Download or read book Advanced Modelling in Mathematical Finance written by Jan Kallsen and published by Springer. This book was released on 2016-12-01 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Download or read book Advanced Financial Modelling written by Hansjörg Albrecher and published by Walter de Gruyter. This book was released on 2009-12-15 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state–of–the–art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a 'Special Semester on Stochastics with Emphasis on Finance' that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria.

Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

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 Options 45 Years Since The Publication Of The Black scholes merton Model The Gershon Fintech Center Conference written by David Gershon and published by World Scientific. This book was released on 2022-12-21 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains contributions by the best-known and consequential researchers who, over several decades, shaped the field of financial engineering. It presents a comprehensive and unique perspective on the historical development and the current state of derivatives research. The book covers classical and modern approaches to option pricing, realized and implied volatilities, classical and rough stochastic processes, and contingent claims analysis in corporate finance. The book is invaluable for students, academic researchers, and practitioners working with financial derivatives, market regulation, trading, risk management, and corporate decision-making.

Download or read book Inspired by Finance written by Yuri Kabanov and published by Springer Science & Business Media. This book was released on 2013-10-23 with total page 553 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern mathematical finance. It includes 25 research papers by 47 authors, established experts and newcomers alike, that cover the whole range of the "hot" topics in the discipline. The contributed articles not only give a clear picture about what is going on in this rapidly developing field of knowledge but provide methods ready for practical implementation. They also open new prospects for further studies in risk management, portfolio optimization and financial engineering.

Download or read book Backward Stochastic Differential Equations written by N El Karoui and published by CRC Press. This book was released on 1997-01-17 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.

Download or read book Rhythms of the Brain written by G. Buzsáki and published by Oxford University Press. This book was released on 2011 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies of mechanisms in the brain that allow complicated things to happen in a coordinated fashion have produced some of the most spectacular discoveries in neuroscience. This book provides eloquent support for the idea that spontaneous neuron activity, far from being mere noise, is actually the source of our cognitive abilities. It takes a fresh look at the coevolution of structure and function in the mammalian brain, illustrating how self-emerged oscillatory timing is the brain's fundamental organizer of neuronal information. The small-world-like connectivity of the cerebral cortex allows for global computation on multiple spatial and temporal scales. The perpetual interactions among the multiple network oscillators keep cortical systems in a highly sensitive "metastable" state and provide energy-efficient synchronizing mechanisms via weak links. In a sequence of "cycles," György Buzsáki guides the reader from the physics of oscillations through neuronal assembly organization to complex cognitive processing and memory storage. His clear, fluid writing-accessible to any reader with some scientific knowledge-is supplemented by extensive footnotes and references that make it just as gratifying and instructive a read for the specialist. The coherent view of a single author who has been at the forefront of research in this exciting field, this volume is essential reading for anyone interested in our rapidly evolving understanding of the brain.

Download or read book How I Became a Quant written by Richard R. Lindsey and published by John Wiley & Sons. This book was released on 2011-01-11 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for How I Became a Quant "Led by two top-notch quants, Richard R. Lindsey and Barry Schachter, How I Became a Quant details the quirky world of quantitative analysis through stories told by some of today's most successful quants. For anyone who might have thought otherwise, there are engaging personalities behind all that number crunching!" --Ira Kawaller, Kawaller & Co. and the Kawaller Fund "A fun and fascinating read. This book tells the story of how academics, physicists, mathematicians, and other scientists became professional investors managing billions." --David A. Krell, President and CEO, International Securities Exchange "How I Became a Quant should be must reading for all students with a quantitative aptitude. It provides fascinating examples of the dynamic career opportunities potentially open to anyone with the skills and passion for quantitative analysis." --Roy D. Henriksson, Chief Investment Officer, Advanced Portfolio Management "Quants"--those who design and implement mathematical models for the pricing of derivatives, assessment of risk, or prediction of market movements--are the backbone of today's investment industry. As the greater volatility of current financial markets has driven investors to seek shelter from increasing uncertainty, the quant revolution has given people the opportunity to avoid unwanted financial risk by literally trading it away, or more specifically, paying someone else to take on the unwanted risk. How I Became a Quant reveals the faces behind the quant revolution, offering you?the?chance to learn firsthand what it's like to be a?quant today. In this fascinating collection of Wall Street war stories, more than two dozen quants detail their roots, roles, and contributions, explaining what they do and how they do it, as well as outlining the sometimes unexpected paths they have followed from the halls of academia to the front lines of an investment revolution.

Download or read book The Best of Wilmott 2 written by Paul Wilmott and published by Wiley. This book was released on 2005-11-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Team at Wilmott is very proud to present this compilation of Wilmott magazine articles and presentations from our second year. We have selected some of the very best in cutting-edge research, and the most illuminating of our regular columns. The technical papers include state-of-the-art pricing tools and models. You'll notice there's a bias towards volatility modelling in the book. Of course, it's one of my favourite topics, but volatility is also the big unknown as far as pricing and hedging is concerned. We present research in this area from some of the best newcomers in this field. You'll see ideas that make a mockery of 'received wisdom,' ideas that are truly paradigm shattering - for we aren't content with a mere 'shift.' We know you'll enjoy it! The Best of Wilmott will return again next year...

Download or read book Optical Tweezers written by Philip H. Jones and published by Cambridge University Press. This book was released on 2015-12-03 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the theory, practice and applications of optical tweezers, combining state-of-the-art research with a strong pedagogic approach.

