Download or read book A New Method of Employing the Principle of Maximum Entropy to Retrieve the Risk Neutral Density written by Leonidas Rompolis and published by . This book was released on 2017 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper suggests a new method of implementing the principle of maximum entropy to retrieve the risk neutral density of future stock, or any other asset, returns from European call and put prices. Instead of options prices used by previous studies the method maximizes the entropy measure subject to values of the risk neutral moments. These moments can be retrieved from market option prices in a first step, at each point of time. Compared to other existing methods of retrieving the risk neutral density based on the principle of maximum entropy, the benefits of the method that the paper suggests is the use of all the available information provided by the market more sufficiently. To evaluate the performance of the suggested method, the paper compares the new method proposed to other risk neutral density estimation techniques based on a number of simulation and empirical exercises.

Download or read book The Maximum Entropy Method written by Nailong Wu and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forty years ago, in 1957, the Principle of Maximum Entropy was first intro duced by Jaynes into the field of statistical mechanics. Since that seminal publication, this principle has been adopted in many areas of science and technology beyond its initial application. It is now found in spectral analysis, image restoration and a number of branches ofmathematics and physics, and has become better known as the Maximum Entropy Method (MEM). Today MEM is a powerful means to deal with ill-posed problems, and much research work is devoted to it. My own research in the area ofMEM started in 1980, when I was a grad uate student in the Department of Electrical Engineering at the University of Sydney, Australia. This research work was the basis of my Ph.D. the sis, The Maximum Entropy Method and Its Application in Radio Astronomy, completed in 1985. As well as continuing my research in MEM after graduation, I taught a course of the same name at the Graduate School, Chinese Academy of Sciences, Beijingfrom 1987to 1990. Delivering the course was theimpetus for developing a structured approach to the understanding of MEM and writing hundreds of pages of lecture notes.

Download or read book The Method Of Maximum Entropy written by Henryk Gzyl and published by World Scientific. This book was released on 1995-03-16 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is an outgrowth of a set of lecture notes on the maximum entropy method delivered at the 1st Venezuelan School of Mathematics. This yearly event aims at acquainting graduate students and university teachers with the trends, techniques and open problems of current interest. In this book the author reviews several versions of the maximum entropy method and makes its underlying philosophy clear.

Download or read book Maximum entropy Models in Science and Engineering written by Jagat Narain Kapur and published by John Wiley & Sons. This book was released on 1989 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Is The First Comprehensive Book About Maximum Entropy Principle And Its Applications To A Diversity Of Fields Like Statistical Mechanics, Thermo-Dynamics, Business, Economics, Insurance, Finance, Contingency Tables, Characterisation Of Probability Distributions (Univariate As Well As Multivariate, Discrete As Well As Continuous), Statistical Inference, Non-Linear Spectral Analysis Of Time Series, Pattern Recognition, Marketing And Elections, Operations Research And Reliability Theory, Image Processing, Computerised Tomography, Biology And Medicine. There Are Over 600 Specially Constructed Exercises And Extensive Historical And Bibliographical Notes At The End Of Each Chapter.The Book Should Be Of Interest To All Applied Mathematicians, Physicists, Statisticians, Economists, Engineers Of All Types, Business Scientists, Life Scientists, Medical Scientists, Radiologists And Operations Researchers Who Are Interested In Applying The Powerful Methodology Based On Maximum Entropy Principle In Their Respective Fields.

Download or read book Maximum Entropy in Action written by Brian Buck and published by Oxford : Clarendon Press ; New York : Oxford University Press. This book was released on 1991 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: The powerful new technique of maximum entropy, which has its roots in probability theory, provides a much needed extension of the established principles of rational inference in the sciences. It allows the interpretation of incomplete and noisy data, to provide a description of the underlying physical system, and has found application in both practical and theoretical studies ranging form image enhancement to nuclear physics, from statistical mechanics to economics. This book is a diverse collection of introductory articles based on a series of interdisciplinary lectures covering the fundamentals of the maximum entropy approach and Bayesian methods, as well as the application of the method to various problems of data analysis in the physical sciences.

Download or read book Entropy Measures Maximum Entropy Principle and Emerging Applications written by Karmeshu and published by Springer. This book was released on 2012-10-01 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last two decades have witnessed an enormous growth with regard to ap plications of information theoretic framework in areas of physical, biological, engineering and even social sciences. In particular, growth has been spectac ular in the field of information technology,soft computing,nonlinear systems and molecular biology. Claude Shannon in 1948 laid the foundation of the field of information theory in the context of communication theory. It is in deed remarkable that his framework is as relevant today as was when he 1 proposed it. Shannon died on Feb 24, 2001. Arun Netravali observes "As if assuming that inexpensive, high-speed processing would come to pass, Shan non figured out the upper limits on communication rates. First in telephone channels, then in optical communications, and now in wireless, Shannon has had the utmost value in defining the engineering limits we face". Shannon introduced the concept of entropy. The notable feature of the entropy frame work is that it enables quantification of uncertainty present in a system. In many realistic situations one is confronted only with partial or incomplete information in the form of moment, or bounds on these values etc. ; and it is then required to construct a probabilistic model from this partial information. In such situations, the principle of maximum entropy provides a rational ba sis for constructing a probabilistic model. It is thus necessary and important to keep track of advances in the applications of maximum entropy principle to ever expanding areas of knowledge.

