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Asymptotic Chaos Expansions in Finance, Nicolay, David


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Цена: 13974.00р.
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Автор: Nicolay, David
Название:  Asymptotic Chaos Expansions in Finance
ISBN: 9781447165057
Издательство: Springer
Классификация:





ISBN-10: 1447165055
Обложка/Формат: Paperback
Страницы: 492
Вес: 0.77 кг.
Дата издания: 01.12.2014
Серия: Springer finance / springer finance lecture notes
Язык: English
Иллюстрации: 8 black & white illustrations, 26 colour illustrations, 16 black & white tables, biography
Размер: 158 x 235 x 33
Читательская аудитория: Professional & vocational
Подзаголовок: Theory and practice
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied volatility surface.


Asymptotic Expansion of a Partition Function Related to the Sinh-model

Автор: Borot
Название: Asymptotic Expansion of a Partition Function Related to the Sinh-model
ISBN: 331933378X ISBN-13(EAN): 9783319333786
Издательство: Springer
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Цена: 10760.00 р.
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Описание: This book elaborates on the asymptotic behaviour, when N is large, of certain N-dimensional integrals which typically occur in random matrices, or in 1+1 dimensional quantum integrable models solvable by the quantum separation of variables. The introduction presents the underpinning motivations for this problem, a historical overview, and a summary of the strategy, which is applicable in greater generality. The core aims at proving an expansion up to o(1) for the logarithm of the partition function of the sinh-model. This is achieved by a combination of potential theory and large deviation theory so as to grasp the leading asymptotics described by an equilibrium measure, the Riemann-Hilbert approach to truncated Wiener-Hopf in order to analyse the equilibrium measure, the Schwinger-Dyson equations and the boostrap method to finally obtain an expansion of correlation functions and the one of the partition function. This book is addressed to researchers working in random matrices, statistical physics or integrable systems, or interested in recent developments of asymptotic analysis in those fields.

Two-Scale Stochastic Systems / Asymptotic Analysis and Control

Автор: Kabanov Yuri, Pergamenshchikov Sergei
Название: Two-Scale Stochastic Systems / Asymptotic Analysis and Control
ISBN: 3540653325 ISBN-13(EAN): 9783540653325
Издательство: Springer
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Цена: 13974.00 р.
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Описание: Two-scale systems described by singularly perturbed SDEs have been the subject of ample literature. However, this new monograph develops subjects that were rarely addressed and could be given the collective description "Stochastic Tikhonov-Levinson theory and its applications." The book provides a mathematical apparatus designed to analyze the dynamic behaviour of a randomly perturbed system with fast and slow variables. In contrast to the deterministic Tikhonov-Levinson theory, the basic model is described in a more realistic way by stochastic differential equations. This leads to a number of new theoretical questions but simultaneously allows us to treat in a unified way a surprisingly wide spectrum of applications like fast modulations, approximate filtering, and stochastic approximation.

Asymptotic Methods For Integrals

Автор: Temme Nico M
Название: Asymptotic Methods For Integrals
ISBN: 9814612154 ISBN-13(EAN): 9789814612159
Издательство: World Scientific Publishing
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Цена: 31680.00 р.
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Описание:

This book gives introductory chapters on the classical basic and standard methods for asymptotic analysis, such as Watson's lemma, Laplace's method, the saddle point and steepest descent methods, stationary phase and Darboux's method. The methods, explained in great detail, will obtain asymptotic approximations of the well-known special functions of mathematical physics and probability theory. After these introductory chapters, the methods of uniform asymptotic analysis are described in which several parameters have influence on typical phenomena: turning points and transition points, coinciding saddle and singularities. In all these examples, the special functions are indicated that describe the peculiar behavior of the integrals.

The text extensively covers the classical methods with an emphasis on how to obtain expansions, and how to use the results for numerical methods, in particular for approximating special functions. In this way, we work with a computational mind: how can we use certain expansions in numerical analysis and in computer programs, how can we compute coefficients, and so on.

Asymptotic Issues For Some Partial Differential Equations

Автор: Chipot Michel Marie
Название: Asymptotic Issues For Some Partial Differential Equations
ISBN: 1783268913 ISBN-13(EAN): 9781783268917
Издательство: World Scientific Publishing
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Цена: 10771.00 р.
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Описание:

"The monograph is well written and organized and recommended to graduate students and researchers in applied mathematics or engineering."

