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 Exotic Option Pricing and Advanced L vy Models written by Andreas Kyprianou and published by John Wiley & Sons. This book was released on 2006-06-14 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field. In recent years, Lévy processes have leapt to the fore as a tractable mechanism for modeling asset returns. Exotic option values are especially sensitive to an accurate portrayal of these dynamics. This comprehensive volume provides a valuable service for financial researchers everywhere by assembling key contributions from the world's leading researchers in the field. Peter Carr, Head of Quantitative Finance, Bloomberg LP. This book provides a front-row seat to the hottest new field in modern finance: options pricing in turbulent markets. The old models have failed, as many a professional investor can sadly attest. So many of the brightest minds in mathematical finance across the globe are now in search of new, more accurate models. Here, in one volume, is a comprehensive selection of this cutting-edge research. Richard L. Hudson, former Managing Editor of The Wall Street Journal Europe, and co-author with Benoit B. Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward

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 Handbook of Fiber Optic Data Communication written by and published by Academic Press. This book was released on 2002-04-13 with total page 843 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook includes chapters on all the major industry standards, quick reference tables, helpful appendices, plus a new glossary and list of acronyms. This practical handbook can stand alone or as a companion volume to DeCusatis: Fiber Optic Data Communication: Technological Advances and Trends (February 2002, ISBN: 0-12-207892-6), which was developed in tandem with this book.* Includes emerging technologies such as Infiniband, 10 Gigabit Ethernet, and MPLS Optical Switching* Describes leading edge commercial products, including LEAF and MetroCore fibers, dense wavelength multiplexing, and Small Form Factor transceiver packages* Covers all major industry standards, often written by the same people who designed the standards themselves* Includes an expanded listing of references on the World Wide Web, plus hard-to-find references for international, homologation, and type approval requirements* Convenient tables of key optical datacom parameters and glossary with hundreds of definitions and acronyms* Industry buzzwords explained, including SAN, NAS, and MAN networking* Datacom market analysis and future projections from industry leading forecasters

Download or read book Challenges to The Second Law of Thermodynamics written by Vladislav Capek and published by Springer Science & Business Media. This book was released on 2005-02-15 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second law of thermodynamics is considered one of the central laws of science, engineering and technology. For over a century it has been assumed to be inviolable by the scientific community. Over the last 10-20 years, however, more than two dozen challenges to it have appeared in the physical literature - more than during any other period in its 150-year history. The number and variety of these represent a cogent threat to its absolute status. This is the first book to document and critique these modern challenges. Written by two leading exponents of this rapidly emerging field, it covers the theoretical and experimental aspects of principal challenges. In addition, unresolved foundational issues concerning entropy and the second law are explored. This book should be of interest to anyone whose work or research is touched by the second law.

Download or read book Risk Classification in Life Insurance written by J. David Cummins and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: The research project leading to this book was initiated in the fall of 1979 when the American Council of Life Insurance (ACLI) contacted Dan McGill, chairman of the Wharton School Insurance Department, about conducting a study on risk classification in life insurance. The ACLI was concerned about legislative and judicial activity in this area and its potential effects on the life insurance industry. A meeting was held at the ACLI offices in Washington, D.C., between several members of the ACLI staff and Dan McGill and David Cummins representing the Wharton School insurance department. An agreement was reached that a study would be conducted at Wharton dealing with issues in risk classification. Although the staff of the ACLI suggested directions the study might take, it was agreed that the design and execution of the study would be solely under the control of the researchers. The researchers also retained unrestricted publication rights in the results of the study. This agreement has been honored by the ACLI during the course of the project.

Download or read book Levy Processes in Finance written by Wim Schoutens and published by Wiley. This book was released on 2003-05-07 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of L?vy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. L?vy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of L?vy-based models, and features many examples of how they may be used to solve problems in finance. * Provides an introduction to the use of L?vy processes in finance. * Features many examples using real market data, with emphasis on the pricing of financial derivatives. * Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling. * Includes many figures to illustrate the theory and examples discussed. * Avoids unnecessary mathematical formalities. The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.

Download or read book Nanotechnology Enabled Sensors written by Kourosh Kalantar-zadeh and published by Springer Science & Business Media. This book was released on 2007-09-19 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nanotechnology provides tools for creating functional materials, devices, and systems by controlling materials at the atomic and molecular scales and making use of novel properties and phenomena. Nanotechnology-enabled sensors find applications in several fields such as health and safety, medicine, process control and diagnostics. This book provides the reader with information on how nanotechnology enabled sensors are currently being used and how they will be used in the future in such diverse fields as communications, building and facilities, medicine, safety, and security, including both homeland defense and military operations.