Download or read book Beyond the Second Law written by Roderick C. Dewar and published by Springer. This book was released on 2013-12-02 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Second Law, a cornerstone of thermodynamics, governs the average direction of dissipative, non-equilibrium processes. But it says nothing about their actual rates or the probability of fluctuations about the average. This interdisciplinary book, written and peer-reviewed by international experts, presents recent advances in the search for new non-equilibrium principles beyond the Second Law, and their applications to a wide range of systems across physics, chemistry and biology. Beyond The Second Law brings together traditionally isolated areas of non-equilibrium research and highlights potentially fruitful connections between them, with entropy production playing the unifying role. Key theoretical concepts include the Maximum Entropy Production principle, the Fluctuation Theorem, and the Maximum Entropy method of statistical inference. Applications of these principles are illustrated in such diverse fields as climatology, cosmology, crystal growth morphology, Earth system science, environmental physics, evolutionary biology and technology, fluid turbulence, microbial biogeochemistry, plasma physics, and radiative transport, using a wide variety of analytical and experimental techniques. Beyond The Second Law will appeal to students and researchers wishing to gain an understanding of entropy production and its central place in the science of non-equilibrium systems – both in detail and in terms of the bigger picture.

Download or read book Applying Maximum Entropy to Econometric Problems written by R. Carter Hill and published by JAI Press Incorporated. This book was released on 1997-07-25 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Advances in Econometrics looks at applying maximum entropy to econometric problems and consists of two sections: the first section contains papers developing econometric methods based on the entropy principle; an interesting array of applications is presented in the second section of the volume.

Download or read book The Generalized Maximum Entropy Principle with Applications written by Jagat Narain Kapur and published by . This book was released on 1987 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Maximum entropy and Bayesian methods in inverse problems written by Clyde Ray Smith and published by . This book was released on 1985 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Entropy 181 Success Secrets 181 Most Asked Questions on Entropy What You Need to Know written by Tammy Rush and published by Emereo Publishing. This book was released on 2015-01-21 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finally, a new Entropy Guide. There has never been a Entropy Guide like this. It contains 181 answers, much more than you can imagine; comprehensive answers and extensive details and references, with insights that have never before been offered in print. Get the information you need--fast! This all-embracing guide offers a thorough view of key knowledge and detailed insight. This Guide introduces what you want to know about Entropy. A quick look inside of some of the subjects covered: Entropy (energy dispersal) - Problem: entropy as disorder is hard to teach, Entropy of mixing, Measuring instrument - Entropy, Quantum entanglement - Entropy, Entropy and life, Entropy (computing) - Practical implications, Entropy (disambiguation) - Games, Entropy (computing) - Linux kernel, Non-equilibrium thermodynamics - Prigogine's proposed theorem of minimum entropy production, Non-equilibrium thermodynamics - Entropy in evolving systems, Entropy of mixing - Mixing with and without change of available volume, Entropy (disambiguation) - Interdisciplinary applications of entropy, Entropy and life - Objections, Maximum entropy probability distribution, Automatic summarization - Maximum entropy-based summarization, Entropy of mixing - Application to solutions, Maximum entropy probability distribution - A theorem by Boltzmann, History of entropy - Terminology overlap, Measuring instrument - Entropy content, Black hole entropy, Life extension - Reversal of informational entropy, Entropy (Buffy the Vampire Slayer) - Plot synopsis, Maximum entropy method - Compatibility with Bayes' theorem, Entropy (statistical thermodynamics), Entropy in thermodynamics and information theory - Landauer's principle, History of entropy - Popular use, Negentropy, Measuring instrument - Entropy production, Gas - Maximum entropy principle, and much more...

