[PDF] Stochastic Analysis For Finance With Simulations

Stochastic Analysis for Finance with Simulations PDF
Author: Geon Ho Choe
Publisher: Springer
ISBN: 3319255894
Size: 61.55 MB
Format: PDF, ePub, Docs
Category : Mathematics
Languages : en
Pages : 657
View: 6329

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Stochastic Analysis For Finance With Simulations

by Geon Ho Choe, release date 2016-07-14, Stochastic Analysis For Finance With Simulations Books available in PDF, EPUB, Mobi Format. Download Stochastic Analysis For Finance With Simulations books, This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black–Scholes–Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts. Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.




[PDF] Stochastic Analysis With Financial Applications

Stochastic Analysis with Financial Applications PDF
Author: Arturo Kohatsu-Higa
Publisher: Springer Science & Business Media
ISBN: 3034800975
Size: 63.53 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 430
View: 6655

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Stochastic Analysis With Financial Applications

by Arturo Kohatsu-Higa, release date 2011-07-22, Stochastic Analysis With Financial Applications Books available in PDF, EPUB, Mobi Format. Download Stochastic Analysis With Financial Applications books, Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs.




[PDF] Simulation And Inference For Stochastic Processes With Yuima

Simulation and Inference for Stochastic Processes with YUIMA PDF
Author: Stefano M. Iacus
Publisher: Springer
ISBN: 3319555693
Size: 73.79 MB
Format: PDF, Mobi
Category : Computers
Languages : en
Pages : 268
View: 5924

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Simulation And Inference For Stochastic Processes With Yuima

by Stefano M. Iacus, release date 2018-06-01, Simulation And Inference For Stochastic Processes With Yuima Books available in PDF, EPUB, Mobi Format. Download Simulation And Inference For Stochastic Processes With Yuima books, The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Lévy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes. The package performs various central statistical analyses such as quasi maximum likelihood estimation, adaptive Bayes estimation, structural change point analysis, hypotheses testing, asynchronous covariance estimation, lead-lag estimation, LASSO model selection, and so on. YUIMA also supports stochastic numerical analysis by fast computation of the expected value of functionals of stochastic processes through automatic asymptotic expansion by means of the Malliavin calculus. All models can be multidimensional, multiparametric or non parametric.The book explains briefly the underlying theory for simulation and inference of several classes of stochastic processes and then presents both simulation experiments and applications to real data. Although these processes have been originally proposed in physics and more recently in finance, they are becoming popular also in biology due to the fact the time course experimental data are now available. The YUIMA package, available on CRAN, can be freely downloaded and this companion book will make the user able to start his or her analysis from the first page.




[PDF] Stochastic Analysis And Applications To Finance

Stochastic Analysis and Applications to Finance PDF
Author: Tusheng Zhang
Publisher: World Scientific
ISBN: 9814383570
Size: 46.30 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 450
View: 7365

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Stochastic Analysis And Applications To Finance

by Tusheng Zhang, release date 2012, Stochastic Analysis And Applications To Finance Books available in PDF, EPUB, Mobi Format. Download Stochastic Analysis And Applications To Finance books, A collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. It covers the topics ranging from Markov processes, backward stochastic differential equations, stochastic partial differential equations, and stochastic control, to risk measure and risk theory.




[PDF] Introduction To Stochastic Analysis

Introduction to Stochastic Analysis PDF
Author: Vigirdas Mackevicius
Publisher: John Wiley & Sons
ISBN: 1118603249
Size: 75.46 MB
Format: PDF, ePub
Category : Mathematics
Languages : en
Pages : 288
View: 3352

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Introduction To Stochastic Analysis

by Vigirdas Mackevicius, release date 2013-02-07, Introduction To Stochastic Analysis Books available in PDF, EPUB, Mobi Format. Download Introduction To Stochastic Analysis books, This is an introduction to stochastic integration and stochasticdifferential equations written in an understandable way for a wideaudience, from students of mathematics to practitioners in biology,chemistry, physics, and finances. The presentation is based on thenaïve stochastic integration, rather than on abstract theoriesof measure and stochastic processes. The proofs are rather simplefor practitioners and, at the same time, rather rigorous formathematicians. Detailed application examples in natural sciencesand finance are presented. Much attention is paid to simulationdiffusion processes. The topics covered include Brownian motion; motivation ofstochastic models with Brownian motion; Itô and Stratonovichstochastic integrals, Itô’s formula; stochasticdifferential equations (SDEs); solutions of SDEs as Markovprocesses; application examples in physical sciences and finance;simulation of solutions of SDEs (strong and weak approximations).Exercises with hints and/or solutions are also provided.




[PDF] Stochastic Analysis Stochastic Systems And Applications To Finance

Stochastic Analysis  Stochastic Systems  and Applications to Finance PDF
Author: Allanus Hak-Man Tsoi
Publisher: World Scientific
ISBN: 9814355712
Size: 14.64 MB
Format: PDF, Docs
Category : Electronic books
Languages : en
Pages : 261
View: 6564

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Stochastic Analysis Stochastic Systems And Applications To Finance

by Allanus Hak-Man Tsoi, release date 2011, Stochastic Analysis Stochastic Systems And Applications To Finance Books available in PDF, EPUB, Mobi Format. Download Stochastic Analysis Stochastic Systems And Applications To Finance books, This book introduces some advanced topics in probability theories OCo both pure and applied OCo is divided into two parts. The first part deals with the analysis of stochastic dynamical systems, in terms of Gaussian processes, white noise theory, and diffusion processes. The second part of the book discusses some up-to-date applications of optimization theories, martingale measure theories, reliability theories, stochastic filtering theories and stochastic algorithms towards mathematical finance issues such as option pricing and hedging, bond market analysis, volatility studies and asset trading modeling.




[PDF] Simulation And Inference For Stochastic Differential Equations

Simulation and Inference for Stochastic Differential Equations PDF
Author: Stefano M. Iacus
Publisher: Springer Science & Business Media
ISBN: 9780387758398
Size: 62.75 MB
Format: PDF, ePub, Docs
Category : Computers
Languages : en
Pages : 286
View: 6607

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Simulation And Inference For Stochastic Differential Equations

by Stefano M. Iacus, release date 2009-04-27, Simulation And Inference For Stochastic Differential Equations Books available in PDF, EPUB, Mobi Format. Download Simulation And Inference For Stochastic Differential Equations books, This book covers a highly relevant and timely topic that is of wide interest, especially in finance, engineering and computational biology. The introductory material on simulation and stochastic differential equation is very accessible and will prove popular with many readers. While there are several recent texts available that cover stochastic differential equations, the concentration here on inference makes this book stand out. No other direct competitors are known to date. With an emphasis on the practical implementation of the simulation and estimation methods presented, the text will be useful to practitioners and students with minimal mathematical background. What’s more, because of the many R programs, the information here is appropriate for many mathematically well educated practitioners, too.




[PDF] Stochastic Processes

Stochastic Processes PDF
Author: Wolfgang Paul
Publisher: Springer Science & Business Media
ISBN: 9783540665601
Size: 75.45 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 231
View: 407

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Stochastic Processes

by Wolfgang Paul, release date 1999, Stochastic Processes Books available in PDF, EPUB, Mobi Format. Download Stochastic Processes books, The book is an introduction to stochastic processes with applications from physics and finance. It introduces the basic notions of probability theory and the mathematics of stochastic processes. The applications that we discuss are chosen to show the interdisciplinary character of the concepts and methods and are taken from physics and finance. Due to its interdisciplinary character and choice of topics, the book can show students and researchers in physics how models and techniques used in their field can be translated into and applied in the field of finance and risk-management. On the other hand, a practitioner from the field of finance will find models and approaches recently developed in the emerging field of econophysics for understanding the stochastic price behavior of financial assets.




[PDF] Stochastic Processes With Applications To Finance

Stochastic Processes with Applications to Finance PDF
Author: Masaaki Kijima
Publisher: CRC Press
ISBN: 9781584882244
Size: 10.42 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 288
View: 4122

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Stochastic Processes With Applications To Finance

by Masaaki Kijima, release date 2002-07-29, Stochastic Processes With Applications To Finance Books available in PDF, EPUB, Mobi Format. Download Stochastic Processes With Applications To Finance books, In recent years, modeling financial uncertainty using stochastic processes has become increasingly important, but it is commonly perceived as requiring a deep mathematical background. Stochastic Processes with Applications to Finance shows that this is not necessarily so. It presents the theory of discrete stochastic processes and their applications in finance in an accessible treatment that strikes a balance between the abstract and the practical. Using an approach that views sophisticated stochastic calculus as based on a simple class of discrete processes-"random walks"-the author first provides an elementary introduction to the relevant areas of real analysis and probability. He then uses random walks to explain the change of measure formula, the reflection principle, and the Kolmogorov backward equation. The Black-Scholes formula is derived as a limit of binomial model, and applications to the pricing of derivative securities are presented. Another primary focus of the book is the pricing of corporate bonds and credit derivatives, which the author explains in terms of discrete default models. By presenting important results in discrete processes and showing how to transfer those results to their continuous counterparts, Stochastic Processes with Applications to Finance imparts an intuitive and practical understanding of the subject. This unique treatment is ideal both as a text for a graduate-level class and as a reference for researchers and practitioners in financial engineering, operations research, and mathematical and statistical finance.




[PDF] Numerical Solution Of Stochastic Differential Equations With Jumps In Finance

Numerical Solution of Stochastic Differential Equations with Jumps in Finance PDF
Author: Eckhard Platen
Publisher: Springer Science & Business Media
ISBN: 364213694X
Size: 74.29 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 856
View: 3366

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Numerical Solution Of Stochastic Differential Equations With Jumps In Finance

by Eckhard Platen, release date 2010-07-23, Numerical Solution Of Stochastic Differential Equations With Jumps In Finance Books available in PDF, EPUB, Mobi Format. Download Numerical Solution Of Stochastic Differential Equations With Jumps In Finance books, In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992). The present monograph builds on the above-mentioned work and provides an introduction to stochastic differential equations with jumps, in both theory and application, emphasizing the numerical methods needed to solve such equations. It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability. Furthermore, it includes chapters on exact simulation, estimation and filtering. Besides serving as a basic text on quantitative methods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen as the area of application because much of the recent research on stochastic numerical methods has been driven by challenges in quantitative finance. Moreover, the volume introduces readers to the modern benchmark approach that provides a general framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate background in mathematical or quantitative methods, is accessible to a broad readership, including those who are only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics.