Error Calculus For Finance And Physics
DOWNLOAD
Download Error Calculus For Finance And Physics PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Error Calculus For Finance And Physics book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Error Calculus For Finance And Physics
DOWNLOAD
Author : Nicolas Bouleau
language : en
Publisher: Walter de Gruyter
Release Date : 2008-08-22
Error Calculus For Finance And Physics written by Nicolas Bouleau and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-08-22 with Mathematics categories.
Many recent advances in modelling within the applied sciences and engineering have focused on the increasing importance of sensitivity analyses. For a given physical, financial or environmental model, increased emphasis is now placed on assessing the consequences of changes in model outputs that result from small changes or errors in both the hypotheses and parameters. The approach proposed in this book is entirely new and features two main characteristics. Even when extremely small, errors possess biases and variances. The methods presented here are able, thanks to a specific differential calculus, to provide information about the correlation between errors in different parameters of the model, as well as information about the biases introduced by non-linearity. The approach makes use of very powerful mathematical tools (Dirichlet forms), which allow one to deal with errors in infinite dimensional spaces, such as spaces of functions or stochastic processes. The method is therefore applicable to non-elementary models along the lines of those encountered in modern physics and finance. This text has been drawn from presentations of research done over the past ten years and that is still ongoing. The work was presented in conjunction with a course taught jointly at the Universities of Paris 1 and Paris 6. The book is intended for students, researchers and engineers with good knowledge in probability theory.
Error Calculus For Finance And Physics
DOWNLOAD
Author : Nicolas Bouleau
language : en
Publisher: Walter de Gruyter
Release Date : 2003
Error Calculus For Finance And Physics written by Nicolas Bouleau and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
The book deals with propagation of errors on data through mathematical models with applications in finance and physics. It is interesting for scientists and practitioners when studying the sensitivity of their models to small changes in the hypotheses. The book differs from what is usually done in sensitivity analysis because it yields powerful new tools allowing to manage errors in stochastic models as those used in modern finance.
Mathematical Modelling And Numerical Methods In Finance
DOWNLOAD
Author : Alain Bensoussan
language : en
Publisher: Elsevier
Release Date : 2009-06-16
Mathematical Modelling And Numerical Methods In Finance written by Alain Bensoussan and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-16 with Mathematics categories.
Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. - Coverage of all aspects of quantitative finance including models, computational methods and applications - Provides an overview of new ideas and results - Contributors are leaders of the field
The Mathematics Of Errors
DOWNLOAD
Author : Nicolas Bouleau
language : en
Publisher: Springer Nature
Release Date : 2022-02-23
The Mathematics Of Errors written by Nicolas Bouleau and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-23 with Mathematics categories.
The Mathematics of Errors presents an original, rigorous and systematic approach to the calculus of errors, targeted at both the engineer and the mathematician. Starting from Gauss's original point of view, the book begins as an introduction suitable for graduate students, leading to recent developments in stochastic analysis and Malliavin calculus, including contributions by the author. Later chapters, aimed at a more mature audience, require some familiarity with stochastic calculus and Dirichlet forms. Sensitivity analysis, in particular, plays an important role in the book. Detailed applications in a range of fields, such as engineering, robotics, statistics, financial mathematics, climate science, or quantum mechanics are discussed through concrete examples. Throughout the book, error analysis is presented in a progressive manner, motivated by examples and appealing to the reader’s intuition. By formalizing the intuitive concept of error and richly illustrating its scope for application, this book provides readers with a blueprint to apply advanced mathematics in practical settings. As such, it will be of immediate interest to engineers and scientists, whilst providing mathematicians with an original presentation. Nicolas Bouleau has directed the mathematics center of the Ecole des Ponts ParisTech for more than ten years. He is known for his theory of error propagation in complex models. After a degree in engineering and architecture, he decided to pursue a career in mathematics under the influence of Laurent Schwartz. He has also written on the production of knowledge, sustainable economics and mathematical models in finance. Nicolas Bouleau is a recipient of the Prix Montyon from the French Academy of Sciences.
