Malliavin Calculus for Lévy Processes with Applications to Finance


Author: Giulia Di Nunno,Bernt Øksendal,Frank Proske
Publisher: Springer Science & Business Media
ISBN: 9783540785729
Category: Mathematics
Page: 418
View: 2982

Continue Reading →

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.

Let Us Use White Noise


Author: Hida Takeyuki,Streit Ludwig
Publisher: World Scientific
ISBN: 9813220953
Category: Mathematics
Page: 232
View: 4871

Continue Reading →

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.

Equations Involving Malliavin Calculus Operators

Applications and Numerical Approximation
Author: Tijana Levajković,Hermann Mena
Publisher: Springer
ISBN: 3319656783
Category: Mathematics
Page: 132
View: 9571

Continue Reading →

This book provides a comprehensive and unified introduction to stochastic differential equations and related optimal control problems. The material is new and the presentation is reader-friendly. A major contribution of the book is the development of generalized Malliavin calculus in the framework of white noise analysis, based on chaos expansion representation of stochastic processes and its application for solving several classes of stochastic differential equations with singular data involving the main operators of Malliavin calculus. In addition, applications in optimal control and numerical approximations are discussed. The book is divided into four chapters. The first, entitled White Noise Analysis and Chaos Expansions, includes notation and provides the reader with the theoretical background needed to understand the subsequent chapters. In Chapter 2, Generalized Operators of Malliavin Calculus, the Malliavin derivative operator, the Skorokhod integral and the Ornstein-Uhlenbeck operator are introduced in terms of chaos expansions. The main properties of the operators, which are known in the literature for the square integrable processes, are proven using the chaos expansion approach and extended for generalized and test stochastic processes. Chapter 3, Equations involving Malliavin Calculus operators, is devoted to the study of several types of stochastic differential equations that involve the operators of Malliavin calculus, introduced in the previous chapter. Fractional versions of these operators are also discussed. Finally, in Chapter 4, Applications and Numerical Approximations are discussed. Specifically, we consider the stochastic linear quadratic optimal control problem with different forms of noise disturbances, operator differential algebraic equations arising in fluid dynamics, stationary equations and fractional versions of the equations studied – applications never covered in the extant literature. Moreover, numerical validations of the method are provided for specific problems."

Stochastic Integration in Banach Spaces

Theory and Applications
Author: Vidyadhar Mandrekar,Barbara Rüdiger
Publisher: Springer
ISBN: 3319128531
Category: Mathematics
Page: 211
View: 8437

Continue Reading →

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. ​

A Course on Rough Paths

With an Introduction to Regularity Structures
Author: Peter K. Friz,Martin Hairer
Publisher: N.A
ISBN: 9783319083339
Category:
Page: 268
View: 1977

Continue Reading →

Levy Processes in Finance

Pricing Financial Derivatives
Author: Wim Schoutens
Publisher: Wiley
ISBN: 9780470851562
Category: Mathematics
Page: 200
View: 2746

Continue Reading →

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.

Verallgemeinerte stochastische Prozesse

Modellierung und Anwendung technischer Rauschprozesse
Author: Stefan Schäffler
Publisher: Springer-Verlag
ISBN: 366254265X
Category: Mathematics
Page: 183
View: 5994

Continue Reading →

Dieses Lehrbuch behandelt die in Natur- und Ingenieurwissenschaften eine zentrale Rolle spielenden Rauschprozesse, wie weißes Rauschen in der Raumsondenkommunikation oder thermisches Rauschen und Schrotrauschen in elektronischen Bauelementen.In dieser Form einzigartig, entwickelt der Autor die mathematische Theorie der verallgemeinerten stochastischen Prozesse und spricht dabei die Anwendung dieser mathematischen Objekte in der Praxis (z.B. Schaltkreissimulation, digitale Nachrichtenübertragung und Bildverarbeitung) an; somit dient dieses Lehrbuch auch als praxisrelevante Einführung in die Modellierung und Verwendung technischer Rauschprozesse. Die mathematische Modellierung von Rauschprozessen führt auf die Theorie stochastischer Prozesse auf Basis verallgemeinerter Funktionen (Distributionen), ohne die kein Handy funktionieren und Anwendungen wie die Simulation komplexer elektronischer Schaltungen unmöglich wäre.Für Anwender und interessierte Mathematiker bietet dieses Werk erstmals einen mathematisch fundierten Einblick in diese Thematik.

Wahrscheinlichkeitsrechnung und Statistik


Author: Robert Hafner
Publisher: Springer-Verlag
ISBN: 3709169445
Category: Mathematics
Page: 512
View: 1094

Continue Reading →

Das Buch ist eine Einführung in die Wahrscheinlichkeitsrechnung und mathematische Statistik auf mittlerem mathematischen Niveau. Die Pädagogik der Darstellung unterscheidet sich in wesentlichen Teilen – Einführung der Modelle für unabhängige und abhängige Experimente, Darstellung des Suffizienzbegriffes, Ausführung des Zusammenhanges zwischen Testtheorie und Theorie der Bereichschätzung, allgemeine Diskussion der Modellentwicklung – erheblich von der anderer vergleichbarer Lehrbücher. Die Darstellung ist, soweit auf diesem Niveau möglich, mathematisch exakt, verzichtet aber bewußt und ebenfalls im Gegensatz zu vergleichbaren Texten auf die Erörterung von Meßbarkeitsfragen. Der Leser wird dadurch erheblich entlastet, ohne daß wesentliche Substanz verlorengeht. Das Buch will allen, die an der Anwendung der Statistik auf solider Grundlage interessiert sind, eine Einführung bieten, und richtet sich an Studierende und Dozenten aller Studienrichtungen, für die mathematische Statistik ein Werkzeug ist.

Advances in mathematics of finance


Author: Stefan Banach International Mathematical Center
Publisher: N.A
ISBN: N.A
Category: Finance
Page: 249
View: 7695

Continue Reading →

"This volume contains 15 papers contributed by the participands of the 2nd General AMaMeF conference and Banach Center converence 'Advances in mathematics of finance' organized in Bȩdlewo, Poland from 30th April till 5th May, 2007. AMaMeF (Advances Mathematical Methods of Finance) is a scientific programme of the European Science Foundation for 2005-2010"--Preface (p. 5).

Bernhard Riemann 1826–1866

Wendepunkte in der Auffassung der Mathematik
Author: Detlef Laugwitz
Publisher: Springer-Verlag
ISBN: 3034889836
Category: Mathematics
Page: 348
View: 8307

Continue Reading →

Das Riemannsche Integral lernen schon die Schüler kennen, die Theorien der reellen und der komplexen Funktionen bauen auf wichtigen Begriffsbildungen und Sätzen Riemanns auf, die Riemannsche Geometrie ist für Einsteins Gravitationstheorie und ihre Erweiterungen unentbehrlich, und in der Zahlentheorie ist die berühmte Riemannsche Vermutung noch immer offen. Riemann und sein um fünf Jahre jüngerer Freund Richard Dedekind sahen sich als Schüler von Gauss und Dirichlet. Um die Mitte des 19. Jahrhunderts leiteten sie den Übergang zur "modernen Mathematik" ein, der eine in Analysis und Geometrie, der andere in der Algebra mit der Hinwendung zu Mengen und Strukturen. Dieses Buch ist der erste Versuch, Riemanns wissenschaftliches Werk unter einem einheitlichen Gesichtspunkt zusammenzufassend darzustellen. Riemann gilt als einer der Philosophen unter den Mathematikern. Er stellte das Denken in Begriffen neben die zuvor vorherrschende algorithmische Auffassung von der Mathematik, welche die Gegenstände der Untersuchung, in Formeln und Figuren, in Termumformungen und regelhaften Konstruktionen als die allein legitimen Methoden sah. David Hilbert hat als Riemanns Grundsatz herausgestellt, die Beweise nicht durch Rechnung, sondern lediglich durch Gedanken zu zwingen. Hermann Weyl sah als das Prinzip Riemanns in Mathematik und Physik, "die Welt als das erkenntnistheoretische Motiv..., die Welt aus ihrem Verhalten im un- endlich kleinen zu verstehen."

Die Monte-Carlo-Methode

Beispiele unter Excel VBA
Author: Harald Nahrstedt
Publisher: Springer-Verlag
ISBN: 3658101490
Category: Mathematics
Page: 45
View: 6072

Continue Reading →

Harald Nahrstedt zeigt hier den pragmatisch technischen und weniger den wissenschaftlichen Ansatz, wie Excel mit seinen Programmiermöglichkeiten sich immer mehr zu einem universellen Arbeitsmittel entwickelt. So ist die Simulation mit Hilfe von Pseudozufallszahlen ein schneller und preiswerter Weg zu fachlichen Aussagen. Den Rahmen dieser Abhandlung bildet der geschichtliche Hintergrund.

