Download or read book M thodes num riques sur des grilles sparse appliqu es l valuation d options en finance written by David Pommier and published by . This book was released on 2008 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this work, we present some numerical methods to approximate Partial Differential Equation(PDEs) or Partial Integro-Differential Equations (PIDEs) commonly arising in finance.This thesis is split into three part. The first one deals with the study of Sparse Grid techniques. In an introductory chapter, we present the construction of Sparse Grid spaces and give some approximation properties.The second chapter is devoted to the presentation of a numerical algorithm to solve PDEs on these spaces. This chapter gives us the opportunity to clarify the finite difference method on Sparse Grid by looking at it as a collocation method. We make a few remarks on the practical implementation.The second part of the thesis is devoted to the application of Sparse Grid techniques to mathematical finance. We will consider two practical problems. In the first one, we consider a European vanilla contract with a multivariate generalisation of the one dimensional Ornstein-Ulenbeck-based stochastic volatility model. A relevant generalisation is to assume that the underlying asset is driven by a jump process, which leads to a PIDE. Due to the curse of dimensionality, standard deterministic methods are not competitive with Monte Carlo methods. We discuss sparse grid finite difference methods for solving the PIDE arising in this model up to dimension 4. In the second problem, we consider a Basket option on several assets (five in our example) in the Black & Scholes model. We discuss Galerkin methods in a sparse tensor product space constructed with wavelets. The last part of the thesis is concerned with a posteriori error estimates in the energy norm for the numerical solutions of parabolic obstacle problems allowing space/time mesh adaptive refinement.These estimates are based on a posteriori error indicators which can be computed from the solution of the discrete problem. We present the indicators for the variational inequality obtained in the context of the pricing of an American option on a two dimensional basket using the Black & Scholes model. All these techniques are illustrated by numerical examples.
Download or read book M thodes num riques avanc es appliqu es l valuation d options financi res written by Nicolas Lantos and published by . This book was released on 2010 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book M thodes de Monte Carlo et suites discr pance faible appliqu es au calcul d options en finance written by Frédéric Ksas and published by . This book was released on 2000 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cette thèse contient deux parties : la première partie traite des méthodes numériques et la seconde étudie leurs applications en finance. Les premiers chapitres sont consacrés à une description des méthodes de Monte-Carlo, quasi Monte-Carlo et hybrides. Nous donnons une estimation de la variation d'une fonction et des techniques susceptibles de la réduire. Nous donnons aussi une estimation de la discrépance étendue des suites unidimensionnellles, en particulier celles dont les termes sont une somme de composantes d'une suite multidimensionnelle à discrépance faible. Puis, les derniers chapitres s'intéressent à l'évaluation et la couverture des options avec un ou plusieurs actifs risqués, comme un call européen dans un modèle de marché complet avec sauts, un call asiatique dans un modèle de marché incomplet avec sauts ou un call sur panier dans un modèle multidimensionnel de Black-Scholes. Nous obtenons de nombreux résultats numériques et prouvons que certaines fonctions issues de la finance ne sont pas à variable finie
Download or read book Theory of Reproducing Kernels and Applications written by Saburou Saitoh and published by Springer. This book was released on 2016-10-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a large extension of the general theory of reproducing kernels published by N. Aronszajn in 1950, with many concrete applications.In Chapter 1, many concrete reproducing kernels are first introduced with detailed information. Chapter 2 presents a general and global theory of reproducing kernels with basic applications in a self-contained way. Many fundamental operations among reproducing kernel Hilbert spaces are dealt with. Chapter 2 is the heart of this book.Chapter 3 is devoted to the Tikhonov regularization using the theory of reproducing kernels with applications to numerical and practical solutions of bounded linear operator equations.In Chapter 4, the numerical real inversion formulas of the Laplace transform are presented by applying the Tikhonov regularization, where the reproducing kernels play a key role in the results.Chapter 5 deals with ordinary differential equations; Chapter 6 includes many concrete results for various fundamental partial differential equations. In Chapter 7, typical integral equations are presented with discretization methods. These chapters are applications of the general theories of Chapter 3 with the purpose of practical and numerical constructions of the solutions.In Chapter 8, hot topics on reproducing kernels are presented; namely, norm inequalities, convolution inequalities, inversion of an arbitrary matrix, representations of inverse mappings, identifications of nonlinear systems, sampling theory, statistical learning theory and membership problems. Relationships among eigen-functions, initial value problems for linear partial differential equations, and reproducing kernels are also presented. Further, new fundamental results on generalized reproducing kernels, generalized delta functions, generalized reproducing kernel Hilbert spaces, andas well, a general integral transform theory are introduced.In three Appendices, the deep theory of Akira Yamada discussing the equality problems in nonlinear norm inequalities, Yamada's unified and generalized inequalities for Opial's inequalities and the concrete and explicit integral representation of the implicit functions are presented.
