Автор: Musiela Marek Название: Martingale Methods in Financial Modelling ISBN: 3540209662 ISBN-13(EAN): 9783540209669 Издательство: Springer Рейтинг: Цена: 11738.00 р. 16769.00-30% Наличие на складе: Есть (1 шт.) Описание: In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility. The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors' perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated. This long-awaited new edition of an outstandingly successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.
Описание: We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock. In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.
Автор: L. C. G. Rogers Название: Diffusions, Markov Processes and Martingales ISBN: 0521775930 ISBN-13(EAN): 9780521775939 Издательство: Cambridge Academ Рейтинг: Цена: 11563.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This celebrated volume gives an accessible introduction to stochastic integrals, stochastic differential equations, excursion theory and the general theory of processes. Together with its companion, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.
Автор: L. C. G. Rogers Название: Diffusions, Markov Processes, and Martingales ISBN: 0521775949 ISBN-13(EAN): 9780521775946 Издательство: Cambridge Academ Рейтинг: Цена: 11405.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Now available in paperback, this celebrated book has been prepared with readers` needs in mind, remaining a systematic treatment of the subject whilst retaining its vitality. Together with its companion volume, it helps equip graduate students for research into a subject of great intrinsic interest and wide application.
Автор: Richard A. Johnson, Gouri K. Bhattacharyya Название: Statistics: Principles and Methods, 7th Edition ISBN: 0470904119 ISBN-13(EAN): 9780470904114 Издательство: Wiley Рейтинг: Цена: 35369.00 р. Наличие на складе: Поставка под заказ.
Описание: Statistics: Principles and Methods, 7th Edition provides a comprehensive, accurate introduction to statistics for business professionals who need to learn how to apply key concepts. The chapters include real-world data, designed to make the material more relevant. The numerous examples clearly demonstrate the important points of the methods.
Автор: Revuz, Daniel Yor, Marc Название: Continuous martingales and brownian motion ISBN: 3642084001 ISBN-13(EAN): 9783642084003 Издательство: Springer Рейтинг: Цена: 13969.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: From the reviews: "This is a magnificent book Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises, and throwing out challenging remarks about areas awaiting further research..." Bull.L.M.S. 24, 4 (1992) Since the first edition in 1991, an impressive variety of advances has been made in relation to the material of this book, and these are reflected in the successive editions.
Автор: Schilling Название: Measures, Integrals and Martingales ISBN: 1316620247 ISBN-13(EAN): 9781316620243 Издательство: Cambridge Academ Рейтинг: Цена: 7445.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Measure and integration are key topics in many areas of mathematics, including analysis, probability, mathematical physics and finance. This book offers a concise yet elementary introduction in which the theory is quickly and simply developed. Few prerequisites are required, making the text suitable for undergraduate lecture courses or self-study.
Автор: Pisier Название: Martingales in Banach Spaces ISBN: 1107137241 ISBN-13(EAN): 9781107137240 Издательство: Cambridge Academ Рейтинг: Цена: 9979.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Martingales arise in many areas of probability theory. This book focuses on their applications to the geometry of Banach spaces and discusses the interplay of Banach space valued martingales with various other areas of analysis. It is accessible to graduates with a basic knowledge of real and complex analysis.
Автор: Coolican Hugh Название: Research Methods and Statistics in Psychology ISBN: 1444170112 ISBN-13(EAN): 9781444170115 Издательство: Taylor&Francis Рейтинг: Цена: 6276.00 р. Наличие на складе: Поставка под заказ.
Описание: "Research Methods and Statistics in Psychology, sixth edition, provides comprehensive coverage of both quantitative and qualitative methods and statistics. The new edition has been updated to reflect recent software updates and advances in knowledge. This classic research methods text is an essential purchase for all psychology students studying at degree level and beyond"--
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