Continuous Stochastic Calculus with Applications to Finance, Meyer, Michael

Автор: Thomas A. Garrity
Название: All the Math You Missed
ISBN: 1009009192 ISBN-13(EAN): 9781009009195
Издательство: Cambridge Academ
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Цена: 26400.00 T
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Описание: The second edition of this bestselling book provides an overview of the key topics in undergraduate mathematics, allowing beginning graduate students to fill in any gaps in their knowledge. With numerous examples, exercises and suggestions for further reading, it is a must-have for anyone looking to learn some serious mathematics quickly.

Автор: Gallager
Название: Stochastic Processes
ISBN: 1107039754 ISBN-13(EAN): 9781107039759
Издательство: Cambridge Academ
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Цена: 74970.00 T
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Описание: This definitive textbook provides a solid introduction to stochastic processes, covering both theory and applications. It is written by one of the world`s leading information theorists, evolving over twenty years of graduate classroom teaching, and is accompanied by over 300 exercises, with online solutions for instructors.

Автор: Gulisashvili
Название: Analytically Tractable Stochastic Stock Price Models
ISBN: 3642312136 ISBN-13(EAN): 9783642312137
Издательство: Springer
Цена: 37170.00 T
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Описание: For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility.

Автор: Platen
Название: Numerical Solution of Stochastic Differential Equations with Jumps in Finance
ISBN: 3642120571 ISBN-13(EAN): 9783642120572
Издательство: Springer
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Цена: 84780.00 T
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Описание: 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.

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
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Цена: 96090.00 T
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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: Nicolas Privault
Название: Stochastic Analysis in Discrete and Continuous Settings
ISBN: 3642023797 ISBN-13(EAN): 9783642023798
Издательство: Springer
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Цена: 46540.00 T
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Описание: Suitable for graduate students and researchers having already received a basic training in probability, this work aims to give a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time.

Автор: Atle Seierstad
Название: Stochastic Control in Discrete and Continuous Time
ISBN: 1441945695 ISBN-13(EAN): 9781441945693
Издательство: Springer
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Цена: 43740.00 T
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Описание: This book is a comprehensive introduction to stochastic control problems in both discrete and continuous time. It covers stochastic dynamic programming and the optimal stopping problem for discrete time with a finite or infinite horizon.

Автор: Piunovskiy Alexey, Zhang Yi
Название: Continuous-Time Markov Decision Processes: Borel Space Models and General Control Strategies
ISBN: 3030549895 ISBN-13(EAN): 9783030549893
Издательство: Springer
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Цена: 139750.00 T
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Описание: This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields.

Автор: Shreve, Steven
Название: Stochastic calculus for finance ii
ISBN: 144192311X ISBN-13(EAN): 9781441923110
Издательство: Springer
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Цена: 55890.00 T
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Описание: "A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions.

Автор: Capasso
Название: An Introduction to Continuous-Time Stochastic Processes
ISBN: 3030696553 ISBN-13(EAN): 9783030696559
Издательство: Springer
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Цена: 51230.00 T
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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: Lord
Название: An Introduction to Computational Stochastic PDEs
ISBN: 0521728525 ISBN-13(EAN): 9780521728522
Издательство: Cambridge Academ
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Цена: 60190.00 T
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Описание: This comprehensive introduction to stochastic partial differential equations incorporates the effects of randomness into real-world models, offering graduate students and researchers powerful tools for understanding uncertainty quantification for risk analysis. MATLAB (R) codes are included, so that readers can perform computations themselves and solve the test problems discussed.

Автор: Lord
Название: An Introduction to Computational Stochastic PDEs
ISBN: 0521899907 ISBN-13(EAN): 9780521899901
Издательство: Cambridge Academ
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Цена: 121440.00 T
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Описание: This comprehensive introduction to stochastic partial differential equations incorporates the effects of randomness into real-world models, offering graduate students and researchers powerful tools for understanding uncertainty quantification for risk analysis. MATLAB (R) codes are included, so that readers can perform computations themselves and solve the test problems discussed.