**Author**: Giulia Di Nunno,Bernt Øksendal,Frank Proske

**Publisher:**Springer Science & Business Media

**ISBN:**9783540785729

**Category:**Mathematics

**Page:**418

**View:**486

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# Search Results for: malliavin-calculus-for-lÃƒÂ-vy-processes-with-applications-to-finance-universitext

**Author**: Giulia Di Nunno,Bernt Øksendal,Frank Proske

**Publisher:** Springer Science & Business Media

**ISBN:** 9783540785729

**Category:** Mathematics

**Page:** 418

**View:** 486

This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents the development of the theory and its use in new fields of application.

**Author**: Hida Takeyuki,Streit Ludwig

**Publisher:** World Scientific

**ISBN:** 9813220953

**Category:** Mathematics

**Page:** 232

**View:** 5609

Why should we use white noise analysis? Well, one reason of course is that it fills that earlier gap in the tool kit. As Hida would put it, white noise provides us with a useful set of independent coordinates, parametrized by "time". And there is a feature which makes white noise analysis extremely user-friendly. Typically the physicist — and not only he — sits there with some heuristic ansatz, like e.g. the famous Feynman "integral", wondering whether and how this might make sense mathematically. In many cases the characterization theorem of white noise analysis provides the user with a sweet and easy answer. Feynman's "integral" can now be understood, the "It's all in the vacuum" ansatz of Haag and Coester is now making sense via Dirichlet forms, and so on in many fields of application. There is mathematical finance, there have been applications in biology, and engineering, many more than we could collect in the present volume. Finally, there is one extra benefit: when we internalize the structures of Gaussian white noise analysis we will be ready to meet another close relative. We will enjoy the important similarities and differences which we encounter in the Poisson case, championed in particular by Y Kondratiev and his group. Let us look forward to a companion volume on the uses of Poisson white noise. The present volume is more than a collection of autonomous contributions. The introductory chapter on white noise analysis was made available to the other authors early on for reference and to facilitate conceptual and notational coherence in their work.
*Pricing Financial Derivatives*

**Author**: Wim Schoutens

**Publisher:** Wiley

**ISBN:** 9780470851562

**Category:** Mathematics

**Page:** 200

**View:** 7288

Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of L?vy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. L?vy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of L?vy-based models, and features many examples of how they may be used to solve problems in finance. * Provides an introduction to the use of L?vy processes in finance. * Features many examples using real market data, with emphasis on the pricing of financial derivatives. * Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling. * Includes many figures to illustrate the theory and examples discussed. * Avoids unnecessary mathematical formalities. The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.

**Author**: Vlad Bally,Lucia Caramellino,Rama Cont

**Publisher:** Birkhäuser

**ISBN:** 3319271288

**Category:** Mathematics

**Page:** 208

**View:** 1666

This volume contains lecture notes from the courses given by Vlad Bally and Rama Cont at the Barcelona Summer School on Stochastic Analysis (July 2012). The notes of the course by Vlad Bally, co-authored with Lucia Caramellino, develop integration by parts formulas in an abstract setting, extending Malliavin's work on abstract Wiener spaces. The results are applied to prove absolute continuity and regularity results of the density for a broad class of random processes. Rama Cont's notes provide an introduction to the Functional Itô Calculus, a non-anticipative functional calculus that extends the classical Itô calculus to path-dependent functionals of stochastic processes. This calculus leads to a new class of path-dependent partial differential equations, termed Functional Kolmogorov Equations, which arise in the study of martingales and forward-backward stochastic differential equations. This book will appeal to both young and senior researchers in probability and stochastic processes, as well as to practitioners in mathematical finance.

