Applied category: 4609 books
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Language: English
Release Date: March 29, 2011
Language: English
Release Date: March 29, 2011
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...
X and the City
Modeling Aspects of Urban Life
Language: English
Release Date: May 27, 2012
X and the City, a book of diverse and accessible math-based topics, uses basic modeling to explore a wide range of entertaining questions about urban life. How do you estimate the number of dental or doctor's offices, gas stations, restaurants, or movie theaters in a city of a given size? How can...
by Jan Baldeaux, Eckhard Platen
Language: English
Release Date: August 13, 2013
Language: English
Release Date: August 13, 2013
This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry...
Malliavin Calculus and Stochastic Analysis
A Festschrift in Honor of David Nualart
Language: English
Release Date: February 15, 2013
The stochastic calculus of variations of Paul Malliavin (1925 - 2010), known today as the Malliavin Calculus, has found many applications, within and beyond the core mathematical discipline. Stochastic analysis provides a fruitful interpretation of this calculus, particularly as described by David...
Financial Modeling
A Backward Stochastic Differential Equations Perspective
Language: English
Release Date: June 13, 2013
Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis....
Backward Stochastic Differential Equations
From Linear to Fully Nonlinear Theory
Language: English
Release Date: August 22, 2017
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second...
Quantitative Energy Finance
Modeling, Pricing, and Hedging in Energy and Commodity Markets
Language: English
Release Date: August 28, 2013
Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of...
by Denis Bosq
Language: English
Release Date: February 4, 2013
Language: English
Release Date: February 4, 2013
Generally, books on mathematical statistics are restricted to the case of independent identically distributed random variables. In this book however, both this case AND the case of dependent variables, i.e. statistics for discrete and continuous time processes, are studied. This second case is very...
by Masanobu Taniguchi, Tomoyuki Amano, Hiroaki Ogata
Language: English
Release Date: March 26, 2014
Language: English
Release Date: March 26, 2014
This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear...
Learn Better
Mastering the Skills for Success in Life, Business, and School, or How to Become an Expert in Just About Anything
Language: English
Release Date: March 7, 2017
For centuries, experts have argued that learning was about memorizing information: You're supposed to study facts, dates, and details; burn them into your memory; and then apply that knowledge at opportune times. But this approach to learning isn’t nearly enough for the world that we live in today,...
Financial Engineering and Computation
Principles, Mathematics, Algorithms
Language: English
Release Date: November 12, 2001
Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering...
by Ronald W. Shonkwiler
Language: English
Release Date: September 17, 2013
Language: English
Release Date: September 17, 2013
This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed on exploiting the power of the Monte Carlo method to illustrate and explore...
by Akihiko Takahashi, Yukio Muromachi, Hidetaka Nakaoka
Language: English
Release Date: May 21, 2012
Language: English
Release Date: May 21, 2012
This book is the Proceedings of the International Workshop on Finance 2011, held in Kyoto in the summer of 2011 with the aim of exchanging new ideas in financial engineering among researchers from various countries from both academia and industry. The workshop was held as a successor to the Daiwa...
Portfolio Analytics
An Introduction to Return and Risk Measurement
Language: English
Release Date: February 19, 2014
This textbook first introduces the reader to return measurement and then goes on to compare the time-weighted rate of return (TWR) with the money-weighted rate of return (MWR). To emphasize the importance of risk in conjunction with return, different tracking errors are analyzed and ex-post versus...