Authors:Damien Lamberton, Bernard Lapeyre, Nicolas Rabeau,
Publisher: Springer
Keywords: stochastic, modeling, finance, calculus, introduction, applied
Number of Pages: 200
Published: 1996-06-13
List price: $99.00
ISBN-10: 0412718006
ISBN-13: 9780412718007

In recent years the growing importance of derivative products financial markets has increased financial institutions’ demands for mathematical skills. This book introduces the mathematical methods of financial modelling with clear explanations of the most useful models. Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in appl

Author: Masaaki Kijima
Publisher: Chapman and Hall/CRC
Keywords: modeling, stochastic, series, processes, markov
Number of Pages: 341
Published: 1997-01-01
List price: $119.95
ISBN-10: 0412606607
ISBN-13: 9780412606601

This book presents an algebraic development of the theory of countable state space Markov chains with discrete and continuous time parameters.

Authors:Samuel Karlin, Howard M. Taylor,
Publisher: Academic Press
Keywords: third, modeling, stochastic, introduction
Number of Pages: 631
Published: 1998-02-20
List price: $101.00
ISBN-10: 0126848874
ISBN-13: 9780126848878

Serving as the foundation for a one-semester course in stochastic processes for students familiar with elementary probability theory and calculus, Introduction to Stochastic Modeling, Third Edition, bridges the gap between basic probability and an intermediate level course in stochastic processes. The objectives of the text are to introduce students to the standard concepts and methods of stochastic modeling, to illustrate the rich diversity of applications of stochastic processes in the applied sciences, and to provide exercises in the application of simple stochastic analysis to realistic pr

Author: V. G. Kulkarni
Publisher: Springer
Keywords: springer, texts, statistics, systems, stochastic, modeling, analysis, introduction
Number of Pages: 328
Published: 2010-11-10
List price: $89.95
ISBN-10: 1441917713
ISBN-13: 9781441917713

This book provides a self-contained review of all the relevant topics in probability theory. A software package called MAXIM, which runs on MATLAB, is made available for downloading. Vidyadhar G. Kulkarni is Professor of Operations Research at the University of North Carolina at Chapel Hill.

Author: Nicolas Privault
Publisher: World Scientific Publishing Company
Keywords: statistical, series, science, applied, probability, advanced, modeling, introduction, stochastic, interest, rate, elementary
Number of Pages: 192
Published: 2008-10-13
List price: $54.00
ISBN-10: 9812832734
ISBN-13: 9789812832733

This textbook is written as an accessible introduction to interest rate modeling and related derivatives, which have become increasingly important subjects of interest in financial mathematics. The models considered range from standard short rate to forward rate models and include more advanced topics such as the BGM model and an approach to its calibration. An elementary treatment of the pricing of caps and swaptions under forward measures is also provided, with a focus on explicit calculations and a step-by-step introduction of concepts. Each chapter is accompanied with exercises and

Author: Gennady Samorodnitsky
Publisher: Chapman and Hall/CRC
Keywords: stochastic, infinite, variance, modeling, series, models, stable, gaussian, random, processes, non
Number of Pages: 632
Published: 1994-06-01
List price: $144.95
ISBN-10: 0412051710
ISBN-13: 9780412051715

Each chapter begins with a brief overview and concludes with a range of exercises at varying levels of difficulty. Proofs are spelled out in detail. DLC: Gaussian processes.

Authors:G. Latouche, V. Ramaswami,
Publisher: Society for Industrial Mathematics
Keywords: statistics, series, applied, probability, spanish, english, siam, asa, analytic, matrix, methods, stochastic, modeling, introduction
Number of Pages: 348
Published: 1987-01-01
List price: $77.00
ISBN-10: 0898714257
ISBN-13: 9780898714258

Matrix analytic methods are popular as modeling tools because they give one the ability to construct and analyze a wide class of queuing models in a unified and algorithmically tractable way. The authors present the basic mathematical ideas and algorithms of the matrix analytic theory in a readable, up-to-date, and comprehensive manner. In the current literature, a mixed bag of techniques is used-some probabilistic, some from linear algebra, and some from transform methods. Here, many new proofs that emphasize the unity of the matrix analytic approach are included.