Hypermodels In Mathematical Finance Modelling Via Infinitesimal Analysis PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Hypermodels In Mathematical Finance Modelling Via Infinitesimal Analysis PDF full book. Access full book title Hypermodels In Mathematical Finance Modelling Via Infinitesimal Analysis.
| Author | : Siu-Ah Ng |
| Publisher | : World Scientific |
| Total Pages | : 313 |
| Release | : 2003 |
| Genre | : Business & Economics |
| ISBN | : 9812564527 |
Download Hypermodels in Mathematical Finance Book in PDF, ePub and Kindle
At the beginning of the new millennium, two unstoppable processes aretaking place in the world: (1) globalization of the economy; (2)information revolution. As a consequence, there is greaterparticipation of the world population in capital market investment, such as bonds and stocks and their derivatives
| Author | : Siu-ah Ng |
| Publisher | : World Scientific |
| Total Pages | : 313 |
| Release | : 2003-01-23 |
| Genre | : Business & Economics |
| ISBN | : 9814492337 |
Download Hypermodels In Mathematical Finance: Modelling Via Infinitesimal Analysis Book in PDF, ePub and Kindle
At the beginning of the new millennium, two unstoppable processes are taking place in the world: (1) globalization of the economy; (2) information revolution. As a consequence, there is greater participation of the world population in capital market investment, such as bonds and stocks and their derivatives. Hence there is a need for risk management and analytic theory explaining the market. This leads to quantitative tools based on mathematical methods, i.e. the theory of mathematical finance.Ever since the pioneer work of Black, Scholes and Merton in the 70's, there has been rapid growth in the study of mathematical finance, involving ever more sophisticated mathematics. However, from the practitioner's point of view, it is desirable to have simpler and more useful mathematical tools.This book introduces research students and practitioners to the intuitive but rigorous hypermodel techniques in finance. It is based on Robinson's infinitesimal analysis, which is easily grasped by anyone with as little background as first-year calculus. It covers topics such as pricing derivative securities (including the Black-Scholes formula), hedging, term structure models of interest rates, consumption and equilibrium. The reader is introduced to mathematical tools needed for the aforementioned topics. Mathematical proofs and details are given in an appendix. Some programs in MATHEMATICA are also included.
| Author | : Sergio Albeverio |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 295 |
| Release | : 2011-05-27 |
| Genre | : Mathematics |
| ISBN | : 3642196594 |
Download Hyperfinite Dirichlet Forms and Stochastic Processes Book in PDF, ePub and Kindle
This monograph treats the theory of Dirichlet forms from a comprehensive point of view, using "nonstandard analysis." Thus, it is close in spirit to the discrete classical formulation of Dirichlet space theory by Beurling and Deny (1958). The discrete infinitesimal setup makes it possible to study the diffusion and the jump part using essentially the same methods. This setting has the advantage of being independent of special topological properties of the state space and in this sense is a natural one, valid for both finite- and infinite-dimensional spaces. The present monograph provides a thorough treatment of the symmetric as well as the non-symmetric case, surveys the theory of hyperfinite Lévy processes, and summarizes in an epilogue the model-theoretic genericity of hyperfinite stochastic processes theory.
| Author | : Horst Osswald |
| Publisher | : Cambridge University Press |
| Total Pages | : 429 |
| Release | : 2012-03 |
| Genre | : Mathematics |
| ISBN | : 1107016142 |
Download Malliavin Calculus for Lévy Processes and Infinite-Dimensional Brownian Motion Book in PDF, ePub and Kindle
After functional, measure and stochastic analysis prerequisites, the author covers chaos decomposition, Skorohod integral processes, Malliavin derivative and Girsanov transformations.