Zentralblatt MATH

Much progress has been made in recent years on the issue of asymptotic behavior of problems set in cylinders. This book goes one step further by presenting the latest accomplishments on asymptotic behavior in domains which become unbounded.

It also investigates new issues which have emerged including existence and uniqueness of solution in unbounded domains, anisotropic singular perturbations, periodic behavior forced by periodic data. These new advances are treated with original techniques developed to investigate the asymptotic behavior of various problems.

Theories investigated throughout the book can be applied to other problems related to partial differential equations, making it an important text for students and researchers within the discipline.

Asymptotic Issues for Some Partial Differential Equations is an updated account of ℓ Goes to Plus Infinity, published by BirkhAuser in 2002.

Truly Nonlinear Oscillations: Harmonic Balance, Parameter Expansions, Iteration, And Averaging Methods

Автор: Mickens Ronald E
Название: Truly Nonlinear Oscillations: Harmonic Balance, Parameter Expansions, Iteration, And Averaging Methods
ISBN: 981429165X ISBN-13(EAN): 9789814291651
Издательство: World Scientific Publishing
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Цена: 15048.00 р.
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Описание: Provides a presentation of many of the fundamental strategies for calculating approximations to the oscillatory solutions of truly nonlinear (TNL) oscillator equations. This volume gives a general overview of the author`s work on harmonic balance, iteration and combined linearization-averaging methods.

Asymptotic Behaviour of Solutions of Evolutionary Equations

Автор: M. I. Vishik
Название: Asymptotic Behaviour of Solutions of Evolutionary Equations
ISBN: 052142237X ISBN-13(EAN): 9780521422376
Издательство: Cambridge Academ
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Цена: 6811.00 р.
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Описание: The theme of this book is the investigation of globally asymptotic solutions of evolutionary equations. The lectures on which it is based were warmly received at the universities of Rome and Pavia, and at the Scuola Normale Superiore in Pisa. Here Professor Vishik has collated his lecture notes.

Asymptotic Behaviour of Solutions of Evolutionary Equations

Автор: M. I. Vishik
Название: Asymptotic Behaviour of Solutions of Evolutionary Equations
ISBN: 0521420237 ISBN-13(EAN): 9780521420235
Издательство: Cambridge Academ
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Цена: 15522.00 р.
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Описание: The theme of this book is the investigation of globally asymptotic solutions of evolutionary equations. The lectures on which it is based were warmly received at the universities of Rome and Pavia, and at the Scuola Normale Superiore in Pisa. Here Professor Vishik has collated his lecture notes.

Asymptotic Theory of Separated Flows

Автор: Vladimir V. Sychev , Anatoly I. Ruban , Victor V.
Название: Asymptotic Theory of Separated Flows
ISBN: 0521455308 ISBN-13(EAN): 9780521455305
Издательство: Cambridge Academ
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Цена: 17424.00 р.
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Описание: The most fruitful of the asymptotic methods used for problems of boundary-layer separation from a rigid body surface has been the method of matched asymptotic expansions. This book will present the asymptotic theory of separated flows in a systematic account.

Some Asymptotic Problems in the Theory of Partial Differential Equations

Автор: Olga Oleinik
Название: Some Asymptotic Problems in the Theory of Partial Differential Equations
ISBN: 0521485371 ISBN-13(EAN): 9780521485371
Издательство: Cambridge Academ
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Цена: 8078.00 р.
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Описание: In 1993, Professor Oleinik was invited to give a series of lectures about her work in the area of partial differential equations. This book contains those lectures, and more.

Some Asymptotic Problems in the Theory of Partial Differential Equations

Автор: Olga Oleinik
Название: Some Asymptotic Problems in the Theory of Partial Differential Equations
ISBN: 0521480833 ISBN-13(EAN): 9780521480833
Издательство: Cambridge Academ
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Цена: 19325.00 р.
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Описание: In 1993, Professor Oleinik was invited to give a series of lectures about her work in the area of partial differential equations. This book contains those lectures, and more.

Asymptotic Efficiency of Nonparametric Tests

Автор: Yakov Nikitin
Название: Asymptotic Efficiency of Nonparametric Tests
ISBN: 0521470293 ISBN-13(EAN): 9780521470292
Издательство: Cambridge Academ
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Цена: 18058.00 р.
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Описание: This monograph is the first unified treatment of an indispensable technique for comparing statistical tests, especially in nonparametric statistics. It presents powerful new methods to evaluate explicitly different kinds of efficiencies. Many Russian results are published here for the first time in English.


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