**Author**: Yeol Je Cho,Jong Kyu Kim,Yong Kab Choi

**Publisher:** Nova Publishers

**ISBN:** 9781590338605

**Category:** Mathematics

**Page:** 230

**View:** 4949

Stochastic Analysis & Applications, Volume 3

**Author**: Anna Aksamit,Monique Jeanblanc

**Publisher:** Springer

**ISBN:** 3319412558

**Category:** Mathematics

**Page:** 150

**View:** 9619

This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable. The aim of this book is to collect the main mathematical results (with proofs) previously spread among numerous papers, great part of which is only available in French. Many examples and applications to finance, in particular to credit risk modelling and the study of asymmetric information, are provided to illustrate the theory. A detailed summary of further connections and applications is given in bibliographic notes which enables to deepen study of the topic. This book fills a gap in the literature and serves as a guide for graduate students and researchers interested in the role of information in financial mathematics and in econometric science. A basic knowledge of the general theory of stochastic processes is assumed as a prerequisite.
*PSPDE IV, Braga, Portugal, December 2015*

**Author**: Patrícia Gonçalves,Ana Jacinta Soares

**Publisher:** Springer

**ISBN:** 3319668390

**Category:** Mathematics

**Page:** 308

**View:** 8316

"This book addresses mathematical problems motivated by various applications in physics, engineering, chemistry and biology. It gathers the lecture notes from the mini-course presented by Jean-Christophe Mourrat on the construction of the various stochastic “basic” terms involved in the formulation of the dynamic Ö4 theory in three space dimensions, as well as selected contributions presented at the fourth meeting on Particle Systems and PDEs, which was held at the University of Minho’s Centre of Mathematics in December 2015. The purpose of the conference was to bring together prominent researchers working in the fields of particle systems and partial differential equations, offering them a forum to present their recent results and discuss their topics of expertise. The meeting was also intended to present to a vast and varied public, including young researchers, the area of interacting particle systems, its underlying motivation, and its relation to partial differential equations. The book will be of great interest to probabilists, analysts, and all mathematicians whose work focuses on topics in mathematical physics, stochastic processes and differential equations in general, as well as physicists working in statistical mechanics and kinetic theory.”

**Author**: David Nualart,Eulalia Nualart

**Publisher:** Cambridge University Press

**ISBN:** 1107039126

**Category:** Business & Economics

**Page:** 246

**View:** 5163

This textbook offers a compact introductory course on Malliavin calculus, an active and powerful area of research. It covers recent applications, including density formulas, regularity of probability laws, central and non-central limit theorems for Gaussian functionals, convergence of densities and non-central limit theorems for the local time of Brownian motion. The book also includes a self-contained presentation of Brownian motion and stochastic calculus, as well as Lvy processes and stochastic calculus for jump processes. Accessible to non-experts, the book can be used by graduate students and researchers to develop their mastery of the core techniques necessary for further study.
*Modelling Via Infinitesimal Analysis*

**Author**: Siu-Ah Ng

**Publisher:** World Scientific

**ISBN:** 9810244282

**Category:** Business & Economics

**Page:** 298

**View:** 7889

At the beginning of the new millennium, two unstoppable processes are taking place in the world: (1) globalization of the economy; (2) information revolution. As a consequence, there is greater participation of the world population in capital market investment, such as bonds and stocks and their derivatives. Hence there is a need for risk management and analytic theory explaining the market. This leads to quantitative tools based on mathematical methods, i.e. the theory of mathematical finance.Ever since the pioneer work of Black, Scholes and Merton in the 70's, there has been rapid growth in the study of mathematical finance, involving ever more sophisticated mathematics. However, from the practitioner's point of view, it is desirable to have simpler and more useful mathematical tools.This book introduces research students and practitioners to the intuitive but rigorous hypermodel techniques in finance. It is based on Robinson's infinitesimal analysis, which is easily grasped by anyone with as little background as first-year calculus. It covers topics such as pricing derivative securities (including the Black-Scholes formula), hedging, term structure models of interest rates, consumption and equilibrium. The reader is introduced to mathematical tools needed for the aforementioned topics. Mathematical proofs and details are given in an appendix. Some programs in MATHEMATICA are also included.
*With an Introduction to Regularity Structures*

