Elementary Probability Theory / With Stochastic Processes and an Introduction to Mathematical Finance, Chung K. L., AitSahlia Farid
Автор: Gallager Название: Stochastic Processes ISBN: 1107039754 ISBN-13(EAN): 9781107039759 Издательство: Cambridge Academ Рейтинг: Цена: 4831 р. 6901.00-30% Наличие на складе: Есть (1 шт.) Описание: This definitive textbook provides a solid introduction to discrete and continuous stochastic processes, tackling a complex field in a way that instils a deep understanding of the relevant mathematical principles, and develops an intuitive grasp of the way these principles can be applied to modelling real-world systems. It includes a careful review of elementary probability and detailed coverage of Poisson, Gaussian and Markov processes with richly varied queuing applications. The theory and applications of inference, hypothesis testing, estimation, random walks, large deviations, martingales and investments are developed. Written by one of the world's leading information theorists, evolving over twenty years of graduate classroom teaching and enriched by over 300 exercises, this is an exceptional resource for anyone looking to develop their understanding of stochastic processes.
Описание: This comprehensive textbook provides an introduction to statistical methods for graduate engineers offering thorough coverage of important probability-related topics to aid in product and system design, reliability engineering, quality control, and more.
Описание: This user--friendly resource helps readers grasp the concepts of probability and stochastic processes, so they can apply them in professional engineering practice. The book presents concepts clearly as a sequence of building blocks that are identified either as an axiom, definition, or theorem. This approach provides a better understanding of the material, which can be used to solve practical problems.
Описание: This textbook on the basics of option pricing is accessible to readers with limited mathematical training. It is for both professional traders and undergraduates studying the basics of finance. Assuming no prior knowledge of probability, Sheldon M. Ross offers clear, simple explanations of arbitrage, the Black-Scholes option pricing formula, and other topics such as utility functions, optimal portfolio selections, and the capital assets pricing model. Among the many new features of this third edition are new chapters on Brownian motion and geometric Brownian motion, stochastic order relations and stochastic dynamic programming, along with expanded sets of exercises and references for all the chapters.
Описание: This unique book on the basics of option pricing is mathematically accurate and yet accessible to readers with limited mathematical training. It will appeal to professional traders as well as undergraduates studying the basics of finance. The author assumes no prior knowledge of probability, and offers clear, simple explanations of arbitrage, the Black-Scholes option pricing formula, and other topics such as utility functions, optimal portfolio selections, and the capital assets pricing model. Among the many new features of this second edition are: a new chapter on optimization methods in finance; a new section on Value at Risk and Conditional Value at Risk; a new and simplified derivation of the Black-Scholes equation, together with derivations of the partial derivatives of the Black-Scholes option cost function and of the computational Black-Scholes formula; three different models of European call options with dividends; a new, easily implemented method for estimating the volatility parameter.
Описание: Updated to conform to Mathematica® 7.0, this second edition shows how to easily create simulations from templates and solve problems using Mathematica. Along with new sections on order statistics, transformations of multivariate normal random variables, and Brownian motion, this edition offers an expanded section on Markov chains, more example data of the normal distribution, and more attention on conditional expectation. It also includes additional problems from Actuarial Exam P as well as new examples, exercises, and data sets. The accompanying CD-ROM contains updated Mathematica notebooks and a revised solutions manual is available for qualifying instructors.
Описание: This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes,
stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.
Описание: This volume contains the contributions to a conference that is among the most important meetings in financial mathematics. Serving as a bridge between
probabilists in Japan (called the Ito School and known for its highly sophisticated mathematics) and mathematical finance and financial engineering, the conference elicits the very
highest quality papers in the field of financial mathematics.
Описание: Point processes and random measures find wide applicability in telecommunications, earthquakes, image analysis, spatial point patterns, and stereology, to name but a few. The authors have made a major reshaping of their classic work published in 1988. It will be a standard reference for researchs and graduate students in pure and applied probability.
Описание: Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic applying these techniques to practical issues in finance. Problems and Solutions in Mathematical Finance Volume I: Stochastic Calculus is the first of a four–volume set of books focusing on problems and solutions in mathematical finance. This volume introduces the reader to the basic stochastic calculus concepts required for the study of this important subject, providing a large number of worked examples which enable the reader to build the necessary foundation for more practical orientated problems in the later volumes. Through this application and by working through the numerous examples, the reader will properly understand and appreciate the fundamentals that underpin mathematical finance. This book takes a dual approach using stochastic calculus to develop partial differentiation equations for pricing options and also constructs probability measures via martingale theory so that option prices can be expressed as expectations. Each chapter begins with an introduction to the fundamentals and the essential definitions and explanations needed to solve the subsequent problems. Written mainly for students, industry practitioners and those involved in teaching in this field of study, Stochastic Calculus provides a valuable reference book to complement one’s further understanding of mathematical finance.
Описание: Delineates stochastic processes, emphasizing applications in biology. This book is organized according to the three types of stochastic processes: discrete time Markov chains, continuous time Markov chains and continuous time and state Markov processes. It contains a chapter on the biological applications of stochastic differential equations.
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