Download or read book Numerical Analysis of Spectral Methods written by David Gottlieb and published by SIAM. This book was released on 1977-01-01 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: A unified discussion of the formulation and analysis of special methods of mixed initial boundary-value problems. The focus is on the development of a new mathematical theory that explains why and how well spectral methods work. Included are interesting extensions of the classical numerical analysis.

Download or read book American Type Options written by Dmitrii S. Silvestrov and published by Walter de Gruyter GmbH & Co KG. This book was released on 2014-12-17 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.

Download or read book New Trends and Advanced Methods in Interdisciplinary Mathematical Sciences written by Bourama Toni and published by Springer. This book was released on 2017-07-05 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest of five multidisciplinary volumes, this book spans the STEAM-H (Science, Technology, Engineering, Agriculture, Mathematics, and Health) disciplines with the intent to generate meaningful interdisciplinary interaction and student interest. Emphasis is placed on important methods and applications within and beyond each field. Topics include geometric triple systems, image segmentation, pattern recognition in medicine, pricing barrier options, p-adic numbers distribution in geophysics data pattern, adelic physics, and evolutionary game theory. Contributions were by invitation only and peer-reviewed. Each chapter is reasonably self-contained and pedagogically presented for a multidisciplinary readership.

Download or read book Spectral Methods in MATLAB written by Lloyd N. Trefethen and published by SIAM. This book was released on 2000-07-01 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematics of Computing -- Numerical Analysis.

Download or read book Chebyshev and Fourier Spectral Methods written by John P. Boyd and published by Courier Corporation. This book was released on 2001-12-03 with total page 690 pages. Available in PDF, EPUB and Kindle. Book excerpt: Completely revised text focuses on use of spectral methods to solve boundary value, eigenvalue, and time-dependent problems, but also covers Hermite, Laguerre, rational Chebyshev, sinc, and spherical harmonic functions, as well as cardinal functions, linear eigenvalue problems, matrix-solving methods, coordinate transformations, methods for unbounded intervals, spherical and cylindrical geometry, and much more. 7 Appendices. Glossary. Bibliography. Index. Over 160 text figures.

Download or read book A New Fast and Robust Technique for Pricing and Hedging Asia Options written by Georgios Vasileiou Dalakouras and published by . This book was released on 2004 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Numerical Methods for Stochastic Computations written by Dongbin Xiu and published by Princeton University Press. This book was released on 2010-07-01 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The@ first graduate-level textbook to focus on fundamental aspects of numerical methods for stochastic computations, this book describes the class of numerical methods based on generalized polynomial chaos (gPC). These fast, efficient, and accurate methods are an extension of the classical spectral methods of high-dimensional random spaces. Designed to simulate complex systems subject to random inputs, these methods are widely used in many areas of computer science and engineering. The book introduces polynomial approximation theory and probability theory; describes the basic theory of gPC methods through numerical examples and rigorous development; details the procedure for converting stochastic equations into deterministic ones; using both the Galerkin and collocation approaches; and discusses the distinct differences and challenges arising from high-dimensional problems. The last section is devoted to the application of gPC methods to critical areas such as inverse problems and data assimilation. Ideal for use by graduate students and researchers both in the classroom and for self-study, Numerical Methods for Stochastic Computations provides the required tools for in-depth research related to stochastic computations. The first graduate-level textbook to focus on the fundamentals of numerical methods for stochastic computations Ideal introduction for graduate courses or self-study Fast, efficient, and accurate numerical methods Polynomial approximation theory and probability theory included Basic gPC methods illustrated through examples

Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.

Download or read book An Introduction to Inverse Scattering and Inverse Spectral Problems written by Khosrow Chadan and published by SIAM. This book was released on 1997-01-01 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a clearly written introduction to three central areas of inverse problems: inverse problems in electromagnetic scattering theory, inverse spectral theory, and inverse problems in quantum scattering theory. Inverse problems, one of the most attractive parts of applied mathematics, attempt to obtain information about structures by nondestructive measurements. Based on a series of lectures presented by three of the authors, all experts in the field, the book provides a quick and easy way for readers to become familiar with the area through a survey of recent developments in inverse spectral and inverse scattering problems.

Download or read book Computer Organization and Design RISC V Edition written by David A. Patterson and published by Morgan Kaufmann. This book was released on 2020-12-11 with total page 1137 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computer Organization and Design RISC-V Edition: The Hardware Software Interface, Second Edition, the award-winning textbook from Patterson and Hennessy that is used by more than 40,000 students per year, continues to present the most comprehensive and readable introduction to this core computer science topic. This version of the book features the RISC-V open source instruction set architecture, the first open source architecture designed for use in modern computing environments such as cloud computing, mobile devices, and other embedded systems. Readers will enjoy an online companion website that provides advanced content for further study, appendices, glossary, references, links to software tools, and more. - Covers parallelism in-depth, with examples and content highlighting parallel hardware and software topics - Focuses on 64-bit address, ISA to 32-bit address, and ISA for RISC-V because 32-bit RISC-V ISA is simpler to explain, and 32-bit address computers are still best for applications like embedded computing and IoT - Includes new sections in each chapter on Domain Specific Architectures (DSA) - Provides updates on all the real-world examples in the book

Download or read book Finite Difference Methods for Ordinary and Partial Differential Equations written by Randall J. LeVeque and published by SIAM. This book was released on 2007-01-01 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces finite difference methods for both ordinary differential equations (ODEs) and partial differential equations (PDEs) and discusses the similarities and differences between algorithm design and stability analysis for different types of equations. A unified view of stability theory for ODEs and PDEs is presented, and the interplay between ODE and PDE analysis is stressed. The text emphasizes standard classical methods, but several newer approaches also are introduced and are described in the context of simple motivating examples.

Download or read book Spectral Methods for Incompressible Viscous Flow written by Roger Peyret and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: This well-written book explains the theory of spectral methods and their application to the computation of viscous incompressible fluid flow, in clear and elementary terms. With many examples throughout, the work will be useful to those teaching at the graduate level, as well as to researchers working in the area.

Download or read book Financial Instrument Pricing Using C written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2013-10-23 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (?write once?) and support for legacy C applications. In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of classes, libraries and applications for option and derivative pricing models. He employs modern software engineering techniques to produce industrial-strength applications: Using the Standard Template Library (STL) in finance Creating your own template classes and functions Reusable data structures for vectors, matrices and tensors Classes for numerical analysis (numerical linear algebra ?) Solving the Black Scholes equations, exact and approximate solutions Implementing the Finite Difference Method in C++ Integration with the ?Gang of Four? Design Patterns Interfacing with Excel (output and Add-Ins) Financial engineering and XML Cash flow and yield curves Included with the book is a CD containing the source code in the Datasim Financial Toolkit. You can use this to get up to speed with your C++ applications by reusing existing classes and libraries. 'Unique... Let's all give a warm welcome to modern pricing tools.' -- Paul Wilmott, mathematician, author and fund manager

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 Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 960 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Spectral Methods written by Jie Shen and published by Springer Science & Business Media. This book was released on 2011-08-25 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Along with finite differences and finite elements, spectral methods are one of the three main methodologies for solving partial differential equations on computers. This book provides a detailed presentation of basic spectral algorithms, as well as a systematical presentation of basic convergence theory and error analysis for spectral methods. Readers of this book will be exposed to a unified framework for designing and analyzing spectral algorithms for a variety of problems, including in particular high-order differential equations and problems in unbounded domains. The book contains a large number of figures which are designed to illustrate various concepts stressed in the book. A set of basic matlab codes has been made available online to help the readers to develop their own spectral codes for their specific applications.