Описание: Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinite-dimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear.
Автор: Banner, Adrian Название: Calculus lifesaver ISBN: 0691130884 ISBN-13(EAN): 9780691130880 Издательство: Wiley Рейтинг: Цена: 2547 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Presents students with the essential tools to learn calculus. This work elaborates standard course material with scores of detailed examples that treat the reader to an "inner monologue" - the train of thought students should be following in order to solve the problem - providing the necessary reasoning as well as the solution.
Автор: Ayres Frank Jr., Mendelson Elliott, Ayres Название: Schaum`s Outline of Calculus, 6th Edition ISBN: 0071795537 ISBN-13(EAN): 9780071795531 Издательство: McGraw-Hill Рейтинг: Цена: 2151 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Gives you: 1,105 solved problems; concise explanations of all calculus concepts; expert tips on using the graphing calculator.
Автор: Krantz, Steven G. Название: Calculus demystified ISBN: 0071393080 ISBN-13(EAN): 9780071393089 Издательство: McGraw-Hill Рейтинг: Цена: 1500 р. Наличие на складе: Нет в наличии.
Описание: Presents an understanding of differential and integral calculus. This book contains reviews, assessments, and the actual application of ideas. It contains questions at the end of each chapter and section to reinforce learning and pinpoint weaknesses.
Описание: * Anton incorporates new ideas that have withstood the objective scrutiny of many skilled and thoughtful instructors and their students. * The ninth edition continues to provide engineers with an accessible resource for learning calculus in an easy-to-read style and real-world examples.
Автор: Shreve Название: Stochastic Calculus for Finance I ISBN: 0387249680 ISBN-13(EAN): 9780387249681 Издательство: Springer Рейтинг: Цена: 4175 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. The first volume presents the binomial asset-pricing model primarily as a vehicle for introducing in the simple setting the concepts needed for the continuous-time theory in the second volume.Chapter summaries and detailed illustrations are included. Classroom tested exercises conclude every chapter. Some of these extend the theory and others are drawn from practical problems in quantitative finance.Advanced undergraduates and Masters level students in mathematical finance and financial engineering will find this book useful.Steven E. Shreve is Co-Founder of the Carnegie Mellon MS Program in Computational Finance and winner of the Carnegie Mellon Doherty Prize for sustained contributions to education.
Автор: Smirnov Название: Feynman Integral Calculus ISBN: 3540306102 ISBN-13(EAN): 9783540306108 Издательство: Springer Рейтинг: Цена: 8788 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The problem of evaluating Feynman integrals over loop momenta has existed from the early days of perturbative quantum field theory. The goal of the book is to summarize those methods for evaluating Feynman integrals that have been developed over a span of more than fifty years. `Feynman Integral Calculus' characterizes the most powerful methods, in particular those used for recent, quite sophisticated calculations, and then illustrates them with numerous examples, starting from very simple ones and progressing to nontrivial examples This book characterizes methods of evaluation of Feynman integrals in a systematic way. It concentrates on the methods that have been employed recently for most sophisticated calculations. Feynman Integral Calculus explains how the problem of evaluation has become ever more important since what could be easily evaluated has already been evaluated years ago. It demonstrates and explains how to perform the newest important calculations, while showing how to choose adequate methods and combine evaluation methods in a non-trivial way. The most powerful methods of calculation of Feynman integrals are characterized and then illustrated through numerous examples, starting from very simple ones and culminating in rather nontrivial examples.This is a textbook version of the previous book (Evaluating Feynman integrals, STMP 211) of the author. Problems and solutions have been included, Appendix G has been added, more details have been presented, recent publications on evaluating Feynman integrals have been taken into account and the bibliography has been updated.
Автор: Ghorpade Название: A Course in Calculus and Real Analysis ISBN: 0387305300 ISBN-13(EAN): 9780387305301 Издательство: Springer Рейтинг: Цена: 8359 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book provides a self-contained and rigorous introduction to calculus of functions of one variable. The presentation and sequencing of topics emphasizes the structural development of calculus. At the same time, due importance is given to computational techniques and applications. The authors have strived to make a distinction between the intrinsic definition of a geometric notion and its analytic characterization. Throughout the book, the authors highlight the fact that calculus provides a firm foundation to several concepts and results that are generally encountered in high school and accepted on faith. For example, one can find here a proof of the classical result that the ratio of the circumference of a circle to its diameter is the same for all circles. Also, this book helps students get a clear understanding of the concept of an angle and the definitions of the logarithmic, exponential and trigonometric functions together with a proof of the fact that these are not algebraic functions. A number of topics that may have been inadequately covered in calculus courses and glossed over in real analysis courses are treated here in considerable detail. As such, this book provides a unified exposition of calculus and real analysis.The only prerequisites for reading this book are topics that are normally covered in high school; however, the reader is expected to possess some mathematical maturity and an ability to understand and appreciate proofs. This book can be used as a textbook for a serious undergraduate course in calculus, while parts of the book can be used for advanced undergraduate and graduate courses in real analysis. Each chapter contains several examples and a large selection of exercises, as well as "Notes and Comments" describing salient features of the exposition, related developments and references to relevant literature.
Описание: This lively, informal applied calculus text - ideal for students in business, economics, life sciences, social sciences, and liberal arts - speaks directly to the student. In a clear, conversational style, the authors focus on key themes without bogging students down in peripheral detail. Well-chosen real-life examples keep student interest high and motivate students to apply the mathematics they are learning. The text is carefully structured while remaining interesting, clear, and relevant. This text is available in two versions: a brief version suitable for a one-semester course and a full version for a two-semester course.
Описание: Second Year Calculus: From Celestial Mechanics to Special Relativity covers multi-variable and vector calculus, emphasizing the historical physical problems which gave rise to the concepts of calculus. The book guides us from the birth of the mechanized view of the world in Isaac Newton's Mathematical Principles of Natural Philosophy in which mathematics becomes the ultimate tool for modelling physical reality, to the dawn of a radically new and often counter-intuitive age in Albert Einstein's Special Theory of Relativity in which it is the mathematical model which suggests new aspects of that reality. The development of this process is discussed from the modern viewpoint of differential forms. Using this concept, the student learns to compute orbits and rocket trajectories, model flows and force fields, and derive the laws of electricity and magnetism. These exercises and observations of mathematical symmetry enable the student to better understand the interaction of physics and mathematics.
Автор: Giaquinta Mariano, Hildebrandt Stefan Название: Calculus of Variations I / The Lagrangian Formalism ISBN: 354050625X ISBN-13(EAN): 9783540506256 Издательство: Springer Рейтинг: Цена: 13584 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This 2-volume treatise by two of the leading researchers and writers in the field, quickly established itself as a standard reference. It pays special attention to the historical aspects and the origins partly in applied problems - such as those of geometric optics - of parts of the theory. A variety of aids to the reader is provided, beginning with the detailed table of contents, and including an introduction to each chapter and each section and subsection, an overview of the relevant literature (in Volume II) besides the references in the Scholia to each chapter in the (historical) footnotes, and in the bibliography, and finally an index of the examples used through out the book.
Автор: Oliver Aberth Название: Computable Calculus, ISBN: 0120417529 ISBN-13(EAN): 9780120417520 Издательство: Elsevier Science Рейтинг: Цена: 7205 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Focuses on the fundamental topic of calculus. Comprising 11 chapters, this book presents mathematical analysis that has been created to deal with constructively defined concepts. It features a `show your work` approach that makes it easier to understand the pitfalls of various computations and, more importantly, how to avoid these pitfalls.
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