Download or read book Post secondary Distance Education in Canada written by Robert Arthur Sweet and published by [Athabasca, Alta.] : Athabasca University : Canadian Society for Studies in Education. This book was released on 1989 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following a foreword (Ross Paul) and an introduction (Robert Sweet), three sections on instituting postsecondary distance learning systems across Canada are presented: access and student support, educational technology, and institutional response. The first section contains the following: "Women in Distance Education: Towards a Feminist Perspective" (Rebecca Coulter); "Building Bridges: Northern Native Teacher Training" (Robert Paulet); "Le Tuteur et le Support a l'Etudiant en Enseignement a Distance" (Celine Lebel, Bernard Michaud); and "Provision of Student Support Services in Distance Education: Do We Know What They Need?" (Gordon Thompson). Papers in the second section are as follows: "La Formation a Distance: Des Choix Technologiques et des Valeurs" (France Henri, Therese Lamy); "Third Generation Course Design in Distance Education" (David Kaufman); "Contradictory Directions for Distance: Cultural Miscegenation, or Cultural Symbiosis?" (Gary Boyd); "A Philosophy of Distance Education: Perceptivism" (Charles Brauner); "La Technologie Educative dans l'Enseignement a Distance, Son Role et Sa Place" (Louise Sauve et al.); and "Distance Learning using Communications Technologies in Canada" (Barbara Helm). The third section contains the following: "Diversity or Chaos in Canadian Distance Education? A View from Overseas" (Anthony Bates); "Canada's Open Universities: Issues and Prospectives" (Ross Paul); "Involvement with Distance Education: Issues for the University" (Margaret Haughey); "Distance Education and Accessibility to Canada's Community Colleges" (John Dennison); "Being Responsible to the Adult Distance Learner: A Secondary School Example" (Norman McKinnon); "Canadian Private Sector Distance Education: A Preliminary Analysis of Organizational Structure and Governance Issues" (Kenneth Slade, Robert Sweet); "Collaboration in Distance Education" (Abram Conrad, James Small); "Collaboration in Distance Education: British Columbia's Open Learning Agency" (Ian Mugridge); and "Collaboration in Distance Education: Ontario's Contact North/Contac Nord" (Terry Anderson, Connie Nelson). (NLA)
Download or read book Aspects of Multilingualism in European Border Regions written by Andrea Abel and published by Accademia Europea di Bolzano. This book was released on 2007 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book First passage Phenomena and Their Applications written by Ralf Metzler and published by World Scientific Publishing Company Incorporated. This book was released on 2014 with total page 595 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book contains review articles on recent advances in first-passage phenomena and applications contributed by leading international experts. It is intended for graduate students and researchers who are interested in learning about this intriguing and important topic. Book jacket.
Download or read book Statistical Inference for Ergodic Diffusion Processes written by Yury A. Kutoyants and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first book in inference for stochastic processes from a statistical, rather than a probabilistic, perspective. It provides a systematic exposition of theoretical results from over ten years of mathematical literature and presents, for the first time in book form, many new techniques and approaches.
Download or read book Intermittency in Turbulent Flows written by J. C. Vassilicos and published by Cambridge University Press. This book was released on 2001 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume was the product of a workshop held at the Newton Institute in Cambridge, and examines turbulence, intermittency, nonlinear dynamics and fluid mechanics.
Download or read book Semiparametric Theory and Missing Data written by Anastasios Tsiatis and published by Springer Science & Business Media. This book was released on 2007-01-15 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book summarizes current knowledge regarding the theory of estimation for semiparametric models with missing data, in an organized and comprehensive manner. It starts with the study of semiparametric methods when there are no missing data. The description of the theory of estimation for semiparametric models is both rigorous and intuitive, relying on geometric ideas to reinforce the intuition and understanding of the theory. These methods are then applied to problems with missing, censored, and coarsened data with the goal of deriving estimators that are as robust and efficient as possible.
Download or read book Edition Editions written by and published by . This book was released on 2010 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book I Will Survive written by Gloria Gaynor and published by Macmillan + ORM. This book was released on 2014-03-11 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: I Will Survive is the story of Gloria Gaynor, America's "Queen of Disco." It is the story of riches and fame, despair, and finally salvation. Her meteoric rise to stardom in the mid-1970s was nothing short of phenomenal, and hits poured forth that pushed her to the top of the charts, including "Honey Bee," "I Got You Under My Skin," "Never Can Say Goodbye," and the song that has immortalized her, "I Will Survive," which became a #1 international gold seller. With that song, Gloria heralded the international rise of disco that became synonymous with a way of life in the fast lane - the sweaty bodies at Studio 54, the lines of cocaine, the indescribable feeling that you could always be at the top of your game and never come down. But down she came after her early stardom, and problems followed in the wake, including the death of her mother, whose love had anchored the young singer, as well as constant battles with weight, drugs, and alcohol. While her fans always imagined her to be rich, her personal finances collapsed due to poor management; and while many envied her, she felt completely empty inside. In the early 1980s, sustained by her marriage to music publisher Linwood Simon, Gloria took three years off and reflected upon her life. She visited churches and revisited her mother's old Bible. Discovering the world of gospel, she made a commitment to Christ that sustains her to this day.
Download or read book Medieval Slavic Lives of Saints and Princes written by Marvin Kantor and published by University of Michigan Department of Slavic Lang Ures. This book was released on 1983 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Developing Critical Thinkers written by Stephen D. Brookfield and published by Jossey-Bass. This book was released on 1991-07-29 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1989 Winner of the Cyril O. Houle World Award for Literature inAdult Education This award-winning book offers a practical, straightforwardguide to helping adults develop their critical thinking skills infour key arenas of adult life: in their personal relationships, intheir workplaces, in their political involvements, and in theirresponses to the media.
Download or read book Fresh from the Farm 6pk written by Rigby and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Use of Analog and Digital Computers in Hydrology Proceedings of the Tucson Symposium written by tucson Symposium on the use of analog and digital computers in hydrology and published by . This book was released on 1969 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