Download or read book X Ray and Neutron Dynamical Diffraction written by André Authier and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 419 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects the proceedings of the 23rd International Course of Crystallography, entitled "X-ray and Neutron Dynamical Diffraction, Theory and Applications," which took place in the fascinating setting of Erice in Sicily, Italy. It was run as a NATO Advanced Studies Institute with A. Authier (France) and S. Lagomarsino (Italy) as codirectors, and L. Riva di Sanseverino and P. Spadon (Italy) as local organizers, R. Colella (USA) and B. K. Tanner (UK) being the two other members of the organizing committee. It was attended by about one hundred participants from twenty four different countries. Two basic theories may be used to describe the diffraction of radiation by crystalline matter. The first one, the so-called geometrical, or kinematical theory, is approximate and is applicable to small, highly imperfect crystals. It is used for the determination of crystal structures and describes the diffraction of powders and polycrystalline materials. The other one, the so-called dynamical theory, is applicable to perfect or nearly perfect crystals. For that reason, dynamical diffraction of X-rays and neutrons constitutes the theoretical basis of a great variety of applications such as: • the techniques used for the characterization of nearly perfect high technology materials, semiconductors, piezoelectric, electrooptic, ferroelectric, magnetic crystals, • the X-ray optical devices used in all modem applications of Synchrotron Radiation (EXAFS, High Resolution X-ray Diffractometry, magnetic and nuclear resonant scattering, topography, etc. ), and • X-ray and neutron interferometry.

Download or read book Evanescent Waves in Optics written by Mario Bertolotti and published by Springer. This book was released on 2017-10-30 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph provides an introductory discussion of evanescent waves and plasmons, describes their properties and uses, and shows how they are fundamental when operating with nanoscale optics. Far field optics is not suitable for the design, description, and operation of devices at this nanometre scale. Instead one must work with models based on near-field optics and surface evanescent waves. The new discipline of plasmonics has grown to encompass the generation and application of plasmons both as a travelling excitation in a nanostructure and as a stationary enhancement of the electrical field near metal nanosurfaces. The book begins with a brief review of the basic concepts of electromagnetism, then introduces evanescent waves through reflection and refraction, and shows how they appear in diffraction problems, before discussing the role that they play in optical waveguides and sensors. The application of evanescent waves in super-resolution devices is briefly presented, before plasmons are introduced. The surface plasmon polaritons (SPPs) are then treated, highlighting their potential applications also in ultra-compact circuitry. The book concludes with a discussion of the quantization of evanescent waves and quantum information processing. The book is intended for students and researchers who wish to enter the field or to have some insight into the matter. It is not a textbook but simply an introduction to more complete and in-depth discussions. The field of plasmonics has exploded in the last ten years, and most of the material treated in this book is scattered in original or review papers. A short comprehensive treatment is missing; this book is intended to provide just that.

Download or read book A History of Thermodynamics written by Ingo Müller and published by Springer Science & Business Media. This book was released on 2007-07-16 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an easy to read, all-embracing history of thermodynamics. It describes the long development of thermodynamics, from the misunderstood and misinterpreted to the conceptually simple and extremely useful theory that we know today. Coverage identifies not only the famous physicists who developed the field, but also engineers and scientists from other disciplines who helped in the development and spread of thermodynamics as well.

Download or read book New Trends in Mathematical Physics written by Vladas Sidoravicius and published by Springer Science & Business Media. This book was released on 2009-08-31 with total page 886 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects selected papers written by invited and plenary speakers of the 15th International Congress on Mathematical Physics (ICMP) in the aftermath of the conference. In extensive review articles and expository texts as well as advanced research articles the world leading experts present the state of the art in modern mathematical physics. New mathematical concepts and ideas are introduced by prominent mathematicalphysicists and mathematicians, covering among others the fields of Dynamical Systems, Operator Algebras, Partial Differential Equations, Probability Theory, Random Matrices, Condensed Matter Physics, Statistical Mechanics, General Relativity, Quantum Mechanics, Quantum Field Theory, Quantum Information and String Theory. All together the contributions in this book give a panoramic view of the latest developments in mathematical physics. They will help readers with a general interest in mathematical physics to get an update on the most recent developments in their field, and give a broad overview on actual and future research directions in this fascinating and rapidly expanding area.

