Download or read book Advanced Smile Asymptotics Geometry Geodesics and All That written by Alan Lewis and published by . This book was released on 2021-08-28 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is chapter 12 from "Option Valuation under Stochastic Volatility II". It discusses the general principles for the construction of the limiting time-0 option smile in stochastic volatility models. It constructs in detail the limiting smile for the case where the volatility process is of CEV-type with an arbitrary volatility power p. Solutions are found using ideas from Riemannian geometry and related theory. The material should interest students and researchers who have an interest in quantitative finance. It also contains the preface, full bibliography and full table of contents of the source book from which the chapter is drawn.

Download or read book Option Valuation Under Stochastic Volatility II written by Alan L. Lewis and published by . This book was released on 2016-05-12 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility." It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more. It provides approximately 750 pages of original research in 26 chapters, with 165 illustrations, Mathematica, and some C/C++ codes. The first 12 chapters (550 pages) are completely new. Also included are reprints of selected previous publications of the author for convenient reference. The book should interest both researchers and quantitatively-oriented investors and traders. First 12 chapters: Slow Reflection, Jump-Returns, & Short-term Interest Rates Spectral Theory for Jump-diffusions Joint Time Series Modelling of SPX and VIX Modelling VIX Options (and Futures) under Stochastic Volatility Stochastic Volatility as a Hidden Markov Model Continuous-time Inference: Mathematical Methods and Worked Examples A Closer Look at the Square-root and 3/2-model A Closer Look at the SABR Model Back to Basics: An Update on the Discrete Dividend Problem PDE Numerics without the Pain Exact Solution to Double Barrier Problems under a Class of Processes Advanced Smile Asymptotics: Geometry, Geodesics, and All That

Download or read book Analysis Geometry and Modeling in Finance written by Pierre Henry-Labordere and published by CRC Press. This book was released on 2008-09-22 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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, th

Download or read book Geometry and Invariance in Stochastic Dynamics written by Stefania Ugolini and published by Springer Nature. This book was released on 2022-02-09 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book grew out of the Random Transformations and Invariance in Stochastic Dynamics conference held in Verona from the 25th to the 28th of March 2019 in honour of Sergio Albeverio. It presents the new area of studies concerning invariance and symmetry properties of finite and infinite dimensional stochastic differential equations.This area constitutes a natural, much needed, extension of the theory of classical ordinary and partial differential equations, where the reduction theory based on symmetry and invariance of such classical equations has historically proved to be very important both for theoretical and numerical studies and has given rise to important applications. The purpose of the present book is to present the state of the art of the studies on stochastic systems from this point of view, present some of the underlying fundamental ideas and methods involved, and to outline the main lines for future developments. The main focus is on bridging the gap between deterministic and stochastic approaches, with the goal of contributing to the elaboration of a unified theory that will have a great impact both from the theoretical point of view and the point of view of applications. The reader is a mathematician or a theoretical physicist. The main discipline is stochastic analysis with profound ideas coming from Mathematical Physics and Lie’s Group Geometry. While the audience consists essentially of academicians, the reader can also be a practitioner with Ph.D., who is interested in efficient stochastic modelling.

Download or read book Option Valuation Under Stochastic Volatility written by Alan L. Lewis and published by . This book was released on 2000 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Geometry Relativity and the Fourth Dimension written by Rudolf Rucker and published by Courier Corporation. This book was released on 2012-06-08 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exposition of fourth dimension, concepts of relativity as Flatland characters continue adventures. Topics include curved space time as a higher dimension, special relativity, and shape of space-time. Includes 141 illustrations.

Download or read book Capital as Power written by Jonathan Nitzan and published by Routledge. This book was released on 2009-06-02 with total page 853 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conventional theories of capitalism are mired in a deep crisis: after centuries of debate, they are still unable to tell us what capital is. Liberals and Marxists both think of capital as an ‘economic’ entity that they count in universal units of ‘utils’ or ‘abstract labour’, respectively. But these units are totally fictitious. Nobody has ever been able to observe or measure them, and for a good reason: they don’t exist. Since liberalism and Marxism depend on these non-existing units, their theories hang in suspension. They cannot explain the process that matters most – the accumulation of capital. This book offers a radical alternative. According to the authors, capital is not a narrow economic entity, but a symbolic quantification of power. It has little to do with utility or abstract labour, and it extends far beyond machines and production lines. Capital, the authors claim, represents the organized power of dominant capital groups to reshape – or creorder – their society. Written in simple language, accessible to lay readers and experts alike, the book develops a novel political economy. It takes the reader through the history, assumptions and limitations of mainstream economics and its associated theories of politics. It examines the evolution of Marxist thinking on accumulation and the state. And it articulates an innovative theory of ‘capital as power’ and a new history of the ‘capitalist mode of power’.

Download or read book Foundations of Garside Theory written by Patrick Dehornoy and published by Erich Schmidt Verlag GmbH & Co. KG. This book was released on 2015 with total page 714 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text is a monograph on algebra, with connections to geometry and low-dimensional topology. It mainly involves groups, monoids, and categories, and aims to provide a unified treatment for those situations in which one can find distinguished decompositions by iteratively extracting a maximal fragment lying in a prescribed family. Initiated in 1969 by F. A. Garside in the case of Artin's braid groups, this approach led to interesting results in a number of cases, the central notion being what the authors call a Garside family. The study is far from complete, and the purpose of this book is to present the current state of the theory and to invite further research. The book has two parts: In Part A, the bases of a general theory, including many easy examples, are developed. In Part B, various more sophisticated examples are specifically addressed. To make the content accessible to a wide audience of nonspecialists, the book's exposition is essentially self-contained and very few prerequisites are needed. In particular, it should be easy to use this as a textbook both for Garside theory and for the more specialized topics investigated in Part B: Artin-Tits groups, Deligne-Lusztig varieties, groups of algebraic laws, ordered groups, and structure groups of set-theoretic solutions of the Yang-Baxter equation. The first part of the book can be used as the basis for a graduate or advanced undergraduate course.

Download or read book Large Deviations and Asymptotic Methods in Finance written by Peter K. Friz and published by Springer. This book was released on 2015-06-16 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility asymptotics, local volatility extrapolation, systemic risk and volatility estimation. This volume gathers together ground-breaking results in this field by some of its leading experts. Over the past decade, asymptotic methods have played an increasingly important role in the study of the behaviour of (financial) models. These methods provide a useful alternative to numerical methods in settings where the latter may lose accuracy (in extremes such as small and large strikes, and small maturities), and lead to a clearer understanding of the behaviour of models, and of the influence of parameters on this behaviour. Graduate students, researchers and practitioners will find this book very useful, and the diversity of topics will appeal to people from mathematical finance, probability theory and differential geometry.

Download or read book Quantum Field Theory in a Nutshell written by Anthony Zee and published by Princeton University Press. This book was released on 2010-02-01 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully updated edition of the classic text by acclaimed physicist A. Zee Since it was first published, Quantum Field Theory in a Nutshell has quickly established itself as the most accessible and comprehensive introduction to this profound and deeply fascinating area of theoretical physics. Now in this fully revised and expanded edition, A. Zee covers the latest advances while providing a solid conceptual foundation for students to build on, making this the most up-to-date and modern textbook on quantum field theory available. This expanded edition features several additional chapters, as well as an entirely new section describing recent developments in quantum field theory such as gravitational waves, the helicity spinor formalism, on-shell gluon scattering, recursion relations for amplitudes with complex momenta, and the hidden connection between Yang-Mills theory and Einstein gravity. Zee also provides added exercises, explanations, and examples, as well as detailed appendices, solutions to selected exercises, and suggestions for further reading. The most accessible and comprehensive introductory textbook available Features a fully revised, updated, and expanded text Covers the latest exciting advances in the field Includes new exercises Offers a one-of-a-kind resource for students and researchers Leading universities that have adopted this book include: Arizona State University Boston University Brandeis University Brown University California Institute of Technology Carnegie Mellon College of William & Mary Cornell Harvard University Massachusetts Institute of Technology Northwestern University Ohio State University Princeton University Purdue University - Main Campus Rensselaer Polytechnic Institute Rutgers University - New Brunswick Stanford University University of California - Berkeley University of Central Florida University of Chicago University of Michigan University of Montreal University of Notre Dame Vanderbilt University Virginia Tech University

Download or read book A Celebration of Algebraic Geometry written by Brendan Hassett and published by American Mathematical Soc.. This book was released on 2013-09-11 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume resulted from the conference A Celebration of Algebraic Geometry, which was held at Harvard University from August 25-28, 2011, in honor of Joe Harris' 60th birthday. Harris is famous around the world for his lively textbooks and enthusiastic teaching, as well as for his seminal research contributions. The articles are written in this spirit: clear, original, engaging, enlivened by examples, and accessible to young mathematicians. The articles in this volume focus on the moduli space of curves and more general varieties, commutative algebra, invariant theory, enumerative geometry both classical and modern, rationally connected and Fano varieties, Hodge theory and abelian varieties, and Calabi-Yau and hyperkähler manifolds. Taken together, they present a comprehensive view of the long frontier of current knowledge in algebraic geometry. Titles in this series are co-published with the Clay Mathematics Institute (Cambridge, MA).

Download or read book Vision Algorithms Theory and Practice written by Bill Triggs and published by Springer Science & Business Media. This book was released on 2000-09-06 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed post-workshop proceedings of the International Workshop on Vision Algorithms held in Corfu, Greece in September 1999 in conjunction with ICCV'99. The 15 revised full papers presented were carefully reviewed and selected from 65 submissions; each paper is complemented by a brief transcription of the discussion that followed its presentation. Also included are two invited contributions and two expert reviews as well as a panel discussion. The volume spans the whole range of algorithms for geometric vision. The authors and volume editors succeeded in providing added value beyond a mere collection of papers and made the volume a state-of-the-art survey of their field.

Download or read book Worlds of Flow written by Olivier Darrigol and published by Oxford University Press. This book was released on 2005-09 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the first fully-fledged history of hydrodynamics, including lively accounts of the concrete problems of hydraulics, navigation, blood circulation, meteorology, and aeronautics that motivated the main conceptual innovations. Richly illustrated, technically competent, and philosophically sensitive, it should attract a broad audience and become a standard reference for any one interested in fluid mechanics.

Download or read book Matvei Petrovich Bronstein and Soviet Theoretical Physics in the Thirties written by Gennady E. Gorelik and published by Birkhäuser. This book was released on 2012-12-06 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The true history of physics can only be read in the life stories of those who made its progress possible. Matvei Bronstein was one of those for whom the vast territory of theoretical physics was as familiar as his own home: he worked in cosmology, nuclear physics, gravitation, semiconductors, atmospheric physics, quantum electrodynamics, astro physics and the relativistic quantum theory. Everyone who knew him was struck by his wide knowledge, far beyond the limits of his trade. This partly explains why his life was closely intertwined with the social, historical and scientific context of his time. One might doubt that during his short life Bronstein could have made truly weighty contributions to science and have become, in a sense, a symbol ofhis time. Unlike mathematicians and poets, physicists reach the peak oftheir careers after the age of thirty. His thirty years of life, however, proved enough to secure him a place in theGreaterSovietEncyclopedia. In 1967, in describing the first generation of physicists educated after the 1917 revolution, Igor Tamm referred to Bronstein as "an exceptionally brilliant and promising" theoretician [268].

Download or read book The Algorithm Design Manual written by Steven S Skiena and published by Springer Science & Business Media. This book was released on 2009-04-05 with total page 742 pages. Available in PDF, EPUB and Kindle. Book excerpt: This newly expanded and updated second edition of the best-selling classic continues to take the "mystery" out of designing algorithms, and analyzing their efficacy and efficiency. Expanding on the first edition, the book now serves as the primary textbook of choice for algorithm design courses while maintaining its status as the premier practical reference guide to algorithms for programmers, researchers, and students. The reader-friendly Algorithm Design Manual provides straightforward access to combinatorial algorithms technology, stressing design over analysis. The first part, Techniques, provides accessible instruction on methods for designing and analyzing computer algorithms. The second part, Resources, is intended for browsing and reference, and comprises the catalog of algorithmic resources, implementations and an extensive bibliography. NEW to the second edition: • Doubles the tutorial material and exercises over the first edition • Provides full online support for lecturers, and a completely updated and improved website component with lecture slides, audio and video • Contains a unique catalog identifying the 75 algorithmic problems that arise most often in practice, leading the reader down the right path to solve them • Includes several NEW "war stories" relating experiences from real-world applications • Provides up-to-date links leading to the very best algorithm implementations available in C, C++, and Java

Download or read book Towards a Theory of Spacetime Theories written by Dennis Lehmkuhl and published by Birkhäuser. This book was released on 2017-01-05 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: This contributed volume is the result of a July 2010 workshop at the University of Wuppertal Interdisciplinary Centre for Science and Technology Studies which brought together world-wide experts from physics, philosophy and history, in order to address a set of questions first posed in the 1950s: How do we compare spacetime theories? How do we judge, objectively, which is the “best” theory? Is there even a unique answer to this question? The goal of the workshop, and of this book, is to contribute to the development of a meta-theory of spacetime theories. Such a meta-theory would reveal insights about specific spacetime theories by distilling their essential similarities and differences, deliver a framework for a class of theories that could be helpful as a blueprint to build other meta-theories, and provide a higher level viewpoint for judging which theory most accurately describes nature. But rather than drawing a map in broad strokes, the focus is on particularly rich regions in the “space of spacetime theories.” This work will be of interest to physicists, as well as philosophers and historians of science working with or interested in General Relativity and/or Space, Time and Gravitation more generally.

Download or read book Mind and Nature written by Hermann Weyl and published by University of Pennsylvania Press. This book was released on 2015-09-30 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new study of the mathematical-physical mode of cognition.