| Author | : |
| Publisher | : |
| Total Pages | : 1524 |
| Release | : 2004 |
| Genre | : Mathematics |
| ISBN | : |
Download Mathematical Reviews Book in PDF, ePub and Kindle
| Author | : Imme van den Berg |
| Publisher | : World Scientific |
| Total Pages | : 156 |
| Release | : 2000 |
| Genre | : Mathematics |
| ISBN | : 9789810243586 |
Download Principles of Infinitesimal Stochastic and Financial Analysis Book in PDF, ePub and Kindle
There has been a tremendous growth in the volume of financial transactions based on mathematics, reflecting the confidence in the Nobel-Prize-winning Black-Scholes option theory. Risks emanating from obligatory future payments are covered by a strategy of trading with amounts not determined by guessing, but by solving equations, and with prices not resulting from offer and demand, but from computation. However, the mathematical theory behind that suffers from inaccessibility. This is due to the complexity of the mathematical foundation of the Black-Scholes model, which is the theory of continuous-time stochastic processes: a thorough study of mathematical finance is considered to be possible only at postgraduate level. The setting of this book is the discrete-time version of the Black-Scholes model, namely the Cox-Ross-Rubinstein model. The book gives a complete description of its background, which is now only the theory of finite stochastic processes. The novelty lies in the fact that orders of magnitude -- in the sense of nonstandard analysis -- are imposed on the parameters of the model. This not only makes the model more economically sound (such as rapid fluctuations of the market being represented by infinitesimal trading periods), but also leads to a significant simplification: the fundamental results of Black-Scholes theory are derived in full generality and with mathematical rigour, now at graduate level. The material has been repeatedly taught in a third-year course to econometricians.
| Author | : Sergio M. Focardi |
| Publisher | : John Wiley & Sons |
| Total Pages | : 802 |
| Release | : 2004-04-12 |
| Genre | : Business & Economics |
| ISBN | : 0471674230 |
Download The Mathematics of Financial Modeling and Investment Management Book in PDF, ePub and Kindle
the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.
| Author | : Cornelis W Oosterlee |
| Publisher | : World Scientific |
| Total Pages | : 1310 |
| Release | : 2019-10-29 |
| Genre | : Business & Economics |
| ISBN | : 1786347962 |
Download Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes Book in PDF, ePub and Kindle
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 [email protected].
| Author | : Imme Van Den Berg |
| Publisher | : World Scientific |
| Total Pages | : 150 |
| Release | : 2000-07-27 |
| Genre | : Business & Economics |
| ISBN | : 9814492779 |
Download Principles Of Infinitesinal Stochastic & Financial Analysis Book in PDF, ePub and Kindle
There has been a tremendous growth in the volume of financial transactions based on mathematics, reflecting the confidence in the Nobel-Prize-winning Black-Scholes option theory. Risks emanating from obligatory future payments are covered by a strategy of trading with amounts not determined by guessing, but by solving equations, and with prices not resulting from offer and demand, but from computation. However, the mathematical theory behind that suffers from inaccessibility. This is due to the complexity of the mathematical foundation of the Black-Scholes model, which is the theory of continuous-time stochastic processes: a thorough study of mathematical finance is considered to be possible only at postgraduate level.The setting of this book is the discrete-time version of the Black-Scholes model, namely the Cox-Ross-Rubinstein model. The book gives a complete description of its background, which is now only the theory of finite stochastic processes. The novelty lies in the fact that orders of magnitude — in the sense of nonstandard analysis — are imposed on the parameters of the model. This not only makes the model more economically sound (such as rapid fluctuations of the market being represented by infinitesimal trading periods), but also leads to a significant simplification: the fundamental results of Black-Scholes theory are derived in full generality and with mathematical rigour, now at graduate level. The material has been repeatedly taught in a third-year course to econometricians.
| Author | : Pierre Henry-Labordère |
| Publisher | : Chapman and Hall/CRC |
| Total Pages | : 0 |
| Release | : 2008-09-22 |
| Genre | : Mathematics |
| ISBN | : 9781420086997 |
Download Analysis, Geometry, and Modeling in Finance Book in PDF, ePub and Kindle
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available. Through the problem of option pricing, the author introduces powerful tools and methods, including differential geometry, spectral decomposition, and supersymmetry, and applies these methods to practical problems in finance. He mainly focuses on the calibration and dynamics of implied volatility, which is commonly called smile. The book covers the Black–Scholes, local volatility, and stochastic volatility models, along with the Kolmogorov, Schrödinger, and Bellman–Hamilton–Jacobi equations. Providing both theoretical and numerical results throughout, this book offers new ways of solving financial problems using techniques found in physics and mathematics.
