Download or read book Numerical Solution of SDE Through Computer Experiments written by Peter Eris Kloeden and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.
Download or read book Numerical Solution of SDE Through Computer Experiments written by Peter E. Kloeden and published by . This book was released on 1994 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Numerical Solution of SDE Through Computer Experiments written by Peter Eris Kloeden and published by Springer. This book was released on 2002-12-12 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.
Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2011-06-15 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP
Download or read book Stochastic Methods in Neuroscience written by Carlo Laing and published by Oxford University Press. This book was released on 2010 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: Great interest is now being shown in computational and mathematical neuroscience, fuelled in part by the rise in computing power, the ability to record large amounts of neurophysiological data, and advances in stochastic analysis. These techniques are leading to biophysically more realistic models. It has also become clear that both neuroscientists and mathematicians profit from collaborations in this exciting research area.Graduates and researchers in computational neuroscience and stochastic systems, and neuroscientists seeking to learn more about recent advances in the modelling and analysis of noisy neural systems, will benefit from this comprehensive overview. The series of self-contained chapters, each written by experts in their field, covers key topics such as: Markov chain models for ion channel release; stochastically forced single neurons and populations of neurons; statistical methods for parameterestimation; and the numerical approximation of these stochastic models.Each chapter gives an overview of a particular topic, including its history, important results in the area, and future challenges, and the text comes complete with a jargon-busting index of acronyms to allow readers to familiarize themselves with the language used.
Download or read book Stochastic Numerics for Mathematical Physics written by Grigori N. Milstein and published by Springer Nature. This book was released on 2021-12-03 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a substantially revised and expanded edition reflecting major developments in stochastic numerics since the first edition was published in 2004. The new topics, in particular, include mean-square and weak approximations in the case of nonglobally Lipschitz coefficients of Stochastic Differential Equations (SDEs) including the concept of rejecting trajectories; conditional probabilistic representations and their application to practical variance reduction using regression methods; multi-level Monte Carlo method; computing ergodic limits and additional classes of geometric integrators used in molecular dynamics; numerical methods for FBSDEs; approximation of parabolic SPDEs and nonlinear filtering problem based on the method of characteristics. SDEs have many applications in the natural sciences and in finance. Besides, the employment of probabilistic representations together with the Monte Carlo technique allows us to reduce the solution of multi-dimensional problems for partial differential equations to the integration of stochastic equations. This approach leads to powerful computational mathematics that is presented in the treatise. Many special schemes for SDEs are presented. In the second part of the book numerical methods for solving complicated problems for partial differential equations occurring in practical applications, both linear and nonlinear, are constructed. All the methods are presented with proofs and hence founded on rigorous reasoning, thus giving the book textbook potential. An overwhelming majority of the methods are accompanied by the corresponding numerical algorithms which are ready for implementation in practice. The book addresses researchers and graduate students in numerical analysis, applied probability, physics, chemistry, and engineering as well as mathematical biology and financial mathematics.
Download or read book Modern Techniques in Neuroscience Research written by Uwe Windhorst and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 1336 pages. Available in PDF, EPUB and Kindle. Book excerpt: An overview of the techniques used in modern neuroscience research with the emphasis on showing how different techniques can optimally be combined in the study of problems that arise at some levels of nervous system organization. This is essentially a working tool for the scientist in the laboratory and clinic, providing detailed step-by-step protocols with tips and recommendations. Most chapters and protocols are organized such that they can be used independently, while cross-references between the chapters, a glossary, a list of suppliers and appendices provide further help.
Download or read book Numerical Analysis and Its Applications written by Ivan Dimov and published by Springer. This book was released on 2017-04-11 with total page 798 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes thoroughly revised selected papers of the 6th International Conference on Numerical Analysis and Its Applications, NAA 2016, held in Lozenetz, Bulgaria, in June 2016. The 90 revised papers presented were carefully reviewed and selected from 98 submissions. The conference offers a wide range of the following topics: Numerical Modeling; Numerical Stochastics; Numerical Approx-imation and Computational Geometry; Numerical Linear Algebra and Numer-ical Solution of Transcendental Equations; Numerical Methods for Differential Equations; High Performance Scientific Computing; and also special topics such as Novel methods in computational finance based on the FP7 Marie Curie Action,Project Multi-ITN STRIKE - Novel Methods in Compu-tational Finance, Grant Agreement Number 304617; Advanced numerical and applied studies of fractional differential equations.
Download or read book Handbook on Information Technology in Finance written by Detlef Seese and published by Springer Science & Business Media. This book was released on 2008-05-27 with total page 812 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook contains surveys of state-of-the-art concepts, systems, applications, best practices as well as contemporary research in the intersection between IT and finance. Included are recent trends and challenges, IT systems and architectures in finance, essential developments and case studies on management information systems, and service oriented architecture modeling. The book shows a broad range of applications, e.g. in banking, insurance, trading and in non-financial companies. Essentially, all aspects of IT in finance are covered.
Download or read book Tools for Computational Finance written by Rüdiger U. Seydel and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.
Download or read book An Introduction to Computational Finance written by mr U?ur and published by Imperial College Press. This book was released on 2009 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although there are several publications on similar subjects, this book mainly focuses on pricing of options and bridges the gap between Mathematical Finance and Numerical Methodologies. The author collects the key contributions of several monographs and selected literature, values and displays their importance, and composes them here to create a work which has its own characteristics in content and style.This invaluable book provides working Matlab codes not only to implement the algorithms presented in the text, but also to help readers code their own pricing algorithms in their preferred programming languages. Availability of the codes under an Internet site is also offered by the author.Not only does this book serve as a textbook in related undergraduate or graduate courses, but it can also be used by those who wish to implement or learn pricing algorithms by themselves. The basic methods of option pricing are presented in a self-contained and unified manner, and will hopefully help readers improve their mathematical and computational backgrounds for more advanced topics.Errata(s)Errata
Download or read book Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance written by Carlos A. Braumann and published by John Wiley & Sons. This book was released on 2019-04-29 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to the core issues of stochastic differential equations and their effective application Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance offers a comprehensive examination to the most important issues of stochastic differential equations and their applications. The author — a noted expert in the field — includes myriad illustrative examples in modelling dynamical phenomena subject to randomness, mainly in biology, bioeconomics and finance, that clearly demonstrate the usefulness of stochastic differential equations in these and many other areas of science and technology. The text also features real-life situations with experimental data, thus covering topics such as Monte Carlo simulation and statistical issues of estimation, model choice and prediction. The book includes the basic theory of option pricing and its effective application using real-life. The important issue of which stochastic calculus, Itô or Stratonovich, should be used in applications is dealt with and the associated controversy resolved. Written to be accessible for both mathematically advanced readers and those with a basic understanding, the text offers a wealth of exercises and examples of application. This important volume: Contains a complete introduction to the basic issues of stochastic differential equations and their effective application Includes many examples in modelling, mainly from the biology and finance fields Shows how to: Translate the physical dynamical phenomenon to mathematical models and back, apply with real data, use the models to study different scenarios and understand the effect of human interventions Conveys the intuition behind the theoretical concepts Presents exercises that are designed to enhance understanding Offers a supporting website that features solutions to exercises and R code for algorithm implementation Written for use by graduate students, from the areas of application or from mathematics and statistics, as well as academics and professionals wishing to study or to apply these models, Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance is the authoritative guide to understanding the issues of stochastic differential equations and their application.
Download or read book Handbooks in Operations Research and Management Science Simulation written by Shane G. Henderson and published by Elsevier. This book was released on 2006-09-02 with total page 693 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Handbook is a collection of chapters on key issues in the design and analysis of computer simulation experiments on models of stochastic systems. The chapters are tightly focused and written by experts in each area. For the purpose of this volume “simulation refers to the analysis of stochastic processes through the generation of sample paths (realization) of the processes. Attention focuses on design and analysis issues and the goal of this volume is to survey the concepts, principles, tools and techniques that underlie the theory and practice of stochastic simulation design and analysis. Emphasis is placed on the ideas and methods that are likely to remain an intrinsic part of the foundation of the field for the foreseeable future. The chapters provide up-to-date references for both the simulation researcher and the advanced simulation user, but they do not constitute an introductory level ‘how to’ guide. Computer scientists, financial analysts, industrial engineers, management scientists, operations researchers and many other professionals use stochastic simulation to design, understand and improve communications, financial, manufacturing, logistics, and service systems. A theme that runs throughout these diverse applications is the need to evaluate system performance in the face of uncertainty, including uncertainty in user load, interest rates, demand for product, availability of goods, cost of transportation and equipment failures. * Tightly focused chapters written by experts* Surveys concepts, principles, tools, and techniques that underlie the theory and practice of stochastic simulation design and analysis* Provides an up-to-date reference for both simulation researchers and advanced simulation users
Download or read book Parameter Estimation in Stochastic Differential Equations written by Jaya P. N. Bishwal and published by Springer. This book was released on 2007-09-26 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods.
Download or read book Stochastic Simulation and Applications in Finance with MATLAB Programs written by Huu Tue Huynh and published by John Wiley & Sons. This book was released on 2011-11-21 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value simulation technique to price exotic options and the retrieval of volatility method to estimate Greeks. The authors also present modern term structure of interest rate models and pricing swaptions with the BGM market model, and give a full explanation of corporate securities valuation and credit risk based on the structural approach of Merton. Case studies on financial guarantees illustrate how to implement the simulation techniques in pricing and hedging. NOTE TO READER: The CD has been converted to URL. Go to the following website www.wiley.com/go/huyhnstochastic which provides MATLAB programs for the practical examples and case studies, which will give the reader confidence in using and adapting specific ways to solve problems involving stochastic processes in finance.
Download or read book Monte Carlo Frameworks written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2011-08-02 with total page 775 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C++ code using state-of-the art design and system patterns, object-oriented and generic programming models in combination with standard libraries and tools. Includes a CD containing the source code for all examples. It is strongly advised that you experiment with the code by compiling it and extending it to suit your needs. Support is offered via a user forum on www.datasimfinancial.com where you can post queries and communicate with other purchasers of the book. This book is for those professionals who design and develop models in computational finance. This book assumes that you have a working knowledge of C ++.
