Financial Modelling with Jump Processes

Financial Modelling with Jump Processes
Chapman & Hall/CRC 2003-12-30 ISBN: 1584884134 552 pages DjVu 4,8 MB

Winner of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Lévy processes are beyond their reach. Financial Modelling with Jump Processes shows that this is not so.It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations. Topics covered in this book include: jump-diffusion models, Lévy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms. This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations.
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Blackwell Encyclopedic Dictionary of Finance

Blackwell Encyclopedic Dictionary of Finance
Blackwell Pub 1997-09 ISBN: 155786912X 225 pages PDF 1,6 MB

The Dictionary has been carefully designed to give both the expert and the newcomer overviews and succinct presentations of the most important concepts, terms and techniques in modern finance. With entries ranging from extended explorations of major topics to short definitions of key terms, this major reference work gives the user: Authoritative and comprehensive coverage of the whole field.A fully indexed and cross-referenced for detailed research with relevant citations for further study.Definitive entries covering the very latest development in finance.A completely international perspective and author base. This dictionary is part of the Blackwell Encyclopedia of Management which contains ten further volumes covering each of the key areas of management science developed under the editorship of Professor Cary Cooper from the Manchester School of Management and Professor Chris Argyris of Harvard Business School.
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Financial Calculus: An Introduction to Derivative Pricing

Financial Calculus
Cambridge University Press 1996-09-28 ISBN: 0521552893 233 pages DjVu 1,7 MB

Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model.Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes method). They stress practicalities including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. The authors provide a full glossary of probabilistic and financial terms.Enjoy this great book! Brought to you by SMIRK
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Applied Choice Analysis: A Primer

Applied Choice Analysis
Cambridge University Press 2005-08-29 ISBN: 0521844266 742 pages PDF 5,2 MB

In recent years, there has been growing interest in the development and application of quantitative statistical methods to study choices made by individuals. This primer provides an introduction to the main techniques of choice analysis and also includes details on data collection and preparation, model estimation and interpretation and the design of choice experiments. A companion website offers practice data sets and software to apply modeling and data skills presented in the book.This book is massive, and hence the term "primer" may be a little misleading. But if you really want to understand how to model choice data for a range of models, the book is outstanding. Other books focus more on the econometrics of the models, which are pivotal to know. But this book builds upon that by walking you through a series of increasingly-complex models, allowing you to understand why you need to perform particular modeling tasks. Enjoy this great book! Brought to you by SMIRK

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A Guide to LATEX: Document Preparation for Beginners and Advanced Users

Helmut Kopka, Patrick W. Daly

“A Guide to LATEX: Document Preparation for Beginners and Advanced Users (3rd Edition)" Addison-Wesley Professional 1999-01-25 ISBN: 0201398257 Djvu 600 pages 8,5 Mb

A completely revised edition of this accessible guide to LATEX document preparation, bringing it up to date with the latest releases and Web ad PC based developments. A Guide to LATEX covers the basics as well as advanced LATEX topics and contains numerous practical examples and handy tips for avoiding problems. It covers the latest LATEX extensions and has been completely updated to cover latest releases and upgrades. The book explains the LATEX macro package for the TEX text formatting program, presenting a complete description for beginners, going on to more advanced and specialized features. Files for LATEX processing contain the actual text plus markup and programming command, al as ASCII text, something tat makes them portable to every computer system. The LATEX/TEX program processes these files to produce high-quality typeset results, especially for complicated mathematics.LATEX offers the user all the features of any text processing system: automatic section formatting, numbering of sections, figures, tables and equations, table of contents, lists of figures and tables, cross-referencing to the numbers, bibliography, keyword index, colour, inclusion of illustrations. All of these are demonstrated to the reader via examples and exercises through a structure that takes him or her from the simplest beginnings to the more complicated refinements.
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Theory of Periodic Conjugate Heat Transfer

