Entropy Methods for Martingales
Author: Yoichi Nishiyama
Publisher:
Published: 2000
Total Pages: 158
ISBN-13:
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Option Pricing in Incomplete Markets
Author: Yoshio Miyahara
Publisher: World Scientific
Published: 2012
Total Pages: 200
ISBN-13: 1848163487
DOWNLOAD EBOOKThis volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem
The Method of Maximum Entropy
Author: Henryk Gzyl
Publisher: World Scientific
Published: 1995
Total Pages: 161
ISBN-13: 9810218125
DOWNLOAD EBOOKThis monograph is an outgrowth of a set of lecture notes on the maximum entropy method delivered at the 1st Venezuelan School of Mathematics. This yearly event aims at acquainting graduate students and university teachers with the trends, techniques and open problems of current interest. In this book the author reviews several versions of the maximum entropy method and makes its underlying philosophy clear.
PDE and Martingale Methods in Option Pricing
Author: Andrea Pascucci
Publisher: Springer Science & Business Media
Published: 2011-04-15
Total Pages: 727
ISBN-13: 8847017815
DOWNLOAD EBOOKThis book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.
Concentration of Measure Inequalities in Information Theory, Communications, and Coding
Author: Maxim Raginsky
Publisher:
Published: 2014
Total Pages: 256
ISBN-13: 9781601989062
DOWNLOAD EBOOKConcentration of Measure Inequalities in Information Theory, Communications, and Coding focuses on some of the key modern mathematical tools that are used for the derivation of concentration inequalities, on their links to information theory, and on their various applications to communications and coding.
Convexity and Concentration
Author: Eric Carlen
Publisher: Springer
Published: 2017-04-20
Total Pages: 620
ISBN-13: 1493970054
DOWNLOAD EBOOKThis volume presents some of the research topics discussed at the 2014-2015 Annual Thematic Program Discrete Structures: Analysis and Applications at the Institute of Mathematics and its Applications during the Spring 2015 where geometric analysis, convex geometry and concentration phenomena were the focus. Leading experts have written surveys of research problems, making state of the art results more conveniently and widely available. The volume is organized into two parts. Part I contains those contributions that focus primarily on problems motivated by probability theory, while Part II contains those contributions that focus primarily on problems motivated by convex geometry and geometric analysis. This book will be of use to those who research convex geometry, geometric analysis and probability directly or apply such methods in other fields.
State of the Art in Probability and Statistics
Author: Mathisca de Gunst
Publisher: IMS
Published: 2001
Total Pages: 660
ISBN-13: 9780940600508
DOWNLOAD EBOOKMartingale Methods in Financial Modelling
Author: Marek Musiela
Publisher: Springer Science & Business Media
Published: 2006-01-20
Total Pages: 721
ISBN-13: 3540266534
DOWNLOAD EBOOKA new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Author: Cira Perna
Publisher: Springer Science & Business Media
Published: 2012-03-08
Total Pages: 402
ISBN-13: 8847023424
DOWNLOAD EBOOKThe book develops the capabilities arising from the cooperation between mathematicians and statisticians working in insurance and finance fields. It gathers some of the papers presented at the conference MAF2010, held in Ravello (Amalfi coast), and successively, after a reviewing process, worked out to this aim.
Concentration Inequalities
Author: Stéphane Boucheron
Publisher: Oxford University Press
Published: 2013-02-07
Total Pages: 492
ISBN-13: 0199535256
DOWNLOAD EBOOKDescribes the interplay between the probabilistic structure (independence) and a variety of tools ranging from functional inequalities to transportation arguments to information theory. Applications to the study of empirical processes, random projections, random matrix theory, and threshold phenomena are also presented.
