Peter Carr Gedenkschrift: Research Advances In Mathematical Finance
Peter Carr Gedenkschrift: Research Advances In Mathematical Finance

Author: Robert A Jarrow

Publisher: World Scientific

Published: 2023-11-10

Total Pages: 866

ISBN-13: 9811280312

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This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.

Peter Carr Gedenkschrift
Peter Carr Gedenkschrift

Author: Robert A Jarrow

Publisher: World Scientific Publishing Company

Published: 2023-09

Total Pages: 0

ISBN-13: 9789811280290

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This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.

Advances in Mathematical Finance
Advances in Mathematical Finance

Author: Michael C. Fu

Publisher: Springer Science & Business Media

Published: 2007-06-22

Total Pages: 345

ISBN-13: 0817645454

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This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Author: Jean-Pierre Fouque

Publisher: Cambridge University Press

Published: 2011-09-29

Total Pages: 456

ISBN-13: 113950245X

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Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

Author: Nizar Touzi

Publisher: Springer Science & Business Media

Published: 2012-09-25

Total Pages: 219

ISBN-13: 1461442869

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This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.​

Morrey Spaces
Morrey Spaces

Author: Yoshihiro Sawano

Publisher: CRC Press

Published: 2020-09-16

Total Pages: 316

ISBN-13: 1000064077

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Morrey spaces were introduced by Charles Morrey to investigate the local behaviour of solutions to second order elliptic partial differential equations. The technique is very useful in many areas in mathematics, in particular in harmonic analysis, potential theory, partial differential equations and mathematical physics. Across two volumes, the authors of Morrey Spaces: Introduction and Applications to Integral Operators and PDE’s discuss the current state of art and perspectives of developments of this theory of Morrey spaces, with the emphasis in Volume II focused mainly generalizations and interpolation of Morrey spaces. Features Provides a ‘from-scratch’ overview of the topic readable by anyone with an understanding of integration theory Suitable for graduate students, masters course students, and researchers in PDE's or Geometry Replete with exercises and examples to aid the reader’s understanding

Ancient Greek Linguistics
Ancient Greek Linguistics

Author: Felicia Logozzo

Publisher: Walter de Gruyter GmbH & Co KG

Published: 2017-11-07

Total Pages: 876

ISBN-13: 3110551756

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The volume assembles about 50 contributions presented at the Intenational Colloquium on Ancient Greek Linguistics, held in Rome, March 2015. This Colloquium opened a new series of international conferences that has replaced previous national meetings on this subject. They embrace essential topics of Ancient Greek Linguistics with different theoretical and methodological approaches: particles and their functional uses; phonology; tense, aspect, modality; syntax and thematic roles; lexicon and onomastics; Greek and other languages; speech acts and pragmatics.

The Differential Effects of Oil Demand and Supply Shocks on the Global Economy
The Differential Effects of Oil Demand and Supply Shocks on the Global Economy

Author: Mr.Paul Cashin

Publisher: International Monetary Fund

Published: 2012-10-23

Total Pages: 41

ISBN-13: 1475596073

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We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic effects for different countries. The results indicate that the economic consequences of a supply-driven oil-price shock are very different from those of an oil-demand shock driven by global economic activity, and vary for oil-importing countries compared to energy exporters. While oil importers typically face a long-lived fall in economic activity in response to a supply-driven surge in oil prices, the impact is positive for energy-exporting countries that possess large proven oil/gas reserves. However, in response to an oil-demand disturbance, almost all countries in our sample experience long-run inflationary pressures and a short-run increase in real output.

Business Optimization Using Mathematical Programming
Business Optimization Using Mathematical Programming

Author: Josef Kallrath

Publisher: Springer Nature

Published: 2021-08-31

Total Pages: 653

ISBN-13: 3030732371

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This book presents a structured approach to formulate, model, and solve mathematical optimization problems for a wide range of real world situations. Among the problems covered are production, distribution and supply chain planning, scheduling, vehicle routing, as well as cutting stock, packing, and nesting. The optimization techniques used to solve the problems are primarily linear, mixed-integer linear, nonlinear, and mixed integer nonlinear programming. The book also covers important considerations for solving real-world optimization problems, such as dealing with valid inequalities and symmetry during the modeling phase, but also data interfacing and visualization of results in a more and more digitized world. The broad range of ideas and approaches presented helps the reader to learn how to model a variety of problems from process industry, paper and metals industry, the energy sector, and logistics using mathematical optimization techniques.

Elementary Mathematics Curriculum Materials
Elementary Mathematics Curriculum Materials

Author: Janine T. Remillard

Publisher: Springer Nature

Published: 2020-03-16

Total Pages: 329

ISBN-13: 3030385884

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The book presents comparative analyses of five elementary mathematics curriculum programs used in the U.S. from three different perspectives: the mathematical emphasis, the pedagogical approaches, and how authors communicate with teachers. These perspectives comprise a framework for examining what curriculum materials are comprised of, what is involved in reading and interpreting them, and how curriculum authors can and do support teachers in this process. Although the focus of the analysis is 5 programs used at a particular point in time, this framework extends beyond these specific programs and illuminates the complexity of curriculum materials and their role in teaching in general. Our analysis of the mathematical emphasis considers how the mathematics content is presented in each program, in terms of sequencing, the nature of mathematical tasks (cognitive demand and ongoing practice), and the way representations are used. Our analysis of the pedagogical approach examines explicit and implicit messages about how students should interact with mathematics, one another, the teacher, and the textbook around these mathematical ideas, as well as the role of the teacher. In order to examine how curriculum authors support teachers, we analyze how they communicate with teachers and what they communicate about, including the underlying mathematics, noticing student thinking, and rationale for design elements. The volume includes a chapter on curriculum design decisions based on interviews with curriculum authors.