Stochastic Analysis With Financial Applications
DOWNLOAD
Author : Arturo Kohatsu-Higa
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-07-22
Stochastic Analysis With Financial Applications written by Arturo Kohatsu-Higa and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-22 with Mathematics categories.
Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs.
Dirichlet Forms Methods For Poisson Point Measures And L Vy Processes
DOWNLOAD
Author : Nicolas Bouleau
language : en
Publisher: Springer
Release Date : 2016-01-08
Dirichlet Forms Methods For Poisson Point Measures And L Vy Processes written by Nicolas Bouleau and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-08 with Mathematics categories.
A simplified approach to Malliavin calculus adapted to Poisson random measures is developed and applied in this book. Called the “lent particle method” it is based on perturbation of the position of particles. Poisson random measures describe phenomena involving random jumps (for instance in mathematical finance) or the random distribution of particles (as in statistical physics). Thanks to the theory of Dirichlet forms, the authors develop a mathematical tool for a quite general class of random Poisson measures and significantly simplify computations of Malliavin matrices of Poisson functionals. The method gives rise to a new explicit calculus that they illustrate on various examples: it consists in adding a particle and then removing it after computing the gradient. Using this method, one can establish absolute continuity of Poisson functionals such as Lévy areas, solutions of SDEs driven by Poisson measure and, by iteration, obtain regularity of laws. The authors also give applications to error calculus theory. This book will be of interest to researchers and graduate students in the fields of stochastic analysis and finance, and in the domain of statistical physics. Professors preparing courses on these topics will also find it useful. The prerequisite is a knowledge of probability theory.
Festschrift Masatoshi Fukushima In Honor Of Masatoshi Fukushima S Sanju
DOWNLOAD
Author : Zhen-qing Chen
language : en
Publisher: World Scientific
Release Date : 2014-11-27
Festschrift Masatoshi Fukushima In Honor Of Masatoshi Fukushima S Sanju written by Zhen-qing Chen and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-27 with Mathematics categories.
This book contains original research papers by leading experts in the fields of probability theory, stochastic analysis, potential theory and mathematical physics. There is also a historical account on Masatoshi Fukushima's contribution to mathematics, as well as authoritative surveys on the state of the art in the field.
Seminar On Stochastic Analysis Random Fields And Applications Vii
DOWNLOAD
Author : Robert C. Dalang
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-09-05
Seminar On Stochastic Analysis Random Fields And Applications Vii written by Robert C. Dalang and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-05 with Mathematics categories.
This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verità) in Ascona , Switzerland, in May 2011. The seminar focused mainly on: - stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximations - Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems - stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The book will be a valuable resource for researchers in stochastic analysis and for professionals interested in stochastic methods in finance.
Seminar On Stochastic Analysis Random Fields And Applications V
DOWNLOAD
Author : Robert Dalang
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-03-12
Seminar On Stochastic Analysis Random Fields And Applications V written by Robert Dalang and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-12 with Mathematics categories.
This volume contains refereed research or review papers presented at the 5th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from May 29 to June 3, 2004. The seminar focused mainly on stochastic partial differential equations, stochastic models in mathematical physics, and financial engineering.
Embedding Problems In Symplectic Geometry
DOWNLOAD
Author : Felix Schlenk
language : en
Publisher: Walter de Gruyter
Release Date : 2008-08-22
Embedding Problems In Symplectic Geometry written by Felix Schlenk and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-08-22 with Mathematics categories.
Symplectic geometry is the geometry underlying Hamiltonian dynamics, and symplectic mappings arise as time-1-maps of Hamiltonian flows. The spectacular rigidity phenomena for symplectic mappings discovered in the last two decades show that certain things cannot be done by a symplectic mapping. For instance, Gromov's famous "non-squeezing'' theorem states that one cannot map a ball into a thinner cylinder by a symplectic embedding. The aim of this book is to show that certain other things can be done by symplectic mappings. This is achieved by various elementary and explicit symplectic embedding constructions, such as "folding", "wrapping'', and "lifting''. These constructions are carried out in detail and are used to solve some specific symplectic embedding problems. The exposition is self-contained and addressed to students and researchers interested in geometry or dynamics.