Download or read book Principle of Maximum Entropy and Irreversible Processes written by Walter T. Grandy and published by . This book was released on 1980 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Maximum Entropy Principle in the General Framework of the Band Method written by Israel' Cudikovič Gohberg and published by . This book was released on 1989 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Applications of the Maximum Entropy Principle to Time Dependent Processes written by Johann-Heinrich Christiaan Schonfeldt and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The maximum entropy principle, pioneered by Jaynes, provides a method for finding the least biased probability distribution for the description of a system or process, given as prior information the expectation values of a set (in general, a small number) of relevant quantities associated with the system. The maximum entropy method was originally advanced by Jaynes as the basis of an information theory inspired foundation for equilibrium statistical mechanics. It was soon realised that the method is very useful to tackle several problems in physics and other fields. In particular it constitutes a powerful tool for obtaining approximate and sometimes exact solutions to several important partial differential equations of theoretical physics. In Chapter 1 a brief review of Shannon's information measure and Jaynes' maximum entropy formalism is provided. As an illustration of the maximum entropy principle a brief explanation of how it can be used to derive the standard grand canonical formalism in statistical mechanics is given. The work leading up to this thesis has resulted in the following publications in peer-review research journals: J.-H. Sch??nfeldt and A.R. Plastino, Maximum entropy approach to the collisional Vlasov equation: Exact solutions, Physica A, 369 (2006) 408-416, J.-H. Sch??nfeldt, N. Jimenez, A.R. Plastino, A. Plastino and M. Casas, Maximum entropy principle and classical evolution equations with source terms, Physica A, 374 (2007) 573-584, J.-H. Sch??nfeldt, G.B. Roston, A.R. Plastino and A. Plastino, Maximum entropy principle, evolution equations, and physics education, Rev. Mex. Fis. E, 52 (2)(2006) 151-159. Chapter 2 is based on Sch??nfeldt and Plastino (2006). Two different ways for obtaining exact maximum entropy solutions for a reduced collisional Vlasov equation endowed with a Fokker-Planck like collision term are investigated. Chapter 3 is based on Sch??nfeldt et al. (2007). Most applications of the maximum entropy principle to time dependent scenarios involved evolution equations exhibiting the form of a continuity equations and, consequently, preserving normalization in time. In Chapter 3 the maximum entropy principle is applied to evolution equations with source terms and, consequently, not preserving normalization. We explore in detail the structure and main properties of the dynamical equations connecting the time dependent relevant mean values, the associated Lagrange multipliers, the partition function, and the entropy of the maximum entropy scheme. In particular, we compare the H-theorems verified by the maximum entropy approximate solutions with the Htheorems verified by the exact solutions. Chapter 4 is based on Sch??nfeldt et al. (2006). In chapter 4 it is discussed how the maximum entropy principle can be incorporated into the teaching of aspects of theoretical physics related to, but not restricted to, statistical mechanics. We focus our attention on the study of maximum entropy solutions to evolution equations that exhibit the form of continuity equations (eg. Liouville equation, the diffusion equation the Fokker-Planck equation, etc.).

Download or read book Axiomatic Derivation of the Principle of Maximum Entropy and the Principle of Minimum Cross Entropy written by John E. Shore and published by . This book was released on 1978 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: We prove that, in a well-defined sense, Jaynes's principle of maximum entropy and Kullback's principle of minimum cross-entropy (minimum directed divergence) provide uniquely correct, general methods of inductive inference when new information is given in the form of expected values. Previous justifications rely heavily on intuitive arguments and on the properties of entropy and cross-entropy as information measures. Our approach assumes that reasonable methods of inductive inference should lead to consistent results whenever there are different ways of taking the same information into account --- for example, in different coordinate systems. We formalize this requirement as four consistency axioms stated in terms of an abstract information operator; the axioms make no reference to information measures. We establish this result both directly and as a special case (uniform priors) of an analogous, more general result for the principle of minimum cross-entropy. We obtain results both for continuous probability densities and for discrete distributions.

Download or read book Relative Entropy Minimization with Uncertain Constraints Theory and Application to Spectrum Analysis written by R. W. Johnson and published by . This book was released on 1984 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relative-entropy principle ('principle of minimum cross entropy') is a provably optimal information theoretic method for inferring a probability density from an initial ('prior') estimate together with constraint information that confines the density to a specified convex set. Typically the constraint information takes the form of linear equations that specify the expectation values of given functions. This paper discusses the effect of replacing such linear-equality constraints with quadratic constraints that require linear constraints to hold approximately, to within a specified error bound. The results are applied to the derivation of a new multisignal spectrum-analysis method that simultaneously estimates a number of power spectra given: (1) an initial estimate of each; (2) imprecise values of the autocorrelation function of their sum; (3) estimates of the error in measurement of the autocorrelation values. One application is to separate estimation of the spectra of a signal and independent additive noise, based on imprecise measurements of the autocorrelations of the signal plus noise. The new method is an extension of multisignal relative-entropy spectrum analysis (with exact auto-correlations). The two methods are compared, and connections with previous related work are indicated. Mathematical properties of the new method are discussed, and an illustrative numerical example is presented. Originator-supplied keywords include: Maximum entropy, cross entropy, Relative entropy, Information theory, Prior estimates, and Initial estimates.

Download or read book Maximum Entropy Method in the Space angle Domain and a New Technique with Superior Performance written by Ajay K. Luthra and published by . This book was released on 1981 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: