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Author: Ole E Barndorff-nielsen Publisher: World Scientific Publishing Company ISBN: 9814678600 Category : Business & Economics Languages : en Pages : 345
Book Description
Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law.Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields.The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance.In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.
Author: Ole E Barndorff-nielsen Publisher: World Scientific Publishing Company ISBN: 9814678600 Category : Business & Economics Languages : en Pages : 345
Book Description
Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law.Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields.The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance.In this Second Edition a Chapter 13 entitled 'A Wider View' has been added. This outlines some of the developments that have taken place in the area of Change of Time and Change of Measure since the publication of the First Edition. Most of these developments have their root in the study of the Statistical Theory of Turbulence rather than in Financial Mathematics and Econometrics, and they form part of the new research area termed 'Ambit Stochastics'.
Author: Nicolas Privault Publisher: World Scientific ISBN: 9811226628 Category : Mathematics Languages : en Pages : 373
Book Description
This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.
Author: Ole E Barndorff-nielsen Publisher: World Scientific Publishing Company ISBN: 9813108002 Category : Business & Economics Languages : en Pages : 323
Book Description
Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law.Random change of time is key to understanding the nature of various stochastic processes, and gives rise to interesting mathematical results and insights of importance for the modeling and interpretation of empirically observed dynamic processes. Change of probability law is a technique for solving central questions in mathematical finance, and also has a considerable role in insurance mathematics, large deviation theory, and other fields.The book comprehensively collects and integrates results from a number of scattered sources in the literature and discusses the importance of the results relative to the existing literature, particularly with regard to mathematical finance. It is invaluable as a textbook for graduate-level courses and students or a handy reference for researchers and practitioners in financial mathematics and econometrics.
Author: ANANDA NATARAJAN, R. Publisher: PHI Learning Pvt. Ltd. ISBN: 8120352157 Category : Technology & Engineering Languages : en Pages : 324
Book Description
Designed as a text for the undergraduate students of instrumentation, electrical, electronics and biomedical engineering, the second edition of the book covers the entire range of instruments and their measurement methods used in the medical field.The functions of the biomedical instruments and measurement methods are presented keeping in mind those students who have minimum required knowledge of human physiology. The purpose of this book is to review the principles of biomedical instrumentation and measurements employed in the hospital industry. Primary emphasis is laid on the method rather than micro level mechanism. This book serves two purposes: One is to explain the mechanism and functional details of human body, and the other is to explain how the biological signals of human body can be acquired and used in a successful manner. New to the second edition • The chapters of the book have been reorganized so that the students can understand the concepts in a systematic manner. • The chapter on Bioelectric Potentials and Transducers has been divided into three new chapters on Transducers for Biomedical Applications, Bioelectric Potential and Electrodes and some new sections are also included in these chapters. • A few sections have also been added to the chapter titled Electrical Safety of Medical Equipment and Patients. Key features • More than 180 illustrations throughout the book • Short questions with answers at the end of each chapter. • Chapter-end exercises to reinforce the understanding of the subject.
Author: Masaaki Kijima Publisher: CRC Press ISBN: 143988482X Category : Business & Economics Languages : en Pages : 346
Book Description
Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools that are easy to understand even for those with little mathematical expertise. This second edition covers several important developments in the financial industry. New to the Second Edition A chapter on the change of measures and pricing of insurance products Many examples of the change of measure technique, including its use in asset pricing theory A section on the use of copulas, especially in the pricing of CDOs Two chapters that offer more coverage of interest rate derivatives and credit derivatives Exploring the merge of actuarial science and financial engineering, this edition examines how the pricing of insurance products, such as equity-linked annuities, requires knowledge of asset pricing theory since the equity index can be traded in the market. The book looks at the development of many probability transforms for pricing insurance risks, including the Esscher transform. It also describes how the copula model is used to model the joint distribution of underlying assets. By presenting significant results in discrete processes and showing how to transfer the results to their continuous counterparts, this text imparts an accessible, practical understanding of the subject. It helps readers not only grasp the theory of financial engineering, but also implement the theory in business.
Author: Ioannis Karatzas Publisher: Springer ISBN: 1461209498 Category : Mathematics Languages : en Pages : 490
Book Description
A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed, illustrated by results concerning representations of martingales and change of measure on Wiener space, which in turn permit a presentation of recent advances in financial economics. The book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The whole is backed by a large number of problems and exercises.
Author: Ales Cerný Publisher: Princeton University Press ISBN: 1400831482 Category : Business & Economics Languages : en Pages : 414
Book Description
Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation. The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated. A standard textbook for graduate finance courses Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation Detailed examples and MATLAB codes integrated throughout the text Exercises and summaries of main points conclude each chapter
Author: Gilbert, Anne Green Publisher: Human Kinetics ISBN: 1450480942 Category : Performing Arts Languages : en Pages : 376
Book Description
This second edition of the classic text directs dance teachers through what they need to know to teach creative dance from pre-K through adult levels in a variety of settings. It includes a sequential curriculum, lesson plans, editable forms, and teacher strategies created by master teacher Anne Green Gilbert.
Author: Anthony D. Pellegrini Publisher: Psychology Press ISBN: 1135620369 Category : Psychology Languages : en Pages : 309
Book Description
This second edition updates the methods based on new technologies, updates and increases the number of examples, and reorganizes so the theoretical material is up front. The author's decisions were guided by having used the first edition in classes at two universities. Consequently, he received feedback on the book from a variety of different perspectives--from groups of very conscientious and competent students and from colleagues around the world who have used the book. By consensus, the most popular aspect of the first edition was the organization of the book, where the student/researcher is guided through conceptualizing, designing, implementing, and writing up the research project. This basic organization is the same as in the first edition, however, within this organizational frame things have changed. The discussion of the place of direct observational methods in relation to different "qualitative" and "quantitative" research traditions has been kept, but expanded. Discussions of the use of direct observations in naturalistic settings (drawing from research methods in ethology and ethnography) and in more contrived settings (drawing from experimental psychology) are extended. Relatedly, an extended discussion has been added on theories of science guiding different research assumptions. In addition, sections of validity, reliability, and the ethics surrounding the research enterprise are also expanded. These constructs are not specific to observational methods but relevant to the general research process. In revised chapters in these areas the author provides grounding in the general concepts and then draws more specific focus to observational methods. The extended discussion of ethics is important, since issues related to who gets authorship on papers, how to complete Institutional Review Board forms, and honesty in reporting findings are all issues that face both junior and senior researchers alike. Practical issues of writing research papers are expanded in this edition, providing discussions of writing both review and empirical articles. Lastly, a new and extensive chapter on using technology in direct observational methods has been added, which reviews the available hardware and software in direct observational methods.
Author: Ole E Barndorff-nielsen
Author: Ole E Barndorff-nielsen
Author: Nicolas Privault
Author: Ole E Barndorff-nielsen
Author: ANANDA NATARAJAN, R.
Author: Masaaki Kijima
Author: Ioannis Karatzas
Author: Loïc Chaumont
Author: Ales Cerný
Author: Gilbert, Anne Green
Author: Anthony D. Pellegrini