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Henry P. McKean Jr. Selecta

Henry P. McKean Jr. Selecta
Author: F. Alberto Grünbaum
Publisher: Birkhäuser
Total Pages: 419
Release: 2015-12-31
Genre: Mathematics
ISBN: 3319222376

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This volume presents a selection of papers by Henry P. McKean, which illustrate the various areas in mathematics in which he has made seminal contributions. Topics covered include probability theory, integrable systems, geometry and financial mathematics. Each paper represents a contribution by Prof. McKean, either alone or together with other researchers, that has had a profound influence in the respective area.


Stochastic Methods in Asset Pricing

Stochastic Methods in Asset Pricing
Author: Andrew Lyasoff
Publisher: MIT Press
Total Pages: 632
Release: 2017-08-25
Genre: Business & Economics
ISBN: 026203655X

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A comprehensive overview of the theory of stochastic processes and its connections to asset pricing, accompanied by some concrete applications. This book presents a self-contained, comprehensive, and yet concise and condensed overview of the theory and methods of probability, integration, stochastic processes, optimal control, and their connections to the principles of asset pricing. The book is broader in scope than other introductory-level graduate texts on the subject, requires fewer prerequisites, and covers the relevant material at greater depth, mainly without rigorous technical proofs. The book brings to an introductory level certain concepts and topics that are usually found in advanced research monographs on stochastic processes and asset pricing, and it attempts to establish greater clarity on the connections between these two fields. The book begins with measure-theoretic probability and integration, and then develops the classical tools of stochastic calculus, including stochastic calculus with jumps and Lévy processes. For asset pricing, the book begins with a brief overview of risk preferences and general equilibrium in incomplete finite endowment economies, followed by the classical asset pricing setup in continuous time. The goal is to present a coherent single overview. For example, the text introduces discrete-time martingales as a consequence of market equilibrium considerations and connects them to the stochastic discount factors before offering a general definition. It covers concrete option pricing models (including stochastic volatility, exchange options, and the exercise of American options), Merton's investment–consumption problem, and several other applications. The book includes more than 450 exercises (with detailed hints). Appendixes cover analysis and topology and computer code related to the practical applications discussed in the text.


Stochastic Processes, Statistical Methods, and Engineering Mathematics

Stochastic Processes, Statistical Methods, and Engineering Mathematics
Author: Anatoliy Malyarenko
Publisher: Springer Nature
Total Pages: 907
Release: 2023-01-26
Genre: Mathematics
ISBN: 3031178203

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The goal of the 2019 conference on Stochastic Processes and Algebraic Structures held in SPAS2019, Västerås, Sweden, from September 30th to October 2nd 2019, was to showcase the frontiers of research in several important areas of mathematics, mathematical statistics, and its applications. The conference was organized around the following topics 1. Stochastic processes and modern statistical methods,2. Engineering mathematics,3. Algebraic structures and their applications. The conference brought together a select group of scientists, researchers, and practitioners from the industry who are actively contributing to the theory and applications of stochastic, and algebraic structures, methods, and models. The conference provided early stage researchers with the opportunity to learn from leaders in the field, to present their research, as well as to establish valuable research contacts in order to initiate collaborations in Sweden and abroad. New methods for pricing sophisticated financial derivatives, limit theorems for stochastic processes, advanced methods for statistical analysis of financial data, and modern computational methods in various areas of applied science can be found in this book. The principal reason for the growing interest in these questions comes from the fact that we are living in an extremely rapidly changing and challenging environment. This requires the quick introduction of new methods, coming from different areas of applied science. Advanced concepts in the book are illustrated in simple form with the help of tables and figures. Most of the papers are self-contained, and thus ideally suitable for self-study. Solutions to sophisticated problems located at the intersection of various theoretical and applied areas of the natural sciences are presented in these proceedings.