Download or read book Embedded Systems and Artificial Intelligence written by Vikrant Bhateja and published by Springer Nature. This book was released on 2020-04-07 with total page 880 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers selected research papers presented at the First International Conference on Embedded Systems and Artificial Intelligence (ESAI 2019), held at Sidi Mohamed Ben Abdellah University, Fez, Morocco, on 2–3 May 2019. Highlighting the latest innovations in Computer Science, Artificial Intelligence, Information Technologies, and Embedded Systems, the respective papers will encourage and inspire researchers, industry professionals, and policymakers to put these methods into practice.

Download or read book Amazing Light written by Raymond Y. Chiao and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 675 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift is a collection of essays contributed by students, colleagues, and ad mirers to honor an eminent scholar on a special anniversary: Charles Hard Townes on the occasion of his 80th birthday, July 28, 1995. In 1964, Townes shared the Nobel Prize in physics with Alexander Mikhailovich Prokhorov and Nikolai Gen nadyevich Basov "for fundamental work in the field of quantum electronics, which has led to the construction of oscillators and amplifiers based on the maser-laser principle. " His contributions have covered a much wider area, however. His fruitful interests spanning several decades have included many scientific subjects, includ ing, microwave spectroscopy and astrophysics (other articles in this volume will expand further on this point). He has also contributed to public service, having served as the chairman of the Science and Technology Advisory Committee for NASA's Apollo program, and as a member and vice chairman of the President's Science Advisory Committee. As the enormous breadth of contributions from his students shows, he has educated scholars who are now in a wide range of fields. The contributions from his many admirers, among whom are nine fellow Nobel laureates, attest to his impact on many disciplines ranging from electrical engi neering to medicine. His influence extends even to theology, as is indicated by one essay. The broadly international character of this Festschrift reflects his deep belief in the international, universal nature of science.

Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

Download or read book Orthogonal Polynomials written by Paul Nevai and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the Proceedings of the NATO Advanced Study Institute on "Orthogonal Polynomials and Their Applications" held at The Ohio State University in Columbus, Ohio, U.S.A. between May 22,1989 and June 3,1989. The Advanced Study Institute primarily concentrated on those aspects of the theory and practice of orthogonal polynomials which surfaced in the past decade when the theory of orthogonal polynomials started to experience an unparalleled growth. This progress started with Richard Askey's Regional Confer ence Lectures on "Orthogonal Polynomials and Special Functions" in 1975, and subsequent discoveries led to a substantial revaluation of one's perceptions as to the nature of orthogonal polynomials and their applicability. The recent popularity of orthogonal polynomials is only partially due to Louis de Branges's solution of the Bieberbach conjecture which uses an inequality of Askey and Gasper on Jacobi polynomials. The main reason lies in their wide applicability in areas such as Pade approximations, continued fractions, Tauberian theorems, numerical analysis, probability theory, mathematical statistics, scattering theory, nuclear physics, solid state physics, digital signal processing, electrical engineering, theoretical chemistry and so forth. This was emphasized and convincingly demonstrated during the presentations by both the principal speakers and the invited special lecturers. The main subjects of our Advanced Study Institute included complex orthogonal polynomials, signal processing, the recursion method, combinatorial interpretations of orthogonal polynomials, computational problems, potential theory, Pade approximations, Julia sets, special functions, quantum groups, weighted approximations, orthogonal polynomials associated with root systems, matrix orthogonal polynomials, operator theory and group representations.

Download or read book Handbook of Chaos Control written by Eckehard Schöll and published by John Wiley & Sons. This book was released on 2008-09-08 with total page 849 pages. Available in PDF, EPUB and Kindle. Book excerpt: This long-awaited revised second edition of the standard reference on the subject has been considerably expanded to include such recent developments as novel control schemes, control of chaotic space-time patterns, control of noisy nonlinear systems, and communication with chaos, as well as promising new directions in research. The contributions from leading international scientists active in the field provide a comprehensive overview of our current level of knowledge on chaos control and its applications in physics, chemistry, biology, medicine, and engineering. In addition, they show the overlap with the traditional field of control theory in the engineering community. An interdisciplinary approach of interest to scientists and engineers working in a number of areas.