Calculus: Concepts and methods, 2nd ed., Ken Binmore, Davies J.
Автор: Joshi, Mark S. Название: Concepts and practice of mathematical finance ISBN: 0521514088 ISBN-13(EAN): 9780521514088 Издательство: Cambridge Academ Рейтинг: Цена: 7246 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Second edition of successful text providing the working knowledge needed to become a good quantitative analyst.
Автор: Shreve, Steven E. Название: Stochastic Calculus for Finance II ISBN: 0387401016 ISBN-13(EAN): 9780387401010 Издательство: Springer Рейтинг: Цена: 5742 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.Master's level students and researchers in mathematical finance and financial engineering will find this book useful.
Автор: Glasserman Название: Monte Carlo Methods in Financial Engineering ISBN: 0387004513 ISBN-13(EAN): 9780387004518 Издательство: Springer Рейтинг: Цена: 7314 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques.This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios.The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential.The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry.Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."
Описание: The authors here present statistical methods and models of importance to quantitative finance and links finance theory to market practice via statistical modeling and decision making. They provide basic statistical background as well as in-depth applications.
Автор: LeVeque Randall J. Название: Numerical Methods for Conservation Laws ISBN: 3764327235 ISBN-13(EAN): 9783764327231 Издательство: Springer Рейтинг: Цена: 3656 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: These notes were developed for a graduate-level course on the theory and numerical solution of nonlinear hyperbolic systems of conservation laws. Part I deals with the basic mathematical theory of the equations: the notion of weak solutions, entropy conditions, and a detailed description of the wave structure of solutions to the Riemann problem. The emphasis is on tools and techniques that are indispensable in developing good numerical methods for discontinuous solutions. Part II is devoted to the development of high resolution shock-capturing methods, including the theory of total variation diminishing (TVD) methods and the use of limiter functions. The book is intended for a wide audience, and will be of use both to numerical analysts and to computational researchers in a variety of applications.
Описание: The wide-ranging debate brought about by the calculus reform movement has had a significant impact on calculus textbooks. In response to many of the questions and concerns surrounding this debate, the authors have written a modern calculus textbook, intended for students majoring in mathematics, physics, chemistry, engineering and related fields. The text is written for the average student - one who does not already know the subject, whose background is somewhat weak in spots, and who requires a significant motivation to study calculus. The authors follow a relatively standard order of presentation, while integrating technology and thought-provoking exercises throughout the text. Some minor changes have been made in the order of topics to reflect shifts in the importance of certain applications in engineering and science. Wherever practical, concepts are developed from graphical, numerical, and algebraic perspectives (the "Rule of Three") to give students a full understanding of calculus. This text places a significant emphasis on problem solving and presents realistic applications, as well as open-ended problems.
Описание: This modern calculus textbook places a strong emphasis on developing students' conceptual understanding and on building connections between key calculus topics and their relevance for the real world. It is written for the average student - one who is mostly unfamiliar with the subject and who requires significant motivation. It follows a relatively standard order of presentation, with early coverage of transcendentals, and integrates thought-provoking applications, examples and exercises throughout. The text also provides balanced guidance on the appropriate role of technology in problem-solving, including its benefits and its potential pitfalls. Wherever practical, concepts are developed from graphical, numerical, algebraic and verbal perspectives (the "Rule of Four") to give students a complete understanding of calculus.
Описание: Conventional calculus is too hard and too complex. Students are forced to learn too many theorems and proofs. In "Free Calculus", the author suggests a
direct approach to the two fundamental concepts of calculus - differentiation and integration - using two inequalities.
Regular calculus is condensed into a single concise
chapter. This makes the teaching of physics in step with the calculus teaching.
Название: Direct methods in the calculus of variations ISBN: 9812380434 ISBN-13(EAN): 9789812380432 Издательство: World Scientific Publishing Рейтинг: Цена: 14840 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: A self-contained discussion on the existence and regularity of minima of regular integrals in the calculus of variations and of solutions to elliptic partial differential equations and systems of the second order. The work only requires a knowledge of the elements of Lebesgue integration theory.
Описание: This book addresses fundamental questions related to lower semicontinuity and relaxation of functionals within the unconstrained setting, mainly in L^p spaces. It prepares the ground for the second volume where the variational treatment of functionals involving fields and their derivatives will be undertaken within the framework of Sobolev spaces.This book is self-contained. All the statements are fully justified and proved, with the exception of basic results in measure theory, which may be found in any good textbook on the subject. It also contains several exercises. Therefore, it may be used both as a graduate textbook as well as a reference text for researchers in the field.
Описание: Models & Methods for Project Selection systematically examines in this book treatment the latest work in the field of project selection modeling. The models presented are drawn from mathematical programming, decision theory, and finance. These models are examined in two categorical streams: the management science stream and the financial model stream. The book describes the assumptions and limitations of each model and provides appropriate solution methodologies. Its organization follows three main themes: *Criteria for Choice: Chapters 1-3 investigate the effect of the choice of optimization criteria on the results of the portfolio optimization problem. This group of chapters examines the multiobjective linear programming approach, discusses the appropriate methods for adjusting for time and risk in the project selection problem, and expands on the discussion of optimization models and NPV. *Risk and Uncertainty: Chapters 4-7 deal with uncertainty in the project selection problem. The models developed in this section are based on probability distribution assumptions or estimates and deal with uncertainty in some aspect of the project selection model. *Non-Linearity and Interdependence: These chapters deal with problems of non-linearity and interdependence as they arise in the project selection problem. The ability to handle non-linear problems allows the application of the methodology to a far wider range of problems. Similarly, the ability to model interdependence between projects - as in the Information Technology models - is an important step in generalization. Chapters 8, 9 and 10 present solution methodologies, which can be used to solve these most general project selection models.
Автор: Shreve Название: Stochastic Calculus for Finance I ISBN: 0387401008 ISBN-13(EAN): 9780387401003 Издательство: Springer Рейтинг: Цена: 5746 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Based on a two-semester course sequence in the Master`s program in Computational Finance at Carnegie Mellon. This book gives statements of results, plausibility arguments, and some proofs. But more importantly, it provides intuitive explanations, which are developed and refined through classroom experience with this material.
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