Описание: This book presents 8 tutorial lectures given by leading researchers at the 16th edition of the International School on Formal Methods for the Design of Computer, Communication and Software Systems, SFM 2016, held in Bertinoro, Italy, in June 2016.
Автор: Guyon Название: Nonlinear Pricing Methods in Quantitative Finance ISBN: 1466570334 ISBN-13(EAN): 9781466570337 Издательство: Taylor&Francis Рейтинг: Цена: 27562.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
New Tools to Solve Your Option Pricing Problems
For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research--including Risk magazine's 2013 Quant of the Year--Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods.
Real-World Solutions for Quantitative Analysts
The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of numerical implementation. Although the focus is on ideas and numerical examples, the authors introduce relevant mathematical notions and important results and proofs. The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options with/without stochastic interest rates, the a + bλ technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching diffusions.
Автор: Mernik Marjan Название: Formal and Practical Aspects of Domain-Specific Languages ISBN: 1466620927 ISBN-13(EAN): 9781466620926 Издательство: Mare Nostrum (Eurospan) Рейтинг: Цена: 28413.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Formal and Practical Aspects of Domain-Specific Languages: Recent Developments is a collection of academic works containing current research on all aspects of domain-specific language. This book is a comprehensive overview in the computer language field and aims to be essential for scholars and practitioners in the software engineering fields by providing new results and answers to open problems in DSL research.
Автор: Giuseppe Castagna Название: Programming Languages and Systems ISBN: 3642005896 ISBN-13(EAN): 9783642005893 Издательство: Springer Рейтинг: Цена: 12157.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Constitutes the refereed proceedings of the 18th European Symposium on Programming, ESOP 2009, held in York, UK, in March 2009, as part of ETAPS 2009, the European Joint Conferences on Theory and Practice of Software.
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