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American-Type Options: Stochastic Approximation Methods, Volume 2, Dmitrii S. Silvestrov


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Автор: Dmitrii S. Silvestrov
Название:  American-Type Options: Stochastic Approximation Methods, Volume 2
ISBN: 9783110329681
Издательство: Walter de Gruyter
Классификация:




ISBN-10: 3110329689
Обложка/Формат: Hardback
Страницы: 571
Вес: 1.10 кг.
Дата издания: 15.12.2014
Серия: Economics/Business/Finance
Язык: English
Размер: 244 x 170 x 32
Читательская аудитория: Professional and scholarly
Ключевые слова: Finance & accounting,Banking,Probability & statistics,Mathematical modelling,Stochastics, BUSINESS & ECONOMICS / Accounting / Financial,MATHEMATICS / General
Поставляется из: Германии
Описание: The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.


Photonic Crystals : Mathematical Analysis And Numerical Approximation

Автор: Willy Do?rfler
Название: Photonic Crystals : Mathematical Analysis And Numerical Approximation
ISBN: 3034801122 ISBN-13(EAN): 9783034801126
Издательство: Springer
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Цена: 4191.00 р.
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Описание: <p>This book concentrates on the mathematics of photonic crystals, which form an important class of physical structures investigated in nanotechnology. Photonic crystals are materials which are composed of two or more different dielectrics or metals, and which exhibit a spatially periodic structure, typically at the length scale of hundred nanometers.</p><p>In the mathematical analysis and the numerical simulation of the partial differential equations describing nanostructures, several mathematical difficulties arise, e. g., the appropriate treatment of nonlinearities, simultaneous occurrence of continuous and discrete spectrum, multiple scales in space and time, and the ill-posedness of these problems.</p><p>This volume collects a series of lectures which introduce into the mathematical background needed for the modeling and simulation of light, in particular in periodic media, and for its applications in optical devices.</p>

Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming

Автор: Christian K?chler
Название: Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming
ISBN: 3834809217 ISBN-13(EAN): 9783834809216
Издательство: Springer
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Цена: 14673.00 р.
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Описание: Christian Kuchler studies various aspects of the stability of stochastic optimization problems as well as approximation and decomposition methods in stochastic programming. In particular, the author presents an extension of the Nested Benders decomposition algorithm related to the concept of recombining scenario trees.

Kernel-Based Approximation Methods Using Matlab

Автор: Fasshauer Gregory E Et Al
Название: Kernel-Based Approximation Methods Using Matlab
ISBN: 9814630136 ISBN-13(EAN): 9789814630139
Издательство: World Scientific Publishing
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Цена: 11246.00 р.
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Описание: In an attempt to introduce application scientists and graduate students to the exciting topic of positive definite kernels and radial basis functions, this book presents modern theoretical results on kernel-based approximation methods and demonstrates their implementation in various settings. The authors explore the historical context of this fascinating topic and explain recent advances as strategies to address long-standing problems. Examples are drawn from fields as diverse as function approximation, spatial statistics, boundary value problems, machine learning, surrogate modeling and finance. Researchers from those and other fields can recreate the results within using the documented MATLAB code, also available through the online library. This combination of a strong theoretical foundation and accessible experimentation empowers readers to use positive definite kernels on their own problems of interest.

Approximation Methods in Probability Theory

Автор: ?ekanavi?ius
Название: Approximation Methods in Probability Theory
ISBN: 3319340719 ISBN-13(EAN): 9783319340715
Издательство: Springer
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Цена: 7965.00 р.
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Описание: This book presents a wide range of well-known and less common methods used for estimating the accuracy of probabilistic approximations, including the Esseen type inversion formulas, the Stein method as well as the methods of convolutions and triangle function. Emphasising the correct usage of the methods presented, each step required for the proofs is examined in detail. As a result, this textbook provides valuable tools for proving approximation theorems.While Approximation Methods in Probability Theory will appeal to everyone interested in limit theorems of probability theory, the book is particularly aimed at graduate students who have completed a standard intermediate course in probability theory. Furthermore, experienced researchers wanting to enlarge their toolkit will also find this book useful.

Approximation by Max-Product Type Operators

Автор: Bede
Название: Approximation by Max-Product Type Operators
ISBN: 331934188X ISBN-13(EAN): 9783319341880
Издательство: Springer
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Цена: 15372.00 р.
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Описание: This monograph presents a broad treatment of developments in an area of constructive approximation involving the so-called 'max-product' type operators. The exposition highlights the max-product operators as those which allow one to obtain, in many cases, more valuable estimates than those obtained by classical approaches. The text considers a wide variety of operators which are studied for a number of interesting problems such as quantitative estimates, convergence, saturation results, localization, to name several.Additionally, the book discusses the perfect analogies between the probabilistic approaches of the classical Bernstein type operators and of the classical convolution operators (non-periodic and periodic cases), and the possibilistic approaches of the max-product variants of these operators. These approaches allow for two natural interpretations of the max-product Bernstein type operators and convolution type operators: firstly, as possibilistic expectations of some fuzzy variables, and secondly, as bases for the Feller type scheme in terms of the possibilistic integral. These approaches also offer new proofs for the uniform convergence based on a Chebyshev type inequality in the theory of possibility.Researchers in the fields of approximation of functions, signal theory, approximation of fuzzy numbers, image processing, and numerical analysis will find this book most beneficial. This book is also a good reference for graduates and postgraduates taking courses in approximation theory.


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