Large Deviations and Asymptotic Methods in Finance, Peter K. Friz; Jim Gatheral; Archil Gulisashvili;
Автор: Kabanov Yuri, Pergamenshchikov Sergei Название: Two-Scale Stochastic Systems / Asymptotic Analysis and Control ISBN: 3540653325 ISBN-13(EAN): 9783540653325 Издательство: Springer Рейтинг: Цена: 13974.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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.
Название: Large deviations and asymptotic methods in finance ISBN: 3319116045 ISBN-13(EAN): 9783319116044 Издательство: Springer Рейтинг: Цена: 22359.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Hagan, Lesniewski, Woodward: Probability Distribution in the SABR Model of Stochastic Volatility.- Paulot: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model.- Henry-Labordere: Unifying the BGM and SABR Models: A Short Ride in Hyperbolic Geometry.- Ben Arous, Laurence: Second Order Expansion for Implied Volatility in Two Factor Local-stochastic Volatility.- Osajima: General Asymptotics of Wiener Functionals and Application to Implied Volatilities.- Bayer, Laurence: Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model.- Keller-Ressel, Teichmann: A Remark on Gatheral's 'Most-likely Path Approximation' of Implied Volatility.- Gatheral, Wang: Implied volatility from local volatility: a path integral approach.- Gerhold, Friz: Don't Stay Local - Extrapolation Analytics for Dupire's Local Volatility.- Gulisashvili, Teichmann: Laplace Principle Expansions and Short Time Asymptotics for Affine Processes.- Lorig, Pascucci, Pagliarani: Asymptotics for d-dimensional Levy-type Processes.- Takahashi: An Asymptotic Expansion Approach in Finance.- Baudoin, Ouyang: On small time asymptotics for rough differential equations driven by fractional Brownian motions.- Lucic: On singularities in the Heston model.- Bayer, Friz, Laurence: On the probability density function of baskets.- Conforti, De Marco, Deuschel: On small-noise equations with degenerate limiting system arising from volatility models.- Pham: Long time asymptotic problems for optimal investment.- Spiliopoulos: Systemic Risk and Default Clustering for Large Financial Systems.- Jacod, Rosenbaum: Asymptotic Properties of a Volatility Estimator.
Автор: Mandjes, Michel Название: Large deviations for gaussian queues ISBN: 0470015233 ISBN-13(EAN): 9780470015230 Издательство: Wiley Рейтинг: Цена: 17891.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Demonstrates how the Gaussian traffic model arises naturally, and how the analysis of the corresponding queuing model can be performed. This text provides an introduction to Gaussian queues, and surveys research into the modelling of communications networks. It is useful for postgraduate students in applied probability, and operations research.
Автор: Sourav Chatterjee Название: Large Deviations for Random Graphs ISBN: 3319658158 ISBN-13(EAN): 9783319658155 Издательство: Springer Рейтинг: Цена: 9781.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book addresses the emerging body of literature on the study of rare events in random graphs and networks.
Автор: L. Saulis; V.A. Statulevicius Название: Limit Theorems for Large Deviations ISBN: 0792314751 ISBN-13(EAN): 9780792314752 Издательство: Springer Рейтинг: Цена: 13275.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: "Et moi, ...- si j'avait su comment en revenir. One service mathematics has rendered the je n'y serais poin t aile.' human race. It has put common sense back Jules Verne where it belongs, on the topmost shelf next to the dusty canister labelled 'discarded non- The series is divergent; therefore we may be sense'. able to do something with it. Eric T. Bell O. H ea viside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non- Iinearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service. topology has rendered mathematical physics .. .':: 'One service logic has rendered com- puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d 'e1: re of this series.
Автор: N. Balakrishnan; I.A.V.B. Ibragimov; V.B. Nevzorov Название: Asymptotic Methods in Probability and Statistics with Applications ISBN: 1461266637 ISBN-13(EAN): 9781461266631 Издательство: Springer Рейтинг: Цена: 6986.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The conference was organized jointly by St. Petersburg State University, St. Petersburg branch of Mathematical Institute, and the Euler Institute, and was partially sponsored by the Russian Foundation of Basic Researches.
Описание: One service mathematics has rendered the 'Et BIOi. .... si j'avait su comment en revenir. human race. It has put common sense back je n'y serais point aile.' Jules Verne where it belongs. on the topmost shelf next to the dusty canister labelled 'discarded non- The series is divergent; therefore we may be sense'. able to do something with it. Eric T. Bell O. Heaviside Math@matics is a tool for thought. A highly necessary tool in a world where both feedback and non- Iinearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics .. .'; 'One service logic has rendered com- puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series.
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