Stochastic Finance, Vecer

Автор: Shreve, Steven E.
Название: Stochastic Calculus for Finance II
ISBN: 0387401016 ISBN-13(EAN): 9780387401010
Издательство: Springer
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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: Gallager
Название: Stochastic Processes
ISBN: 1107039754 ISBN-13(EAN): 9781107039759
Издательство: Cambridge Academ
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Описание: This definitive textbook provides a solid introduction to stochastic processes, covering both theory and applications. It is written by one of the world`s leading information theorists, evolving over twenty years of graduate classroom teaching, and is accompanied by over 300 exercises, with online solutions for instructors.

Автор: Shreve
Название: Stochastic Calculus for Finance I
ISBN: 0387249680 ISBN-13(EAN): 9780387249681
Издательство: Springer
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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: Gulisashvili
Название: Analytically Tractable Stochastic Stock Price Models
ISBN: 3642312136 ISBN-13(EAN): 9783642312137
Издательство: Springer
Цена: 5576.00 р. 7965.00 -30%
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Описание: For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility.

Автор: Platen
Название: Numerical Solution of Stochastic Differential Equations with Jumps in Finance
ISBN: 3642120571 ISBN-13(EAN): 9783642120572
Издательство: Springer
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Цена: 12717.00 р. 18167.00 -30%
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Описание: It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability.

Автор: Haim Levy
Название: Stochastic Dominance
ISBN: 3319330594 ISBN-13(EAN): 9783319330594
Издательство: Springer
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Цена: 18167.00 р.
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Описание: Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach.

Автор: Thomas Pistorius
Название: Heterodox Investment Theory
ISBN: 3319855425 ISBN-13(EAN): 9783319855424
Издательство: Springer
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Цена: 16769.00 р.
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Описание: This book combines the study of rhetoric, history, philosophy, philosophy of statistics and the culture of investing to discuss the foundations of stochastical predictability in investment theory.

Автор: Cre`pey, Ste`phane
Название: Financial Modeling
ISBN: 3642371124 ISBN-13(EAN): 9783642371127
Издательство: Springer
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Цена: 11179.00 р.
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Описание: This book examines financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes as well as a review of quantitative finance tools.

Автор: Karatzas
Название: Brownian Motion and Stochastic Calculus
ISBN: 0387976558 ISBN-13(EAN): 9780387976556
Издательство: Springer
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Цена: 6981.00 р.
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Описание: This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large number of problems and exercises.

Автор: Oosterlee, Cornelis W (delft Univ Of Tech, The Netherlands & Centrum Wiskunde & Informatica (cwi), The Netherlands) Grzelak, Lech A. (delft Univ Of Te
Название: Mathematical modeling and computation in finance: with exercises and python and matlab computer codes
ISBN: 1786348055 ISBN-13(EAN): 9781786348050
Издательство: World Scientific Publishing
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Цена: 8712.00 р.
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Описание: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material: Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact sales@wspc.com.

Автор: Capasso
Название: An Introduction to Continuous-Time Stochastic Processes
ISBN: 3030696553 ISBN-13(EAN): 9783030696559
Издательство: Springer
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Цена: 7685.00 р.
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Описание: This textbook, now in its fourth edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations.

Автор: Haim Levy
Название: Stochastic Dominance
ISBN: 3319217070 ISBN-13(EAN): 9783319217079
Издательство: Springer
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Цена: 18167.00 р.
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Описание: Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach.