Download or read book Novel Methods in Computational Finance written by Matthias Ehrhardt and published by Springer. This book was released on 2017-09-19 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.

Download or read book Computational Sciences Modelling Computing and Soft Computing written by Ashish Awasthi and published by Springer Nature. This book was released on 2021-07-27 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes revised and selected papers of the First International Conference on Computational Sciences - Modelling, Computing and Soft Computing, held in Kozhikode, Kerala, India, in September 2020. The 15 full papers and 6 short papers presented were thoroughly reviewed and selected from the 150 submissions. They are organized in the topical secions on computing; soft computing; general computing; modelling.

Download or read book Recent Advances in Mathematical and Statistical Methods written by D. Marc Kilgour and published by Springer. This book was released on 2018-11-04 with total page 622 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the recent development of methodologies and computation methods in mathematical and statistical modelling, computational science and applied mathematics. It emphasizes the development of theories and applications, and promotes interdisciplinary endeavour among mathematicians, statisticians, scientists, engineers and researchers from other disciplines. The book provides ideas, methods and tools in mathematical and statistical modelling that have been developed for a wide range of research fields, including medical, health sciences, biology, environmental science, engineering, physics and chemistry, finance, economics and social sciences. It presents original results addressing real-world problems. The contributions are products of a highly successful meeting held in August 2017 on the main campus of Wilfrid Laurier University, in Waterloo, Canada, the International Conference on Applied Mathematics, Modeling and Computational Science (AMMCS-2017). They make this book a valuable resource for readers interested not only in a broader overview of the methods, ideas and tools in mathematical and statistical approaches, but also in how they can attain valuable insights into problems arising in other disciplines.

Download or read book Progress in Industrial Mathematics at ECMI 2021 written by Matthias Ehrhardt and published by Springer Nature. This book was released on 2022-11-25 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers peer-reviewed contributions submitted to the 21st European Conference on Mathematics for Industry, ECMI 2021, which was virtually held online, hosted by the University of Wuppertal, Germany, from April 13th to April 15th, 2021. The works explore mathematics in a wide variety of applications, ranging from problems in electronics, energy and the environment, to mechanics and mechatronics. Topics covered include: Applied Physics, Biology and Medicine, Cybersecurity, Data Science, Economics, Finance and Insurance, Energy, Production Systems, Social Challenges, and Vehicles and Transportation. The goal of the European Consortium for Mathematics in Industry (ECMI) conference series is to promote interaction between academia and industry, leading to innovations in both fields. These events have attracted leading experts from business, science and academia, and have promoted the application of novel mathematical technologies to industry. They have also encouraged industrial sectors to share challenging problems where mathematicians can provide fresh insights and perspectives. Lastly, the ECMI conferences are one of the main forums in which significant advances in industrial mathematics are presented, bringing together prominent figures from business, science and academia to promote the use of innovative mathematics in industry.

Download or read book Progress in Industrial Mathematics at ECMI 2014 written by Giovanni Russo and published by Springer. This book was released on 2017-09-04 with total page 1139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a collection of papers emphasizing applications of mathematical models and methods to real-world problems of relevance for industry, life science, environment, finance and so on. The biannual Conference of ECMI (the European Consortium of Mathematics in Industry) held in 2014 focused on various aspects of industrial and applied mathematics. The five main topics addressed at the conference were mathematical models in life science, material science and semiconductors, mathematical methods in the environment, design automation and industrial applications, and computational finance. Several other topics have been treated, such as, among others, optimization and inverse problems, education, numerical methods for stiff pdes, model reduction, imaging processing, multi physics simulation, mathematical models in textile industry. The conference, which brought together applied mathematicians and experts from industry, provided a unique opportunity to exchange ideas, problems and methodologies, bridging the gap between mathematics and industry and contributing to the advancement of science and technology. The conference has included a presentation of EU-Maths-In (European Network of Mathematics for Industry and Innovation), a recent joint initiative of ECMI and EMS. The proceedings from this conference represent a snapshot of the current activity in industrial mathematics in Europe, and are highly relevant to anybody interested in the latest applications of mathematics to industrial problems.

Download or read book Progress in Industrial Mathematics at ECMI 2010 written by Michael Günther and published by Springer Science & Business Media. This book was released on 2012-04-05 with total page 613 pages. Available in PDF, EPUB and Kindle. Book excerpt: ECMI, the European Consortium for Mathematics in Industry, is the European brand associated with applied mathematics for industry and organizes highly successful biannual conferences. In this series, the ECMI 2010, the 16th European Conference on Mathematics for Industry, was held in the historic city hall of Wuppertal in Germany. It covered the mathematics of a wide range of applications and methods, from circuit and electromagnetic device simulation to model order reduction for chip design, uncertainties and stochastics, production, fluids, life and environmental sciences, and dedicated and versatile methods. These proceedings of ECMI 2010 emphasize mathematics as an innovation enabler for industry and business, and as an absolutely essential pre-requiste for Europe on its way to becoming the leading knowledge-based economy in the world.

Download or read book Spectral and High Order Methods for Partial Differential Equations ICOSAHOM 2012 written by Mejdi Azaïez and published by Springer Science & Business Media. This book was released on 2013-11-19 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book contains a selection of high quality papers, chosen among the best presentations during the International Conference on Spectral and High-Order Methods (2012), and provides an overview of the depth and breath of the activities within this important research area. The carefully reviewed selection of the papers will provide the reader with a snapshot of state-of-the-art and help initiate new research directions through the extensive bibliography. ​

Download or read book Progress in Industrial Mathematics at ECMI 2018 written by István Faragó and published by Springer Nature. This book was released on 2019-11-22 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores mathematics in a wide variety of applications, ranging from problems in electronics, energy and the environment, to mechanics and mechatronics. The book gathers 81 contributions submitted to the 20th European Conference on Mathematics for Industry, ECMI 2018, which was held in Budapest, Hungary in June 2018. The application areas include: Applied Physics, Biology and Medicine, Cybersecurity, Data Science, Economics, Finance and Insurance, Energy, Production Systems, Social Challenges, and Vehicles and Transportation. In turn, the mathematical technologies discussed include: Combinatorial Optimization, Cooperative Games, Delay Differential Equations, Finite Elements, Hamilton-Jacobi Equations, Impulsive Control, Information Theory and Statistics, Inverse Problems, Machine Learning, Point Processes, Reaction-Diffusion Equations, Risk Processes, Scheduling Theory, Semidefinite Programming, Stochastic Approximation, Spatial Processes, System Identification, and Wavelets. The goal of the European Consortium for Mathematics in Industry (ECMI) conference series is to promote interaction between academia and industry, leading to innovations in both fields. These events have attracted leading experts from business, science and academia, and have promoted the application of novel mathematical technologies to industry. They have also encouraged industrial sectors to share challenging problems where mathematicians can provide fresh insights and perspectives. Lastly, the ECMI conferences are one of the main forums in which significant advances in industrial mathematics are presented, bringing together prominent figures from business, science and academia to promote the use of innovative mathematics in industry.

Download or read book Pricing Derivatives Under L vy Models written by Andrey Itkin and published by Birkhäuser. This book was released on 2017-02-27 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to the theory of finite-difference schemes, is new as applied to the Lévy processes in finance, and is herein presented for the first time in a single volume. The results within, developed in a series of research papers, are collected and arranged together with the necessary background material from Lévy processes, the modern theory of finite-difference schemes, the theory of M-matrices and EM-matrices, etc., thus forming a self-contained work that gives the reader a smooth introduction to the subject. For readers with no knowledge of finance, a short explanation of the main financial terms and notions used in the book is given in the glossary. The latter part of the book demonstrates the efficacy of the method by solving some typical problems encountered in computational finance, including structural default models with jumps, and local stochastic volatility models with stochastic interest rates and jumps. The author also adds extra complexity to the traditional statements of these problems by taking into account jumps in each stochastic component while all jumps are fully correlated, and shows how this setting can be efficiently addressed within the framework of the new method. Written for non-mathematicians, this book will appeal to financial engineers and analysts, econophysicists, and researchers in applied numerical analysis. It can also be used as an advance course on modern finite-difference methods or computational finance.

Download or read book Proceedings of the Ninth International Conference on Mathematics and Computing written by Debasis Giri and published by Springer Nature. This book was released on 2023-07-31 with total page 433 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book features selected papers from the 9th International Conference on Mathematics and Computing (ICMC 2023), organized at BITS Pilani K. K. Birla Goa Campus, India, during 6–8 January 2023. It covers recent advances in the field of mathematics, statistics, and scientific computing. The book presents innovative work by leading academics, researchers, and experts from industry in mathematics, statistics, cryptography, network security, cybersecurity, machine learning, data analytics, and blockchain technology in computer science and information technology.