Yuri B. Zudin “Theory of Periodic Conjugate Heat Transfer" Springer 2007-11-09 ISBN: 3540707239 162 pages PDF 1,6 MB A new calculation method is presented for heat transfer in coupled convective-conductive fluid-wall systems under periodical intensity oscillations in fluid flow. It is demonstrated that the true steady-state mean value of the heat transfer coefficient has to be multiplied by a newly defined coupling factor. This correction factor is always smaller than one and depends on the coupling parameters Biot number, Fourier number as well as dimensionless geometry and oscillation parameters. For characteristic periodic heat transfer problems, analytical solutions are given for the coupling factor. To facilitate engineering application, the monograph also presents the analytical results in accompanying tables and diagrams.
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Fractals and Hyperspaces

Keith R. Wicks “Fractals and Hyperspaces" Springer 1993-02-12 ISBN: 354054965X 168 pages PDF 8,2 MB Addressed to all readers with an interest in fractals, hyperspaces, fixed-point theory, tilings and nonstandard analysis, this book presents its subject in an original and accessible way complete with many figures. The first part of the book develops certain hyperspace theory concerning the Hausdorff metric and the Vietoris topology, as a foundation for what follows on self-similarity and fractality. A major feature is that nonstandard analysis is used to obtain new proofs of some known results much more slickly than before. The theory of J.E. Hutchinson's invariant sets (sets composed of smaller images of themselves) is developed, with a study of when such a set is tiled by its images and a classification of many invariant sets as either regular or residual. The last and most original part of the book introduces the notion of a "view" as part of a framework for studying the structure of sets within a given space. This leads to new, elegant concepts (defined purely topologically) of self-similarity and fractality: in particular, the author shows that many invariant sets are "visually fractal", i.e. have infinite detail in a certain sense. These ideas have considerable scope for further development, and a list of problems and lines of research is included.
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Mathematics of Financial Markets

Mathematics of Financial MarketsSpringer 1998-12-21 ISBN: 0387985530 304 pages PDF 1,4 MBRecent years have seen a number of introductory texts which focus on the applications of modern stochastic calculus to the theory of finance, and on the pricing models for derivative securities in particular. Some of these books develop the mathematics very quickly, making substantial demands on the readerÕs background in advanced probability theory. Others emphasize the financial applications and do not attempt a rigorous coverage of the continuous-time calculus.Enjoy this great book! Brought to you by SMIRK
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MATLAB Companion for Multivariable Calculus

Jeffery Cooper “MATLAB Companion for Multivariable Calculus" Academic Press 2000-12 ISBN: 012187625X 294 pages PDF 5,4 MB Offering a concise collection of MatLab programs and exercises to accompany a third semester course in multivariable calculus, A MatLab Companion for Multivariable Calculus introduces simple numerical procedures such as numerical differentiation, numerical integration and Newton's method in several variables, thereby allowing students to tackle realistic problems. The many examples show students how to use MatLab effectively and easily in many contexts. Numerous exercises in mathematics and applications areas are presented, graded from routine to more demanding projects requiring some programming. Matlab M-files are provided on the Harcourt/Academic Press web site at http://www.harcourt-ap.com/matlab.html.* Computer-oriented material that complements the essential topics in multivariable calculus* Main ideas presented with examples of computations and graphics displays using MATLAB * Numerous examples of short code in the text, which can be modified for use with the exercises* MATLAB files are used to implement graphics displays and contain a collection of mfiles which can serve as demos
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Foundations of Mathematical Logic

Haskell B. Curry “Foundations of Mathematical Logic" Dover Publications 1977-06-01 ISBN: 0486634620 416 pages Djvu 4,3 MB Comprehensive account of constructive theory of first-order predicate calculus. Covers formal methods including algorithms and epi-theory, brief treatment of Markov's approach to algorithms, elementary facts about lattices and similar algebraic systems, more. Philosophical and reflective as well as mathematical. Graduate-level course. 1963 edition. Exercises.
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