**Author**: Peter K. Friz,Martin Hairer

**Publisher:** Springer

**ISBN:** 3319083325

**Category:** Mathematics

**Page:** 251

**View:** 5370

Lyons’ rough path analysis has provided new insights in the analysis of stochastic differential equations and stochastic partial differential equations, such as the KPZ equation. This textbook presents the first thorough and easily accessible introduction to rough path analysis. When applied to stochastic systems, rough path analysis provides a means to construct a pathwise solution theory which, in many respects, behaves much like the theory of deterministic differential equations and provides a clean break between analytical and probabilistic arguments. It provides a toolbox allowing to recover many classical results without using specific probabilistic properties such as predictability or the martingale property. The study of stochastic PDEs has recently led to a significant extension – the theory of regularity structures – and the last parts of this book are devoted to a gentle introduction. Most of this course is written as an essentially self-contained textbook, with an emphasis on ideas and short arguments, rather than pushing for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis courses and has some interest in stochastic analysis. For a large part of the text, little more than Itô integration against Brownian motion is required as background.
*Centre of Advanced Study, Oslo, Norway, 2014-2015*

**Author**: Fred Espen Benth,Giulia Di Nunno

**Publisher:** Springer

**ISBN:** 3319234250

**Category:** Science

**Page:** 360

**View:** 6787

These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.
*Mathematical Foundations of Stochastic Simulation*

**Author**: Carl Graham,Denis Talay

**Publisher:** Springer Science & Business Media

**ISBN:** 3642393632

**Category:** Mathematics

**Page:** 260

**View:** 2580

In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners’ aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their numerical parameters (number of simulations, time discretization steps). As a result, the book is a self-contained and rigorous study of the numerical methods within a theoretical framework. After briefly reviewing the basics, the authors first introduce fundamental notions in stochastic calculus and continuous-time martingale theory, then develop the analysis of pure-jump Markov processes, Poisson processes, and stochastic differential equations. In particular, they review the essential properties of Itô integrals and prove fundamental results on the probabilistic analysis of parabolic partial differential equations. These results in turn provide the basis for developing stochastic numerical methods, both from an algorithmic and theoretical point of view. The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes. It is intended for master and Ph.D. students in the field of stochastic processes and their numerical applications, as well as for physicists, biologists, economists and other professionals working with stochastic simulations, who will benefit from the ability to reliably estimate and control the accuracy of their simulations.

**Author**: Giulia Di Nunno,Bernt Øksendal

**Publisher:** Springer Science & Business Media

**ISBN:** 9783642184123

**Category:** Mathematics

**Page:** 536

**View:** 8658

This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

**Author**: Rüdiger U. Seydel

**Publisher:** Springer

**ISBN:** 1447173384

**Category:** Mathematics

**Page:** 486

**View:** 5235

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.
*From Simple to Complex*

**Author**: Alexander Balanov,Natalia Janson,Dmitry Postnov,Olga Sosnovtseva

**Publisher:** Springer Science & Business Media

**ISBN:** 3540721282

**Category:** Science

**Page:** 426

**View:** 9588

This fascinating work is devoted to the fundamental phenomenon in physics – synchronization that occurs in coupled non-linear dissipative oscillators. Examples of such systems range from mechanical clocks to population dynamics, from the human heart to neural networks. The main purpose of this book is to demonstrate that the complexity of synchronous patterns of real oscillating systems can be described in the framework of the general approach, and the authors study this phenomenon as applied to oscillations of different types, such as those with periodic, chaotic, noisy and noise-induced nature.
*The Abel Symposium 2005*

**Author**: Fred Espen Benth,Giulia Di Nunno,Tom Lindstrom,Bernt Øksendal,Tusheng Zhang

**Publisher:** Springer Science & Business Media

**ISBN:** 3540708472

**Category:** Mathematics

**Page:** 678

**View:** 4268

The Abel Symposium 2005 was organized as a tribute to the work of Kiyosi Ito on the occasion of his 90th birthday. Distinguished researchers from all over presented the newest developments within the exciting and fast growing field of stochastic analysis. This volume combines both papers from the invited speakers and contributions by the presenting lecturers. In addition, it includes the Memoirs that Kiyoshi Ito wrote for this occasion.
*Theory and Applications*

