Автор: Gallager Название: Stochastic Processes ISBN: 1107039754 ISBN-13(EAN): 9781107039759 Издательство: Cambridge Academ Рейтинг: Цена: 11246.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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: Glasserman Название: Monte Carlo Methods in Financial Engineering ISBN: 0387004513 ISBN-13(EAN): 9780387004518 Издательство: Springer Рейтинг: Цена: 11179.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not."
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.
Автор: Platen Название: Numerical Solution of Stochastic Differential Equations with Jumps in Finance ISBN: 3642120571 ISBN-13(EAN): 9783642120572 Издательство: Springer Рейтинг: Цена: 12717.00 р. 18167.00-30% Наличие на складе: Есть (1 шт.) 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: Gulisashvili Название: Analytically Tractable Stochastic Stock Price Models ISBN: 3642312136 ISBN-13(EAN): 9783642312137 Издательство: Springer Цена: 5576.00 р. 7965.00-30% Наличие на складе: Есть (1 шт.) 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: Ghahramani Название: Fndmntls Of Probability 4E ISBN: 1498755097 ISBN-13(EAN): 9781498755092 Издательство: Taylor&Francis Рейтинг: Цена: 16843.00 р. Наличие на складе: Поставка под заказ.
Описание: Covers topics used in a calculus-based junior-senior probability course. It can also be used as a text for a second course in probability. The historical roots and applications of many of the theorems and definitions are presented in detail, accompanied by suitable examples or counterexamples.
Автор: Stewart, Professor Ian Название: Do dice play god? ISBN: 1781259445 ISBN-13(EAN): 9781781259443 Издательство: Profile Рейтинг: Цена: 1516.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Professor Ian Stewart explores the development and limits of the mathematics that tame uncertainty.
Автор: Shiraishi Название: Multiple Comparisons for Bernoulli Data ISBN: 9811927073 ISBN-13(EAN): 9789811927072 Издательство: Springer Рейтинг: Цена: 7685.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book focuses on multiple comparisons of proportions in multi-sample models with Bernoulli responses. First, the author explains the one-sample and two-sample methods that form the basis of multiple comparisons. Then, regularity conditions are stated in detail. Simultaneous inference for all proportions based on exact confidence limits and based on asymptotic theory is discussed. Closed testing procedures based on some one-sample statistics are introduced. For all-pairwise multiple comparisons of proportions, the author uses arcsine square root transformation of sample means. Closed testing procedures based on maximum absolute values of some two-sample test statistics and based on chi-square test statistics are introduced. It is shown that the multi-step procedures are more powerful than single-step procedures and the Ryan–Einot–Gabriel–Welsch (REGW)-type tests. Furthermore, the author discusses multiple comparisons with a control. Under simple ordered restrictions of proportions, the author also discusses closed testing procedures based on maximum values of two-sample test statistics and based on Bartholomew's statistics. Last, serial gatekeeping procedures based on the above-mentioned closed testing procedures are proposed although Bonferroni inequalities are used in serial gatekeeping procedures of many.
Автор: Kochar Название: Stochastic Comparisons with Applications ISBN: 3031121031 ISBN-13(EAN): 9783031121036 Издательство: Springer Рейтинг: Цена: 19564.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book emphasizes the use of stochastic orders as motivational tools for developing new statistical procedures. Stochastic orders have found useful applications in many disciplines, including reliability theory, survival analysis, risk theory, finance, nonparametric methods, economics and actuarial science. Written by a statistician, this volume clarifies the connection between stochastic orders and nonparametric methods. The importance of order statistics and spacings is well recognized. Classically, they mainly focus on the case when the observations are independent and identically distributed, however, several new developments have extended the comparison of order statistics to the case of non-identically distributed or non-independent observations. In addition to giving a detailed discussion of various topics in the general area of stochastic orders, a substantial part of the book is devoted to recent research on stochastic comparisons of order statistics and spacings, including a long chapter on dependence among them. The book will be useful for graduate students and researchers in statistics, economics, actuarial science and other related disciplines. In particular, with close to 300 references, it will be a valuable resource for reliability theorists, applied probabilists and statisticians. Readers are expected to have taken a first-year graduate level course in mathematical statistics or in applied probability.
Описание: This book is an up-to-date, unified and rigorous treatment of theoretical, computational and applied research on Markov decision process models. The concentration of the book is on infinite-horizon discrete-time models, and it also discusses arbitrary state spaces, finite-horizon and continuous-time discrete-state models.
Описание: This book enables readers to understand, model, and predict complex dynamical systems using new methods with stochastic tools. The author presents a unique combination of qualitative and quantitative modeling skills, novel efficient computational methods, rigorous mathematical theory, as well as physical intuitions and thinking. An emphasis is placed on the balance between computational efficiency and modeling accuracy, providing readers with ideas to build useful models in practice. Successful modeling of complex systems requires a comprehensive use of qualitative and quantitative modeling approaches, novel efficient computational methods, physical intuitions and thinking, as well as rigorous mathematical theories. As such, mathematical tools for understanding, modeling, and predicting complex dynamical systems using various suitable stochastic tools are presented. Both theoretical and numerical approaches are included, allowing readers to choose suitable methods in different practical situations. The author provides practical examples and motivations when introducing various mathematical and stochastic tools and merges mathematics, statistics, information theory, computational science, and data science. In addition, the author discusses how to choose and apply suitable mathematical tools to several disciplines including pure and applied mathematics, physics, engineering, neural science, material science, climate and atmosphere, ocean science, and many others. Readers will not only learn detailed techniques for stochastic modeling and prediction, but will develop their intuition as well. Important topics in modeling and prediction including extreme events, high-dimensional systems, and multiscale features are discussed.
Автор: Jiao Ying Et Al Название: Arbitrage, Credit And Informational Risks ISBN: 981460206X ISBN-13(EAN): 9789814602068 Издательство: World Scientific Publishing Рейтинг: Цена: 13464.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics.
ООО "Логосфера " Тел:+7(495) 980-12-10 www.logobook.ru
