Stochastic Filtering With Applications In Finance
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Stochastic Filtering With Applications In Finance
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Author :
language : en
Publisher:
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Stochastic Filtering With Applications In Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Stochastic Analysis Stochastic Systems And Applications To Finance
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Author : Allanus Tsoi
language : en
Publisher: World Scientific
Release Date : 2011-06-10
Stochastic Analysis Stochastic Systems And Applications To Finance written by Allanus Tsoi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-10 with Mathematics categories.
This book introduces some advanced topics in probability theories — both pure and applied — is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling. Contents:Stochastic Analysis and Systems:Multidimensional Wick–Itô Formula for Gaussian Processes (D Nualart & S Ortiz–Latorre)Fractional White Noise Multiplication (A H Tsoi)Invariance Principle of Regime–Switching Diffusions (C Zhu & G Yin)Finance and Stochastics:Real Options and Competition (A Bensoussan, J D Diltz & S R Hoe)Finding Expectations of Monotone Functions of Binary Random Variables by Simulation, with Applications to Reliability, Finance, and Round Robin Tournaments (M Brown, E A Peköz & S M Ross)Filtering with Counting Process Observations and Other Factors: Applications to Bond Price Tick Data (X Hu, D R Kuipers & Y Zeng)Jump Bond Markets Some Steps towards General Models in Applications to Hedging and Utility Problems (M Kohlmann & D Xiong)Recombining Tree for Regime–Switching Model: Algorithm and Weak Convergence (R H Liu)Optimal Reinsurance under a Jump Diffusion Model (S Luo)Applications of Counting Processes and Martingales in Survival Analysis (J Sun)Stochastic Algorithms and Numeries for Mean-Revertig Asset Trading (Q Zhang, C Zhuang & G Yin) Readership: Financial mathematicians; applied stochastic analysts, graduate students. Keywords:Stochastic Analysis;Stochastic System;Mathematical FinanceKey Features:This book discusses some frontiers of Gaussian processes analysis and their associated Wick–Ito formula. For the first time, the studies of fractional Brownian motion is put into the framework of fractional white noise multiplication operatorsSome up-to-date treatment is of the invariance principle of regime-switching diffusion are given in detail
Stochastic Filtering With Applications In Finance
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Author : Ramaprasad Bhar
language : en
Publisher: World Scientific
Release Date : 2010
Stochastic Filtering With Applications In Finance written by Ramaprasad Bhar and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to give a complete mathematical treatment of different stochastic filtering approaches, but rather to describe them in simple terms and illustrate their application with real historical data for problems normally encountered in these disciplines. Beyond laying out the steps to be implemented, the steps are demonstrated in the context of different market segments. Although no prior knowledge in this area is required, the reader is expected to have knowledge of probability theory as well as a general mathematical aptitude. Its simple presentation of complex algorithms required to solve modeling problems in increasingly sophisticated financial markets makes this book particularly valuable as a reference for graduate students and researchers interested in the field. Furthermore, it analyses the model estimation results in the context of the market and contrasts these with contemporary research publications. It is also suitable for use as a text for graduate level courses on stochastic modeling.
Optional Processes
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Author : Mohamed Abdelghani
language : en
Publisher: CRC Press
Release Date : 2020-07-14
Optional Processes written by Mohamed Abdelghani and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-14 with Business & Economics categories.
It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis. This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance. Features Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas Compiles almost all essential results on the calculus of optional processes in unusual probability spaces Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc. Authors Mohamed Abdelghani completed his PhD in mathematical finance from the University of Alberta, Edmonton, Canada. He is currently working as a vice president in quantitative finance and machine learning at Morgan Stanley, New York, USA. Alexander Melnikov is a professor in mathematical finance at the University of Alberta. His research interests belong to the area of contemporary stochastic analysis and its numerous applications in mathematical finance, statistics and actuarial science. He has written six books as well as over 100 research papers in leading academic journals.
Measure Theory And Filtering
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Author : Lakhdar Aggoun
language : en
Publisher: Cambridge University Press
Release Date : 2004-09-13
Measure Theory And Filtering written by Lakhdar Aggoun 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 2004-09-13 with Mathematics categories.
The estimation of noisily observed states from a sequence of data has traditionally incorporated ideas from Hilbert spaces and calculus-based probability theory. As conditional expectation is the key concept, the correct setting for filtering theory is that of a probability space. Graduate engineers, mathematicians and those working in quantitative finance wishing to use filtering techniques will find in the first half of this book an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion. Exercises are included. The book then provides an excellent users' guide to filtering: basic theory is followed by a thorough treatment of Kalman filtering, including recent results which extend the Kalman filter to provide parameter estimates. These ideas are then applied to problems arising in finance, genetics and population modelling in three separate chapters, making this a comprehensive resource for both practitioners and researchers.
Stochastic Processes Finance And Control
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Author : Robert J. Elliot
language : en
Publisher: World Scientific
Release Date : 2012
Stochastic Processes Finance And Control written by Robert J. Elliot and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Mathematics categories.
This Festschrift is dedicated to Robert J Elliott on the occasion of his 70th birthday It brings together a collection of chapters by distinguished and eminent scholars in the fields of stochastic processes, filtering and control, as well as their applications to mathematical finance It presents cutting edge developments in these fields and is a valuable source of references for researchers, graduate students and market practitioners in mathematical finance and financial engineering Topics include the theory of stochastic processes, differential and stochastic games, mathematical finance, filtering and control.
Fundamentals Of Stochastic Filtering
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Author : Alan Bain
language : en
Publisher: Springer
Release Date : 2010-11-19
Fundamentals Of Stochastic Filtering written by Alan Bain and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-19 with Mathematics categories.
This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.
State Space Models
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Author : Yong Zeng
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-08-15
State Space Models written by Yong Zeng 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 2013-08-15 with Business & Economics categories.
State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.
Introduction To Stochastic Calculus With Applications
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Author : Fima C. Klebaner
language : en
Publisher:
Release Date : 2005-01-01
Introduction To Stochastic Calculus With Applications 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 2005-01-01 with Mathematics categories.
This book presents a concise and rigorous 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.
Applications Of Stochastic Optimal Control To Economics And Finance
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Author : Salvatore Federico
language : en
Publisher:
Release Date : 2020-06-23
Applications Of Stochastic Optimal Control To Economics And Finance written by Salvatore Federico and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-23 with categories.
In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue "Applications of Stochastic Optimal Control to Economics and Finance", which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book's chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used.