Business & Economics

Financial Mathematics

A Comprehensive Treatment

Author: Giuseppe Campolieti,Roman N. Makarov

Publisher: CRC Press

ISBN: 1315360489

Category: Business & Economics

Page: 829

View: 6202

Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones. Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.
Business & Economics

C++ for Financial Mathematics

Author: John Armstrong

Publisher: CRC Press

ISBN: 1498750079

Category: Business & Economics

Page: 410

View: 4690

If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples. As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures. The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master’s level course.
Computers

High-Performance Computing in Finance

Problems, Methods, and Solutions

Author: M. A. H. Dempster,Juho Kanniainen,John Keane,Erik Vynckier

Publisher: CRC Press

ISBN: 1315354691

Category: Computers

Page: 614

View: 7134

High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HPC resources available for different needs, ranging from cloud computing– that can be used without much expertise and expense – to more tailored hardware, such as Field-Programmable Gate Arrays (FPGAs) or D-Wave’s quantum computer systems. High-Performance Computing in Finance is the first book that provides a state-of-the-art introduction to HPC for finance, capturing both academically and practically relevant problems.
Mathematics

Optionsbewertung und Portfolio-Optimierung

Moderne Methoden der Finanzmathematik

Author: Ralf Korn,Elke Korn

Publisher: Springer-Verlag

ISBN: 332296888X

Category: Mathematics

Page: 294

View: 5823

Der Erwartungswert-Varianz-Ansatz nach Markowitz - Das zeitstetige Marktmodell (Wertpapierpreise, vollständige Märkte, Ito-Integral und Ito-Formel, Variation der Konstanten, Martingaldarstellungsatz) - Das Optionsbewertungsproblem (Duplikationsprinzip, Satz von Girsanov, Darstellungssatz von Feynman und Kac) - Das Portfolio-Problem in stetiger Zeit (Martingalmethode, HJB-Gleichung, stochastische Steuerung)
Mathematics

Stochastic Integrals

An Introduction

Author: Heinrich von Weizsäcker

Publisher: Springer-Verlag

ISBN: 3663139239

Category: Mathematics

Page: 332

View: 2828

Statistik II für Dummies

Author: Deborah Rumsey

Publisher: John Wiley & Sons

ISBN: 352770843X

Category:

Page: 371

View: 1000

Es gibt Qualen, verdammte Qualen und Statistik, so sehen es viele Studenten. Mit "Statistik II für Dummies" lernen Sie so leicht wie möglich. Deborah Rumsey zeigt Ihnen, wie Sie Varianzanalysen und Chi-Quadrat-Tests machen, wie Sie mit Regressionen arbeiten, ein Modell erstellen, Korrelationen bilden und vieles mehr. So lernen Sie die Methoden, die Sie brauchen, und erhalten das Handwerkszeug, erfolgreich Ihre Statistikprüfungen zu bestehen.
Mathematics

Programmieren mit R

Author: Uwe Ligges

Publisher: Springer-Verlag

ISBN: 3540267328

Category: Mathematics

Page: 237

View: 2897

R ist eine objekt-orientierte und interpretierte Sprache und Programmierumgebung für Datenanalyse und Grafik - frei erhältlich unter der GPL. Ziel dieses Buches ist es, nicht nur ausführlich in die Grundlagen der Sprache R einzuführen, sondern auch ein Verständnis der Struktur der Sprache zu vermitteln. Leicht können so eigene Methoden umgesetzt, Objektklassen definiert und ganze Pakete aus Funktionen und zugehöriger Dokumentation zusammengestellt werden. Die enormen Grafikfähigkeiten von R werden detailliert beschrieben. Das Buch richtet sich an alle, die R als flexibles Werkzeug zur Datenenalyse und -visualisierung einsetzen möchten: Studierende, die Daten in Projekten oder für ihre Diplomarbeit analysieren möchten, Forschende, die neue Methoden ausprobieren möchten, und diejenigen, die in der Wirtschaft täglich Daten aufbereiten, analysieren und anderen in komprimierter Form präsentieren.
Reference

Stichprobenverfahren

Author: William G. Cochran

Publisher: Walter de Gruyter

ISBN: 3110823004

Category: Reference

Page: 474

View: 4666

Mathematics

Wahrscheinlichkeitsrechnung und Statistik

Author: Robert Hafner

Publisher: Springer-Verlag

ISBN: 3709169445

Category: Mathematics

Page: 512

View: 1441

Das Buch ist eine Einführung in die Wahrscheinlichkeitsrechnung und mathematische Statistik auf mittlerem mathematischen Niveau. Die Pädagogik der Darstellung unterscheidet sich in wesentlichen Teilen – Einführung der Modelle für unabhängige und abhängige Experimente, Darstellung des Suffizienzbegriffes, Ausführung des Zusammenhanges zwischen Testtheorie und Theorie der Bereichschätzung, allgemeine Diskussion der Modellentwicklung – erheblich von der anderer vergleichbarer Lehrbücher. Die Darstellung ist, soweit auf diesem Niveau möglich, mathematisch exakt, verzichtet aber bewußt und ebenfalls im Gegensatz zu vergleichbaren Texten auf die Erörterung von Meßbarkeitsfragen. Der Leser wird dadurch erheblich entlastet, ohne daß wesentliche Substanz verlorengeht. Das Buch will allen, die an der Anwendung der Statistik auf solider Grundlage interessiert sind, eine Einführung bieten, und richtet sich an Studierende und Dozenten aller Studienrichtungen, für die mathematische Statistik ein Werkzeug ist.
Business & Economics