Kalman-Bucy-Filter

determinist. Beobachtung u. stochast. Filterung
Author: Karl Brammer,Gerhard Siffling
Publisher: N.A
ISBN: N.A
Category: Control theory
Page: 232
View: 366

Continue Reading →

Das Buch will die mannigfaltigen Aufgaben der heutigen Regelungs- und Steuerungstechnik und ihre Lösung nahebringen. Das soll mit möglichst geringem Zeit- und Arbeitsaufwand für den Leser verbunden sein. Leichte Verständlichkeit, Anschaulichkeit und Anwendungsnähe sind deshalb Hauptgesichtspunkt der Darstellung. Vollständigkeit ist nicht angestrebt, vielmehr Darstellung des Wesentlichen. Mathematische Methoden werden auf das Notwendige beschränkt.

Financial Modelling with Jump Processes


Author: Peter Tankov
Publisher: CRC Press
ISBN: 0203485211
Category: Mathematics
Page: 552
View: 6643

Continue Reading →

WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Lévy processes are beyond their reach. Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations. Topics covered in this book include: jump-diffusion models, Lévy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms. This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations.

Dirichlet Forms and Analysis on Wiener Space


Author: Nicolas Bouleau,Francis Hirsch
Publisher: Walter de Gruyter
ISBN: 311085838X
Category: Mathematics
Page: 335
View: 3820

Continue Reading →

The subject of this book is analysis on Wiener space by means of Dirichlet forms and Malliavin calculus. There are already several literature on this topic, but this book has some different viewpoints. First the authors review the theory of Dirichlet forms, but they observe only functional analytic, potential theoretical and algebraic properties. They do not mention the relation with Markov processes or stochastic calculus as discussed in usual books (e.g. Fukushima’s book). Even on analytic properties, instead of mentioning the Beuring-Deny formula, they discuss “carré du champ” operators introduced by Meyer and Bakry very carefully. Although they discuss when this “carré du champ” operator exists in general situation, the conditions they gave are rather hard to verify, and so they verify them in the case of Ornstein-Uhlenbeck operator in Wiener space later. (It should be noticed that one can easily show the existence of “carré du champ” operator in this case by using Shigekawa’s H-derivative.) In the part on Malliavin calculus, the authors mainly discuss the absolute continuity of the probability law of Wiener functionals. The Dirichlet form corresponds to the first derivative only, and so it is not easy to consider higher order derivatives in this framework. This is the reason why they discuss only the first step of Malliavin calculus. On the other hand, they succeeded to deal with some delicate problems (the absolute continuity of the probability law of the solution to stochastic differential equations with Lipschitz continuous coefficients, the domain of stochastic integrals (Itô-Ramer-Skorokhod integrals), etc.). This book focuses on the abstract structure of Dirichlet forms and Malliavin calculus rather than their applications. However, the authors give a lot of exercises and references and they may help the reader to study other topics which are not discussed in this book. Zentralblatt Math, Reviewer: S.Kusuoka (Hongo)

1089 oder das Wunder der Zahlen

eine Reise in die Welt der Mathematik
Author: David J. Acheson
Publisher: N.A
ISBN: 9783866470200
Category:
Page: 189
View: 4159

Continue Reading →

Das Buch beginnt mit einem alten Zaubertrick - Man nehme eine 3-stellige Zahl, etwa 782, kehre sie um, ziehe die kleinere von der größeren ab und addiere dazu die Umkehrung. Also - 782 - 287 = 495, dann 495 + 594. Und schon ist man mitten in der Wunderwelt der Mathematik, denn das Ergebnis ist immer - 1089. Mit solchen und vielen weiteren Beispielen aus Alltag, Geschichte und Wissenschaft gelingt es David Acheson, die faszinierende Welt der Mathematik zu erschließen - ein geistreicher Überblick, eine für jeden verständliche Einführung.

Mathematical works


Author: Helmut Wielandt
Publisher: Walter de Gruyter
ISBN: 9783110124538
Category: Mathematics
Page: 802
View: 9722

Continue Reading →

Contains all the mathematical works of the 20th-century German mathematician except those on group theory, which comprise the first volume. Most are on matrix theory. Among them are 24 research papers arranged chronologically, many with commentary by specialists; lecture notes on the analytic theory of matrix groups; his series of contributions to the mathematical treatment of complex eigenvalue problems prepared during the Second World War; and 1973 lecture notes on selected topics of permutation groups. About half of the pieces are in German. No index. Annotation copyrighted by Book News, Inc., Portland, OR