Quantum Electrodynamics of Photosynthesis

Quantum Electrodynamics of Photosynthesis
Author: Artur Braun
Publisher: Walter de Gruyter GmbH & Co KG
Total Pages: 552
Release: 2020-10-12
Genre: Science
ISBN: 3110627000

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This book uses an array of different approaches to describe photosynthesis, ranging from the subjectivity of human perception to the mathematical rigour of quantum electrodynamics. This interdisciplinary work draws from fields as diverse as astronomy, agriculture, classical and quantum optics, and biology in order to explain the working principles of photosynthesis in plants and cyanobacteria.


Multifractals and 1/ƒ Noise

Multifractals and 1/ƒ Noise
Author: Benoit B. Mandelbrot
Publisher: Springer
Total Pages: 448
Release: 2013-12-20
Genre: Mathematics
ISBN: 1461221501

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Mandelbrot is a world renowned scientist, known for his pioneering research in fractal geometry and chaos theory. In this volume, Mandelbrot defends the view that multifractals are intimately interrelated through the two fractal themes of "wildness" and "self-affinity". This link involves a powerful collection of technical tools, which are of use to diverse scientific communities. Among the topics covered are: 1/f noise, fractal dimension and turbulence, sporadic random functions, and a new model for error clustering on telephone circuits.


Riemann Surfaces of Infinite Genus

Riemann Surfaces of Infinite Genus
Author: Joel S. Feldman
Publisher: American Mathematical Soc.
Total Pages: 306
Release: 2003
Genre: Mathematics
ISBN: 082183357X

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In this book, the authors geometrically construct Riemann surfaces of infinite genus by pasting together plane domains and handles. To achieve a meaningful generalization of the classical theory of Riemann surfaces to the case of infinite genus, one must impose restrictions on the asymptotic behavior of the Riemann surface. In the construction carried out here, these restrictions are formulated in terms of the sizes and locations of the handles and in terms of the gluing maps. The approach used has two main attractions. The first is that much of the classical theory of Riemann surfaces, including the Torelli theorem, can be generalized to this class. The second is that solutions of Kadomcev-Petviashvilli equations can be expressed in terms of theta functions associated with Riemann surfaces of infinite genus constructed in the book. Both of these are developed here. The authors also present in detail a number of important examples of Riemann surfaces of infinite genus (hyperelliptic surfaces of infinite genus, heat surfaces and Fermi surfaces). The book is suitable for graduate students and research mathematicians interested in analysis and integrable systems.


Pricing the Future

Pricing the Future
Author: George G Szpiro
Publisher: Basic Books
Total Pages: 322
Release: 2011-11-29
Genre: Business & Economics
ISBN: 0465028152

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Options have been traded for hundreds of years, but investment decisions were based on gut feelings until the Nobel Prize -- winning discovery of the Black-Scholes options pricing model in 1973 ushered in the era of the "quants." Wall Street would never be the same. In Pricing the Future, financial economist George G. Szpiro tells the fascinating stories of the pioneers of mathematical finance who conducted the search for the elusive options pricing formula. From the broker's assistant who published the first mathematical explanation of financial markets to Albert Einstein and other scientists who looked for a way to explain the movement of atoms and molecules, Pricing the Future retraces the historical and intellectual developments that ultimately led to the widespread use of mathematical models to drive investment strategies on Wall Street.


The Abel Prize

The Abel Prize
Author: Helge Holden
Publisher: Springer Science & Business Media
Total Pages: 329
Release: 2009-12-01
Genre: Mathematics
ISBN: 3642013732

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The book presents the winners of the first five Abel Prizes in mathematics: 2003 Jean-Pierre Serre; 2004 Sir Michael Atiyah and Isadore Singer; 2005 Peter D. Lax; 2006 Lennart Carleson; and 2007 S.R. Srinivasa Varadhan. Each laureate provides an autobiography or an interview, a curriculum vitae, and a complete bibliography. This is complemented by a scholarly description of their work written by leading experts in the field and by a brief history of the Abel Prize. Interviews with the laureates can be found at http://extras.springer.com .