Download or read book Advances in Finance and Stochastics written by Klaus Sandmann and published by Springer Science & Business Media. This book was released on 2002-04-23 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.

Download or read book ICT Systems and Sustainability written by Milan Tuba and published by Springer Nature. This book was released on 2022-10-31 with total page 814 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new technologies and discusses future solutions for ICT design infrastructures, as reflected in high-quality papers presented at the 7th International Conference on ICT for Sustainable Development (ICT4SD 2022), held in Goa, India, on 29–30 July 2022. The book covers the topics such as big data and data mining, data fusion, IoT programming toolkits and frameworks, green communication systems and network, use of ICT in smart cities, sensor networks and embedded system, network and information security, wireless and optical networks, security, trust, and privacy, routing and control protocols, cognitive radio and networks, and natural language processing. Bringing together experts from different countries, the book explores a range of central issues from an international perspective.

Download or read book The Heston Model and its Extensions in Matlab and C written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2013-08-01 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource provides a thorough derivation of the original model, and includes the most important extensions and refinements that have allowed the model to produce option prices that are more accurate and volatility surfaces that better reflect market conditions. The book's material is drawn from research papers and many of the models covered and the computer codes are unavailable from other sources. The book is light on theory and instead highlights the implementation of the models. All of the models found here have been coded in Matlab and C#. This reliable resource offers an understanding of how the original model was derived from Ricatti equations, and shows how to implement implied and local volatility, Fourier methods applied to the model, numerical integration schemes, parameter estimation, simulation schemes, American options, the Heston model with time-dependent parameters, finite difference methods for the Heston PDE, the Greeks, and the double Heston model. A groundbreaking book dedicated to the exploration of the Heston model—a popular model for pricing equity derivatives Includes a companion website, which explores the Heston model and its extensions all coded in Matlab and C# Written by Fabrice Douglas Rouah a quantitative analyst who specializes in financial modeling for derivatives for pricing and risk management Engaging and informative, this is the first book to deal exclusively with the Heston Model and includes code in Matlab and C# for pricing under the model, as well as code for parameter estimation, simulation, finite difference methods, American options, and more.

Download or read book Computational Science and Its Applications ICCSA 2023 written by Osvaldo Gervasi and published by Springer Nature. This book was released on 2023-06-29 with total page 819 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume set LNCS 13956 and 13957 constitutes the refereed proceedings of the 23rd International Conference on Computational Science and Its Applications, ICCSA 2023, held at Lesvos Island, Greece, during July 3–6, 2023. The 67 full papers and 13 short papers and 6 PHD showcase papers included in this volume were carefully reviewed and selected from a total of 283 submissions. The contributions are grouped in topics which deal with General Track 1: Computational Methods, Algorithms and Scientific Applications; General Track 2: High Performance Computing and Networks; General Track 3: Geometric Modeling, Graphics and Visualization; General Track 4: Advanced and Emerging Applications; General Track 5: Information Systems and Technologies; General Track 6: Urban and Regional Planning; and PHD Showcase Papers.

Download or read book Finite Difference Methods in Financial Engineering written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2013-10-28 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

Download or read book Mathematical Analysis and its Applications written by P. N. Agrawal and published by Springer. This book was released on 2015-08-22 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses recent developments in and the latest research on mathematics, statistics and their applications. All contributing authors are eminent academics, scientists, researchers and scholars in their respective fields, hailing from around the world. The book presents roughly 60 unpublished, high-quality and peer-reviewed research papers that cover a broad range of areas including approximation theory, harmonic analysis, operator theory, fixed-point theory, functional differential equations, dynamical and control systems, complex analysis, special functions, function spaces, summability theory, Fourier and wavelet analysis, and numerical analysis – all of which are topics of great interest to the research community – while further papers highlight important applications of mathematical analysis in science, engineering and related areas. This conference aims at bringing together experts and young researchers in mathematics from all over the world to discuss the latest advances in mathematical analysis and at promoting the exchange of ideas in various applications of mathematics in engineering, physics and biology. This conference encourages international collaboration and provides young researchers an opportunity to learn about the current state of the research in their respective fields.

Download or read book Hidden Markov Models written by Robert J Elliott and published by Springer Science & Business Media. This book was released on 2008-09-27 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics. In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the Kalman filter are derived as special cases of the authors’ general results and new expressions for a Kalman smoother are given. The Chapters on the control of Hidden Markov Chains are expanded and clarified. The revised Chapter 4 includes state estimation for discrete time Markov processes and Chapter 12 has a new section on robust control.