Option Convergence Rate With Geometric Random Walks Approximations PDF Download
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| Author | : Guillaume Leduc |
| Publisher | : |
| Total Pages | : |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Option Convergence Rate with Geometric Random Walks Approximations Book in PDF, ePub and Kindle
We describe a broad setting under which, for European options, if the underlying asset form a geometric random walk then, the error with respect to the Black-Scholes model converges to zero at a speed of 1/n for continuous payoffs functions, and at a speed of 1/√n for discontinuous payoffs functions.
| Author | : Jacob E. Goodman |
| Publisher | : Cambridge University Press |
| Total Pages | : 640 |
| Release | : 2005-08-08 |
| Genre | : Computers |
| ISBN | : 9780521848626 |
Download Combinatorial and Computational Geometry Book in PDF, ePub and Kindle
This 2005 book deals with interest topics in Discrete and Algorithmic aspects of Geometry.
| Author | : Serguei Popov |
| Publisher | : Cambridge University Press |
| Total Pages | : 224 |
| Release | : 2021-03-18 |
| Genre | : Mathematics |
| ISBN | : 1108472451 |
Download Two-Dimensional Random Walk Book in PDF, ePub and Kindle
A visual, intuitive introduction in the form of a tour with side-quests, using direct probabilistic insight rather than technical tools.
| Author | : Luc Devroye |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 242 |
| Release | : 2010-05-19 |
| Genre | : Mathematics |
| ISBN | : 3790825980 |
Download Recent Developments in Applied Probability and Statistics Book in PDF, ePub and Kindle
This book is devoted to Professor Jürgen Lehn, who passed away on September 29, 2008, at the age of 67. It contains invited papers that were presented at the Wo- shop on Recent Developments in Applied Probability and Statistics Dedicated to the Memory of Professor Jürgen Lehn, Middle East Technical University (METU), Ankara, April 23–24, 2009, which was jointly organized by the Technische Univ- sität Darmstadt (TUD) and METU. The papers present surveys on recent devel- ments in the area of applied probability and statistics. In addition, papers from the Panel Discussion: Impact of Mathematics in Science, Technology and Economics are included. Jürgen Lehn was born on the 28th of April, 1941 in Karlsruhe. From 1961 to 1968 he studied mathematics in Freiburg and Karlsruhe, and obtained a Diploma in Mathematics from the University of Karlsruhe in 1968. He obtained his Ph.D. at the University of Regensburg in 1972, and his Habilitation at the University of Karlsruhe in 1978. Later in 1978, he became a C3 level professor of Mathematical Statistics at the University of Marburg. In 1980 he was promoted to a C4 level professorship in mathematics at the TUD where he was a researcher until his death.
| Author | : Hans-Otto Georgii |
| Publisher | : Walter de Gruyter |
| Total Pages | : 381 |
| Release | : 2008-08-27 |
| Genre | : Mathematics |
| ISBN | : 3110206765 |
Download Stochastics Book in PDF, ePub and Kindle
This book is a translation of the third edition of the well accepted German textbook 'Stochastik', which presents the fundamental ideas and results of both probability theory and statistics, and comprises the material of a one-year course. The stochastic concepts, models and methods are motivated by examples and problems and then developed and analysed systematically.
| Author | : Dmitrii S. Silvestrov |
| Publisher | : Walter de Gruyter |
| Total Pages | : 520 |
| Release | : 2013-11-27 |
| Genre | : Mathematics |
| ISBN | : 3110329824 |
Download American-Type Options Book in PDF, ePub and Kindle
The book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The book also contains an extended bibliography of works in the area. This book is the first volume of the comprehensive two volumes monograph. The second volume will present results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.
| Author | : A. A. Borovkov |
| Publisher | : Cambridge University Press |
| Total Pages | : 437 |
| Release | : 2020-10-29 |
| Genre | : Mathematics |
| ISBN | : 1108901204 |
Download Asymptotic Analysis of Random Walks Book in PDF, ePub and Kindle
This is a companion book to Asymptotic Analysis of Random Walks: Heavy-Tailed Distributions by A.A. Borovkov and K.A. Borovkov. Its self-contained systematic exposition provides a highly useful resource for academic researchers and professionals interested in applications of probability in statistics, ruin theory, and queuing theory. The large deviation principle for random walks was first established by the author in 1967, under the restrictive condition that the distribution tails decay faster than exponentially. (A close assertion was proved by S.R.S. Varadhan in 1966, but only in a rather special case.) Since then, the principle has always been treated in the literature only under this condition. Recently, the author jointly with A.A. Mogul'skii removed this restriction, finding a natural metric for which the large deviation principle for random walks holds without any conditions. This new version is presented in the book, as well as a new approach to studying large deviations in boundary crossing problems. Many results presented in the book, obtained by the author himself or jointly with co-authors, are appearing in a monograph for the first time.
| Author | : Wolfgang Woess |
| Publisher | : Cambridge University Press |
| Total Pages | : 350 |
| Release | : 2000-02-13 |
| Genre | : Mathematics |
| ISBN | : 0521552923 |
Download Random Walks on Infinite Graphs and Groups Book in PDF, ePub and Kindle
The main theme of this book is the interplay between the behaviour of a class of stochastic processes (random walks) and discrete structure theory. The author considers Markov chains whose state space is equipped with the structure of an infinite, locally finite graph, or as a particular case, of a finitely generated group. The transition probabilities are assumed to be adapted to the underlying structure in some way that must be specified precisely in each case. From the probabilistic viewpoint, the question is what impact the particular type of structure has on various aspects of the behaviour of the random walk. Vice-versa, random walks may also be seen as useful tools for classifying, or at least describing the structure of graphs and groups. Links with spectral theory and discrete potential theory are also discussed. This book will be essential reading for all researchers working in stochastic process and related topics.
| Author | : Mikhail Menshikov |
| Publisher | : Cambridge University Press |
| Total Pages | : 385 |
| Release | : 2016-12-22 |
| Genre | : Mathematics |
| ISBN | : 1316867366 |
Download Non-homogeneous Random Walks Book in PDF, ePub and Kindle
Stochastic systems provide powerful abstract models for a variety of important real-life applications: for example, power supply, traffic flow, data transmission. They (and the real systems they model) are often subject to phase transitions, behaving in one way when a parameter is below a certain critical value, then switching behaviour as soon as that critical value is reached. In a real system, we do not necessarily have control over all the parameter values, so it is important to know how to find critical points and to understand system behaviour near these points. This book is a modern presentation of the 'semimartingale' or 'Lyapunov function' method applied to near-critical stochastic systems, exemplified by non-homogeneous random walks. Applications treat near-critical stochastic systems and range across modern probability theory from stochastic billiards models to interacting particle systems. Spatially non-homogeneous random walks are explored in depth, as they provide prototypical near-critical systems.
| Author | : Peter G. Doyle |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 159 |
| Release | : 1984-12-31 |
| Genre | : Electric network topology |
| ISBN | : 1614440220 |
Download Random Walks and Electric Networks Book in PDF, ePub and Kindle
Probability theory, like much of mathematics, is indebted to physics as a source of problems and intuition for solving these problems. Unfortunately, the level of abstraction of current mathematics often makes it difficult for anyone but an expert to appreciate this fact. Random Walks and electric networks looks at the interplay of physics and mathematics in terms of an example—the relation between elementary electric network theory and random walks —where the mathematics involved is at the college level.