Download or read book Speech Enhancement written by Shoji Makino and published by Springer Science & Business Media. This book was released on 2005 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: We live in a noisy world! In all applications (telecommunications, hands-free communications, recording, human-machine interfaces, etc.) that require at least one microphone, the signal of interest is usually contaminated by noise and reverberation. As a result, the microphone signal has to be "cleaned" with digital signal processing tools before it is played out, transmitted, or stored. This book is about speech enhancement. Different well-known and state-of-the-art methods for noise reduction, with one or multiple microphones, are discussed. By speech enhancement, we mean not only noise reduction but also dereverberation and separation of independent signals. These topics are also covered in this book. However, the general emphasis is on noise reduction because of the large number of applications that can benefit from this technology. The goal of this book is to provide a strong reference for researchers, engineers, and graduate students who are interested in the problem of signal and speech enhancement. To do so, we invited well-known experts to contribute chapters covering the state of the art in this focused field. TOC:Introduction.- Study of the Wiener Filter for Noise Reduction.- Statistical Methods for the Enhancement of Noisy Speech.- Single- und Multi-Microphone Spectral Amplitude Estimation Using a Super-Gaussian Speech Model.- From Volatility Modeling of Financial Time-Series to Stochastic Modeling and Enhancement of Speech Signals.- Single-Microphone Noise Suppression for 3G Handsets Based on Weighted Noise Estimation.- Signal Subspace Techniques for Speech Enhancement.- Speech Enhancement: Application of the Kalman Filter in the Estimate-Maximize (EM) Framework.- Speech Distortion Weighted Multichannel Wiener Filtering Techniques for Noise Reduction.- Adpative Microphone Arrays Employing Spatial Quadratic Soft Constraints and Spectral Shaping.- Single-Microphone Blind Dereverberation.- Separation and Dereverberation of Speech Signals with Multiple Microphones.- Frequency-Domain Blind Source Separation.- Subband Based Blind Source Separation.- Real-Time Blind Source Separation for Moving Speech Signals.- Separation of Speech by Computational Auditory Scene Analysis

Download or read book Publications of the National Institute of Standards and Technology Catalog written by National Institute of Standards and Technology (U.S.) and published by . This book was released on 1994 with total page 1162 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Data Acquisition and Signal Processing for Smart Sensors written by Nikolay V. Kirianaki and published by Wiley. This book was released on 2002-04-29 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: From simple thermistors to intelligent silicon microdevices with powerful capabilities to communicate information across networks, sensors play an important role in such diverse fields as biomedical and chemical engineering to wireless communications. Introducing a new dependent count method for frequency signal processing, this book presents a practical approach to the design of signal processing sensors. Modern advanced microsensors technologies require new and equally advanced methods of frequency signal processing in order to function at inreasingly high speeds. The authors provide a comprehensive overview of data acquisition and signal processing methods for the new generation of smart and quasi-smart sensors. The practical approach of the text includes coverage of the design of signal processing methods for digital, frequency, period, duty-cycle and time interval sensors. * Contains numerous practical examples illustrating the design of unique signal processing sensors and transducers * Details traditional, novel, and state of the art methods for frequency signal processing * Coverage of the physical characteristics of smart sensors, development methods and applications potential * Outlines the concept, principles and nature of the method of dependent count (MDC) ; a unique method for frequency signal processing, developed by the authors This text is a leading edge resource for measurement engineers, researchers and developers working in microsensors, MEMS and microsystems, as well as advanced undergraduates and graduates in electrical and mechanical engineering.

Download or read book Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities written by Anatoli? Vital?evich Svishchuk and published by World Scientific. This book was released on 2013 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean-reverting, multi-factor, fractional, Levy-based, semi-Markov and COGARCH(1,1). One of the main methods used in this book is change of time method. The book outlines how the change of time method works for different kinds of models and problems arising in financial and energy markets and the associated problems in modeling and pricing of a variety of swaps. The book also contains a study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Levy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index.

Download or read book The Craft and Science of Coffee written by Britta Folmer and published by Academic Press. This book was released on 2016-12-16 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Craft and Science of Coffee follows the coffee plant from its origins in East Africa to its current role as a global product that influences millions of lives though sustainable development, economics, and consumer desire.For most, coffee is a beloved beverage. However, for some it is also an object of scientifically study, and for others it is approached as a craft, both building on skills and experience. By combining the research and insights of the scientific community and expertise of the crafts people, this unique book brings readers into a sustained and inclusive conversation, one where academic and industrial thought leaders, coffee farmers, and baristas are quoted, each informing and enriching each other.This unusual approach guides the reader on a journey from coffee farmer to roaster, market analyst to barista, in a style that is both rigorous and experience based, universally relevant and personally engaging. From on-farming processes to consumer benefits, the reader is given a deeper appreciation and understanding of coffee's complexity and is invited to form their own educated opinions on the ever changing situation, including potential routes to further shape the coffee future in a responsible manner. - Presents a novel synthesis of coffee research and real-world experience that aids understanding, appreciation, and potential action - Includes contributions from a multitude of experts who address complex subjects with a conversational approach - Provides expert discourse on the coffee calue chain, from agricultural and production practices, sustainability, post-harvest processing, and quality aspects to the economic analysis of the consumer value proposition - Engages with the key challenges of future coffee production and potential solutions