Introduction To Stochastic Calculus With Applications 3rd Edition
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Introduction To Stochastic Calculus With Applications 3rd Edition
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Author : Fima C Klebaner
language : en
Publisher: World Scientific Publishing Company
Release Date : 2012-03-21
Introduction To Stochastic Calculus With Applications 3rd Edition written by Fima C Klebaner and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-21 with Mathematics categories.
This book presents a concise and rigorous treatment of stochastic calculus. It also gives its main applications in finance, biology and engineering. In finance, the stochastic calculus is applied to pricing options by no arbitrage. In biology, it is applied to populations' models, and in engineering it is applied to filter signal from noise. Not everything is proved, but enough proofs are given to make it a mathematically rigorous exposition.This book aims to present the theory of stochastic calculus and its applications to an audience which possesses only a basic knowledge of calculus and probability. It may be used as a textbook by graduate and advanced undergraduate students in stochastic processes, financial mathematics and engineering. It is also suitable for researchers to gain working knowledge of the subject. It contains many solved examples and exercises making it suitable for self study.In the book many of the concepts are introduced through worked-out examples, eventually leading to a complete, rigorous statement of the general result, and either a complete proof, a partial proof or a reference. Using such structure, the text will provide a mathematically literate reader with rapid introduction to the subject and its advanced applications. The book covers models in mathematical finance, biology and engineering. For mathematicians, this book can be used as a first text on stochastic calculus or as a companion to more rigorous texts by a way of examples and exercises./a
Introduction To Stochastic Calculus With Applications 2nd Edition
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Author : Fima C Klebaner
language : en
Publisher: World Scientific Publishing Company
Release Date : 2005-06-20
Introduction To Stochastic Calculus With Applications 2nd Edition written by Fima C Klebaner and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-06-20 with Mathematics categories.
This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author./a
Introduction To Stochastic Calculus With Applications Third Edition
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Author : Fima C. Klebaner
language : en
Publisher:
Release Date : 2018
Introduction To Stochastic Calculus With Applications Third Edition written by Fima C. Klebaner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Calculus categories.
Introduction To Stochastic Calculus With Applications
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Author : Fima C. Klebane
language : en
Publisher:
Release Date : 1998
Introduction To Stochastic Calculus With Applications written by Fima C. Klebane and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
An Advanced Course In Probability And Stochastic Processes
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Author : Dirk P. Kroese
language : en
Publisher: CRC Press
Release Date : 2023-12-15
An Advanced Course In Probability And Stochastic Processes written by Dirk P. Kroese and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-12-15 with Mathematics categories.
An Advanced Course in Probability and Stochastic Processes provides a modern and rigorous treatment of probability theory and stochastic processes at an upper undergraduate and graduate level. Starting with the foundations of measure theory, this book introduces the key concepts of probability theory in an accessible way, providing full proofs and extensive examples and illustrations. Fundamental stochastic processes such as Gaussian processes, Poisson random measures, Lévy processes, Markov processes, and Itô processes are presented and explored in considerable depth, showcasing their many interconnections. Special attention is paid to martingales and the Wiener process and their central role in the treatment of stochastic integrals and stochastic calculus. This book includes many exercises, designed to test and challenge the reader and expand their skillset. An Advanced Course in Probability and Stochastic Processes is meant for students and researchers who have a solid mathematical background and who have had prior exposure to elementary probability and stochastic processes. Key Features: Focus on mathematical understanding Rigorous and self-contained Accessible and comprehensive High-quality illustrations Includes essential simulation algorithms Extensive list of exercises and worked-out examples Elegant and consistent notation
Stochastic Finance
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Author : Amanda Turner
language : en
Publisher: Cambridge University Press
Release Date : 2023-02-09
Stochastic Finance written by Amanda Turner and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-02-09 with Business & Economics categories.
A relaxed and user-friendly approach to understanding financial mathematics and the pricing of options with extensive examples and exercises.
Problems And Solutions In Stochastic Calculus With Applications
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Author : Patrik Albin
language : en
Publisher: Wspc (Europe)
Release Date : 2024
Problems And Solutions In Stochastic Calculus With Applications written by Patrik Albin and has been published by Wspc (Europe) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024 with Mathematics categories.
Problems and Solutions in Stochastic Calculus with Applications exposes readers to simple ideas and proofs in stochastic calculus and its applications. It is intended as a companion to the successful original title Introduction to Stochastic Calculus with Applications (Third Edition) by Fima Klebaner. The current book is authored by three active researchers in the fields of probability, stochastic processes, and their applications in financial mathematics, mathematical biology, and more. The book features problems rooted in their ongoing research. Mathematical finance and biology feature pre-eminently, but the ideas and techniques can equally apply to fields such as engineering and economics. The problems set forth are accessible to students new to the subject, with most of the problems and their solutions centring on a single idea or technique at a time to enhance the ease of learning. While the majority of problems are relatively straightforward, more complex questions are also set in order to challenge the reader as their understanding grows. The book is suitable for either self-study or for instructors, and there are numerous opportunities to generate fresh problems by modifying those presented, facilitating a deeper grasp of the material.
Handbook Of Monte Carlo Methods
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Author : Dirk P. Kroese
language : en
Publisher: John Wiley & Sons
Release Date : 2013-06-06
Handbook Of Monte Carlo Methods written by Dirk P. Kroese and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-06 with Mathematics categories.
A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.
Modeling And Inverse Problems In The Presence Of Uncertainty
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Author : H. T. Banks
language : en
Publisher: CRC Press
Release Date : 2014-04-01
Modeling And Inverse Problems In The Presence Of Uncertainty written by H. T. Banks and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-04-01 with Mathematics categories.
Modeling and Inverse Problems in the Presence of Uncertainty collects recent research-including the authors' own substantial projects-on uncertainty propagation and quantification. It covers two sources of uncertainty: where uncertainty is present primarily due to measurement errors and where uncertainty is present due to the modeling formulation i
Subject Guide To Books In Print
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Author :
language : en
Publisher:
Release Date : 1993
Subject Guide To Books In Print written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with American literature categories.