Stochastic Analysis for Finance with Simulations, Choe

Автор: Shreve, Steven E.
Название: Stochastic Calculus for Finance II
ISBN: 0387401016 ISBN-13(EAN): 9780387401010
Издательство: Springer
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Цена: 8384.00 р.
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Описание: "A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions.

Автор: Shreve
Название: Stochastic Calculus for Finance I
ISBN: 0387401008 ISBN-13(EAN): 9780387401003
Издательство: Springer
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Цена: 8384.00 р.
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Описание: Developed for the professional Master`s program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several yearsExercises conclude every chapter;

Автор: X. Sheldon Lin
Название: Introductory Stochastic Analysis for Finance and Insurance
ISBN: 0471716421 ISBN-13(EAN): 9780471716426
Издательство: Wiley
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Цена: 20584.00 р.
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Описание: Incorporates the many tools needed for modeling and pricing in finance and insurance Introductory Stochastic Analysis for Finance and Insurance introduces readers to the topics needed to master and use basic stochastic analysis techniques for mathematical finance.

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.

Автор: Asmussen
Название: Stochastic Simulation: Algorithms and Analysis
ISBN: 038730679X ISBN-13(EAN): 9780387306797
Издательство: Springer
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Цена: 6981.00 р.
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Описание: Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of such sampling-based methods , as well as accompanying mathematical analysis of the convergence properties of the methods discussed . The reach of the ideas is illustrated by discussing a wide range of applications and the models that have found wide usage. The first  half of the book focusses on general methods, whereas the second half discusses model-specific algorithms. Given the wide range of  examples, exercises and applications students, practitioners and researchers in  probability, statistics, operations research, economics, finance, engineering  as well as biology and chemistry and physics will find the book of value.  Soren Asmussen is Professor of Applied Probability at Aarhus University, Denmark and Peter Glynn is Thomas Ford Professor of  Engineering at Stanford University. 

Автор: Tsoi Allanus Et Al
Название: Stochastic Analysis, Stochastic Systems, And Applications To Finance
ISBN: 9814355704 ISBN-13(EAN): 9789814355704
Издательство: World Scientific Publishing
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Цена: 12830.00 р.
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Описание: Introduces some advanced topics in probability theories - both pure and applied. This book deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. It discusses some applications of optimization theories, martingale measure theories, and asset trading modeling.