**Author**: Vidyadhar Mandrekar,Barbara Rüdiger

**Publisher:** Springer

**ISBN:** 3319128531

**Category:** Mathematics

**Page:** 211

**View:** 4810

Considering Poisson random measures as the driving sources for stochastic (partial) differential equations allows us to incorporate jumps and to model sudden, unexpected phenomena. By using such equations the present book introduces a new method for modeling the states of complex systems perturbed by random sources over time, such as interest rates in financial markets or temperature distributions in a specific region. It studies properties of the solutions of the stochastic equations, observing the long-term behavior and the sensitivity of the solutions to changes in the initial data. The authors consider an integration theory of measurable and adapted processes in appropriate Banach spaces as well as the non-Gaussian case, whereas most of the literature only focuses on predictable settings in Hilbert spaces. The book is intended for graduate students and researchers in stochastic (partial) differential equations, mathematical finance and non-linear filtering and assumes a knowledge of the required integration theory, existence and uniqueness results and stability theory. The results will be of particular interest to natural scientists and the finance community. Readers should ideally be familiar with stochastic processes and probability theory in general, as well as functional analysis and in particular the theory of operator semigroups.
*SAAP, Tunisia, October 7-9, 2010*

**Author**: Mounir Zili,Darya V. Filatova

**Publisher:** Springer Science & Business Media

**ISBN:** 3642223680

**Category:** Mathematics

**Page:** 264

**View:** 9293

Selected papers submitted by participants of the international Conference “Stochastic Analysis and Applied Probability 2010” ( www.saap2010.org ) make up the basis of this volume. The SAAP 2010 was held in Tunisia, from 7-9 October, 2010, and was organized by the “Applied Mathematics & Mathematical Physics” research unit of the preparatory institute to the military academies of Sousse (Tunisia), chaired by Mounir Zili. The papers cover theoretical, numerical and applied aspects of stochastic processes and stochastic differential equations. The study of such topic is motivated in part by the need to model, understand, forecast and control the behavior of many natural phenomena that evolve in time in a random way. Such phenomena appear in the fields of finance, telecommunications, economics, biology, geology, demography, physics, chemistry, signal processing and modern control theory, to mention just a few. As this book emphasizes the importance of numerical and theoretical studies of the stochastic differential equations and stochastic processes, it will be useful for a wide spectrum of researchers in applied probability, stochastic numerical and theoretical analysis and statistics, as well as for graduate students. To make it more complete and accessible for graduate students, practitioners and researchers, the editors Mounir Zili and Daria Filatova have included a survey dedicated to the basic concepts of numerical analysis of the stochastic differential equations, written by Henri Schurz.

**Author**: Giovanni Acampora,Vincenzo Loia,Chang-Shing Lee,Mei-Hui Wang

**Publisher:** Springer

**ISBN:** 3642354882

**Category:** Computers

**Page:** 188

**View:** 3867

One of the most successful methodology that arose from the worldwide diffusion of Fuzzy Logic is Fuzzy Control. After the first attempts dated in the seventies, this methodology has been widely exploited for controlling many industrial components and systems. At the same time, and very independently from Fuzzy Logic or Fuzzy Control, the birth of the Web has impacted upon almost all aspects of computing discipline. Evolution of Web, Web2.0 and Web 3.0 has been making scenarios of ubiquitous computing much more feasible; consequently information technology has been thoroughly integrated into everyday objects and activities. What happens when Fuzzy Logic meets Web technology? Interesting results might come out, as you will discover in this book. Fuzzy Mark-up Language is a son of this synergistic view, where some technological issues of Web are re-interpreted taking into account the transparent notion of Fuzzy Control, as discussed here. The concept of a Fuzzy Control that is conceived and modeled in terms of a native web wisdom represents another step towards the last picture of Pervasive Web Intelligence.

**Author**: Fabrice Baudoin

**Publisher:** World Scientific

**ISBN:** 1860944817

**Category:** Mathematics

**Page:** 140

**View:** 2551

This book aims to provide a self-contained introduction to the local geometry of the stochastic flows associated with stochastic differential equations. It stresses the view that the local geometry of any stochastic flow is determined very precisely and explicitly by a universal formula referred to as the Chen-Strichartz formula. The natural geometry associated with the Chen-Strichartz formula is the sub-Riemannian geometry whose main tools are introduced throughout the text. By using the connection between stochastic flows and partial differential equations, we apply this point of view of the study of hypoelliptic operators written in Hormander's form.

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