numerical solution of sde through computer experiments universitext

Download Book Numerical Solution Of Sde Through Computer Experiments Universitext in PDF format. You can Read Online Numerical Solution Of Sde Through Computer Experiments Universitext here in PDF, EPUB, Mobi or Docx formats.

Numerical Solution Of Sde Through Computer Experiments

Author : Peter Eris Kloeden
ISBN : 9783642579134
Genre : Mathematics
File Size : 89. 2 MB
Format : PDF
Download : 232
Read : 1290

Download Now


This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.

Numerical Solution Of Stochastic Differential Equations

Author : Peter E. Kloeden
ISBN : 9783662126165
Genre : Mathematics
File Size : 60. 35 MB
Format : PDF, ePub
Download : 747
Read : 1131

Download Now


The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Tools For Computational Finance

Author : Rüdiger U. Seydel
ISBN : 9781447173380
Genre : Mathematics
File Size : 43. 26 MB
Format : PDF, ePub, Mobi
Download : 483
Read : 1015

Download Now


Computational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to anyone working in computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its sixth edition, Tools for Computational Finance has been significantly revised and contains: Several new parts such as a section on extended applications of tree methods, including multidimensional trees, trinomial trees, and the handling of dividends; Additional material in the field of generating normal variates with acceptance-rejection methods, and on Monte Carlo methods; 115 exercises, and more than 100 figures, many in color. Written from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book, enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.

Pattern Formation And Dynamics In Nonequilibrium Systems

Author : Michael Cross
ISBN : 9780521770507
Genre : Mathematics
File Size : 54. 77 MB
Format : PDF, Docs
Download : 588
Read : 1038

Download Now


Account of how complex patterns form in sustained nonequilibrium systems; for graduate students in biology, chemistry, engineering, mathematics, and physics.

Numerical Solution Of Stochastic Differential Equations With Jumps In Finance

Author : Eckhard Platen
ISBN : 9783642136948
Genre : Mathematics
File Size : 27. 96 MB
Format : PDF, Kindle
Download : 383
Read : 1264

Download Now


In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992). The present monograph builds on the above-mentioned work and provides an introduction to stochastic differential equations with jumps, in both theory and application, emphasizing the numerical methods needed to solve such equations. 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. Furthermore, it includes chapters on exact simulation, estimation and filtering. Besides serving as a basic text on quantitative methods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen as the area of application because much of the recent research on stochastic numerical methods has been driven by challenges in quantitative finance. Moreover, the volume introduces readers to the modern benchmark approach that provides a general framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate background in mathematical or quantitative methods, is accessible to a broad readership, including those who are only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics.

Brownian Motion Calculus

Author : Ubbo F. Wiersema
ISBN : 9780470021712
Genre : Business & Economics
File Size : 66. 43 MB
Format : PDF, ePub, Mobi
Download : 645
Read : 1002

Download Now


Brownian Motion Calculus presents the basics of Stochastic Calculus with a focus on the valuation of financial derivatives. It is intended as an accessible introduction to the technical literature. A clear distinction has been made between the mathematics that is convenient for a first introduction, and the more rigorous underpinnings which are best studied from the selected technical references. The inclusion of fully worked out exercises makes the book attractive for self study. Standard probability theory and ordinary calculus are the prerequisites. Summary slides for revision and teaching can be found on the book website.

Stochastic Integration And Differential Equations

Author : Philip E. Protter
ISBN : 9783662100615
Genre : Mathematics
File Size : 65. 77 MB
Format : PDF
Download : 109
Read : 739

Download Now


It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, the more general version of the Girsanov theorem due to Lenglart, the Kazamaki-Novikov criteria for exponential local martingales to be martingales, and a modern treatment of compensators. Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery’s examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process). New topics added include an introduction to the theory of the expansion of filtrations, a treatment of the Fefferman martingale inequality, and that the dual space of the martingale space H^1 can be identified with BMO martingales. Solutions to selected exercises are available at the web site of the author, with current URL http://www.orie.cornell.edu/~protter/books.html.

Statistics Of Financial Markets

Author : Jürgen Franke
ISBN : 9783642545399
Genre : Business & Economics
File Size : 74. 13 MB
Format : PDF, ePub, Mobi
Download : 392
Read : 750

Download Now


Now in its fourth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods of evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to given problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. For this new edition the book has been updated and extensively revised and now includes several new aspects, e.g. new chapters on long memory models, copulae and CDO valuation. Practical exercises with solutions have also been added. Both R and Matlab Code, together with the data, can be downloaded from the book’s product page and www.quantlet.de

Algebraic Geometry

Author : Daniel Perrin
ISBN : 1848000561
Genre : Mathematics
File Size : 28. 64 MB
Format : PDF, Docs
Download : 196
Read : 476

Download Now


Aimed primarily at graduate students and beginning researchers, this book provides an introduction to algebraic geometry that is particularly suitable for those with no previous contact with the subject; it assumes only the standard background of undergraduate algebra. The book starts with easily-formulated problems with non-trivial solutions and uses these problems to introduce the fundamental tools of modern algebraic geometry: dimension; singularities; sheaves; varieties; and cohomology. A range of exercises is provided for each topic discussed, and a selection of problems and exam papers are collected in an appendix to provide material for further study.

Understanding And Using Linear Programming

Author : Jiri Matousek
ISBN : 9783540307174
Genre : Mathematics
File Size : 79. 4 MB
Format : PDF, ePub, Docs
Download : 291
Read : 1211

Download Now


The book is an introductory textbook mainly for students of computer science and mathematics. Our guiding phrase is "what every theoretical computer scientist should know about linear programming". A major focus is on applications of linear programming, both in practice and in theory. The book is concise, but at the same time, the main results are covered with complete proofs and in sufficient detail, ready for presentation in class. The book does not require more prerequisites than basic linear algebra, which is summarized in an appendix. One of its main goals is to help the reader to see linear programming "behind the scenes".

Top Download:

Best Books