ISBN: 1848168489 ISBN-13(EAN): 9781848168480 Издательство: World Scientific Publishing Рейтинг: Цена: 96090.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Deals with continuous-time controlled Markov chains and Markov games. This book proposes assumptions on the control and game models that are easily verifiable (and verified) in practice. It also analyzes algorithmic and computational issues.
Автор: Ross, Sheldon M. Название: Introduction To Probability And Statistics For Engineers And Scientists ISBN: 0128243465 ISBN-13(EAN): 9780128243466 Издательство: Elsevier Science Рейтинг: Цена: 110030.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Letter Jam is a 2-6 player cooperative word game where players assist each other in composing meaningful words from letters around the table. The trick is holding the letter card so that it`s only visible to other players and not to you.At the start of the game, each player receives a set of face-down letter cards that can be arranged to form an existing word. The setup can be prepared by using a special card scanning app, or by players selecting words for each other. Each player then puts their first card in their stand facing the other players without looking at it, and the game begins.The game is played in turns. Each turn, players simultaneously search other players` letters to see what words they can spell out (telling the others the length of the word they can make up). The player who offers the longest word can then be chosen as the clue giver.The clue giver spells out their clue by putting numbered tokens in front of the other players. Number one goes to the player whose letter comes first in the clue, number two to the second letter etc. They can always use a wild card which can be any letter, but they cannot tell others which letter it represents.Each player with a numbered token (or tokens) in front of them then tries to figure out what their letter is. If they do, they place the card face down before revealing the next letter. At the end of the game, players can then rearrange the cards to try to form an existing word. All players then reveal their cards to see if they were successful or not. The more players who have an existing word in front of them, the bigger their common success.
Автор: Capasso Vincenzo, Bakstein David Название: An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine ISBN: 3030696529 ISBN-13(EAN): 9783030696528 Издательство: Springer Цена: 51230.00 T Наличие на складе: Невозможна поставка. Описание: This textbook, now in its fourth edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations.
Автор: Dobrow Robert P. Название: Introduction to Stochastic Processes with R ISBN: 1118740653 ISBN-13(EAN): 9781118740651 Издательство: Wiley Рейтинг: Цена: 111880.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: An introduction to stochastic processes through the use of R Introduction to Stochastic Processes with R is an accessible and well-balanced presentation of the theory of stochastic processes, with an emphasis on real-world applications of probability theory in the natural and social sciences.
Автор: Rene L. Schilling, Lothar Partzsch Название: Brownian Motion: An Introduction to Stochastic Processes ISBN: 3110307294 ISBN-13(EAN): 9783110307290 Издательство: Walter de Gruyter Цена: 42450.00 T Наличие на складе: Нет в наличии. Описание: Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes, Brownian motion is at the intersection of Gaussian processes, martingales, Markov processes, diffusions and random fractals, and it has influenced the study of these topics. Its central position within mathematics is matched by numerous applications in science, engineering and mathematical finance. Often textbooks on probability theory cover, if at all, Brownian motion only briefly. On the other hand, there is a considerable gap to more specialized texts on Brownian motion which is not so easy to overcome for the novice. The authors’ aim was to write a book which can be used as an introduction to Brownian motion and stochastic calculus, and as a first course in continuous-time and continuous-state Markov processes. They also wanted to have a text which would be both a readily accessible mathematical back-up for contemporary applications (such as mathematical finance) and a foundation to get easy access to advanced monographs. This textbook, tailored to the needs of graduate and advanced undergraduate students, covers Brownian motion, starting from its elementary properties, certain distributional aspects, path properties, and leading to stochastic calculus based on Brownian motion. It also includes numerical recipes for the simulation of Brownian motion.
Автор: Giorgos Michel Название: Probability & Stochastic Processes: A Friendly Introduction for Electrical & Computer Engineers ISBN: 1681174529 ISBN-13(EAN): 9781681174525 Издательство: Gazelle Book Services Рейтинг: Цена: 230210.00 T Наличие на складе: Невозможна поставка. Описание: In probability theory, a stochastic process, or often random process, is a collection of random variables representing the evolution of some system of random values over time. This is the probabilistic counterpart to a deterministic process (or deterministic system). Instead of describing a process which can only evolve in one way (as in the case, for example, of solutions of an ordinary differential equation), in a stochastic, or random process, there is some indeterminacy: even if the initial condition is known, there are several directions in which the process may evolve. Classic examples of the stochastic process are guessing the length of a queue at a stated time given the random distribution over time of a number of people or objects entering and leaving the queue and guessing the amount of water in a reservoir based on the random distribution of rainfall and water usage. Stochastic processes were first studied rigorously in the late 19th century to aid in understanding financial markets and Brownian motion. This book covers characterisation, structural properties, inference and control of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests.
Автор: Gerard–Michel Cochard Название: Introduction to Stochastic Processes and Simulation ISBN: 1786304848 ISBN-13(EAN): 9781786304841 Издательство: Wiley Рейтинг: Цена: 146730.00 T Наличие на складе: Поставка под заказ. Описание: Mastering chance has, for a long time, been a preoccupation of mathematical research. Today, we possess a predictive approach to the evolution of systems based on the theory of probabilities. Even so, uncovering this subject is sometimes complex, because it necessitates a good knowledge of the underlying mathematics. This book offers an introduction to the processes linked to the fluctuations in chance and the use of numerical methods to approach solutions that are difficult to obtain through an analytical approach. It takes classic examples of inventory and queueing management, and addresses more diverse subjects such as equipment reliability, genetics, population dynamics, physics and even market finance. It is addressed to those at Masters level, at university, engineering school or management school, but also to an audience of those in continuing education, in order that they may discover the vast field of decision support.
Автор: Mu-fa Chen, Yong-hua Mao Название: Introduction To Stochastic Processes ISBN: 9814740306 ISBN-13(EAN): 9789814740302 Издательство: World Scientific Publishing Рейтинг: Цена: 73920.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: The objective here is to introduce the elements of stochastic processes in a rather concise manner where we present the two most important parts in stochastic processes - Markov chains and stochastic analysis.
Автор: Hassler Uwe Название: Stochastic Processes and Calculus: An Elementary Introduction with Applications ISBN: 3319794825 ISBN-13(EAN): 9783319794822 Издательство: Springer Рейтинг: Цена: 60550.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics.
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