Interest Rate Modeling

Theory and Practice

Author: Lixin Wu

Publisher: Chapman and Hall/CRC Financial

ISBN: 9780815378914

Category: Business & Economics

Page: 496

View: 1819

Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods. Features Presents a complete cycle of model construction and applications, showing readers how to build and use models Incorporates high-power numerical methodologies Provides a systematic treatment of intriguing industrial issues, such as volatility and correlation adjustments Contains exercise sets and a number of examples, with many based on real market data Includes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustment New to the 2nd Edition: new topics highly relevant to the post-crisis market. Discussion of the dual-curved model developed by the author.
Computers

Kryptografie verständlich

Ein Lehrbuch für Studierende und Anwender

Author: Christof Paar,Jan Pelzl

Publisher: Springer-Verlag

ISBN: 3662492970

Category: Computers

Page: 416

View: 3673

Das Buch gibt eine umfassende Einführung in moderne angewandte Kryptografie. Es behandelt nahezu alle kryptografischen Verfahren mit praktischer Relevanz. Es werden symmetrische Verfahren (DES, AES, PRESENT, Stromchiffren), asymmetrische Verfahren (RSA, Diffie-Hellmann, elliptische Kurven) sowie digitale Signaturen, Hash-Funktionen, Message Authentication Codes sowie Schlüsselaustauschprotokolle vorgestellt. Für alle Krypto-Verfahren werden aktuelle Sicherheitseinschätzungen und Implementierungseigenschaften beschrieben.
Mathematics

Über Zahlen und Spiele

Author: John H. Conway

Publisher: Springer-Verlag

ISBN: 3322889971

Category: Mathematics

Page: 205

View: 1840

Business & Economics

Introduction to Risk Parity and Budgeting

Author: Thierry Roncalli

Publisher: CRC Press

ISBN: 148220715X

Category: Business & Economics

Page: 440

View: 2276

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies. Written by a well-known expert of asset management and risk parity, Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy. The first part of the book gives a theoretical account of portfolio optimization and risk parity. The author discusses modern portfolio theory and offers a comprehensive guide to risk budgeting. Each chapter in the second part presents an application of risk parity to a specific asset class. The text covers risk-based equity indexation (also called smart beta) and shows how to use risk budgeting techniques to manage bond portfolios. It also explores alternative investments, such as commodities and hedge funds, and applies risk parity techniques to multi-asset classes. The book’s first appendix provides technical materials on optimization problems, copula functions, and dynamic asset allocation. The second appendix contains 30 tutorial exercises. Solutions to the exercises, slides for instructors, and Gauss computer programs to reproduce the book’s examples, tables, and figures are available on the author’s website.
Mathematics

Graph Dynamics

Author: Erich Prisner

Publisher: CRC Press

ISBN: 9780582286962

Category: Mathematics

Page: 248

View: 8646

Study of "graph operators" or "graph-valued functions" such as the line graph, the clique graph, the complement, and powers, raises several immediate questions: Which graphs are fixed under the operator? Which graphs appear as images of graphs? What happens if the operator is iterated? Over the last 30 years these questions have been answered and methods developed for particular operators in literally hundreds of papers on the subject. Nowhere, however, could one find a comprehensive treatment-a unification of terminology, questions, and methods. Graph Dynamics provides that comprehensive treatment. Its purpose is threefold: it serves as an introductory textbook on the topic, offers an encyclopedic survey of the literature, and reports recent research-both new tools and results on concrete operators. Part I explicitly presents graph dynamics general theory, stating general principles illustrated by application to graph operators. Part 2 addresses the operators themselves. It lists all known graph operators grouped together in families and recounts, with complete references, all that is known about the dynamical behavior of these concrete operators. Graph Dynamics is the book you need if you are looking for information on a particular operator, need a text for advanced students, or want to review collected research results presented with a common terminology. It is clearly an essential resource for anyone working in or studying algebra, combinatorics, or graph theory.
Mathematics

Dirichlet Forms and Analysis on Wiener Space

Author: Nicolas Bouleau,Francis Hirsch

Publisher: Walter de Gruyter

ISBN: 311085838X

Category: Mathematics

Page: 335

View: 7237

The subject of this book is analysis on Wiener space by means of Dirichlet forms and Malliavin calculus. There are already several literature on this topic, but this book has some different viewpoints. First the authors review the theory of Dirichlet forms, but they observe only functional analytic, potential theoretical and algebraic properties. They do not mention the relation with Markov processes or stochastic calculus as discussed in usual books (e.g. Fukushima’s book). Even on analytic properties, instead of mentioning the Beuring-Deny formula, they discuss “carré du champ” operators introduced by Meyer and Bakry very carefully. Although they discuss when this “carré du champ” operator exists in general situation, the conditions they gave are rather hard to verify, and so they verify them in the case of Ornstein-Uhlenbeck operator in Wiener space later. (It should be noticed that one can easily show the existence of “carré du champ” operator in this case by using Shigekawa’s H-derivative.) In the part on Malliavin calculus, the authors mainly discuss the absolute continuity of the probability law of Wiener functionals. The Dirichlet form corresponds to the first derivative only, and so it is not easy to consider higher order derivatives in this framework. This is the reason why they discuss only the first step of Malliavin calculus. On the other hand, they succeeded to deal with some delicate problems (the absolute continuity of the probability law of the solution to stochastic differential equations with Lipschitz continuous coefficients, the domain of stochastic integrals (Itô-Ramer-Skorokhod integrals), etc.). This book focuses on the abstract structure of Dirichlet forms and Malliavin calculus rather than their applications. However, the authors give a lot of exercises and references and they may help the reader to study other topics which are not discussed in this book. Zentralblatt Math, Reviewer: S.Kusuoka (Hongo)