Asymptotic Theory of Transaction Costs
Author:
Publisher:
Published:
Total Pages:
ISBN-13: 9783037191736
DOWNLOAD EBOOKPosts
Markets with Transaction Costs
Author: Yuri Kabanov
Publisher: Springer
Published: 2012-05-04
Total Pages: 294
ISBN-13: 9783642262784
DOWNLOAD EBOOKThe book is the first monograph on this highly important subject.
Differential Equations & Asymptotic Theory in Mathematical Physics
Author: Zhen Hua
Publisher: World Scientific
Published: 2004
Total Pages: 390
ISBN-13: 9789812702395
DOWNLOAD EBOOKThis lecture notes volume encompasses four indispensable mini courses delivered at Wuhan University with each course containing the material from five one-hour lectures. Readers are brought up to date with exciting recent developments in the areas of asymptotic analysis, singular perturbations, orthogonal polynomials, and the application of Gevrey asymptotic expansion to holomorphic dynamical systems. The book also features important invited papers presented at the conference. Leading experts in the field cover a diverse range of topics from partial differential equations arising in cancer biology to transonic shock waves. The proceedings have been selected for coverage in: . OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings). OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings). OCo CC Proceedings OCo Engineering & Physical Sciences."
Portfolio Theory and Arbitrage: A Course in Mathematical Finance
Author: Ioannis Karatzas
Publisher: American Mathematical Soc.
Published: 2021-08-12
Total Pages: 309
ISBN-13: 1470460149
DOWNLOAD EBOOKThis book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called “Kelly” or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization. The book contains a considerable amount of new research and results, as well as a significant number of exercises. It can be used as a basic text for graduate courses in Probability and Stochastic Analysis, and in Mathematical Finance. No prior familiarity with finance is required, but it is assumed that readers have a good working knowledge of real analysis, measure theory, and of basic probability theory. Familiarity with stochastic analysis is also assumed, as is integration with respect to continuous semimartingales.
Markets with Transaction Costs
Author: Yuri Kabanov
Publisher: Springer Science & Business Media
Published: 2009-12-04
Total Pages: 306
ISBN-13: 3540681213
DOWNLOAD EBOOKThe book is the first monograph on this highly important subject.
Paris-Princeton Lectures on Mathematical Finance 2013
Author: Fred Espen Benth
Publisher: Springer
Published: 2013-07-11
Total Pages: 326
ISBN-13: 3319004131
DOWNLOAD EBOOKThe current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.
Handbook of Stochastic Analysis and Applications
Author: D. Kannan
Publisher: CRC Press
Published: 2001-10-23
Total Pages: 790
ISBN-13: 1482294702
DOWNLOAD EBOOKAn introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Machine Learning and Data Sciences for Financial Markets
Author: Agostino Capponi
Publisher: Cambridge University Press
Published: 2023-04-30
Total Pages: 743
ISBN-13: 1009034030
DOWNLOAD EBOOKLeveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.
Proceedings, "WASCOM 2003"
Author: Roberto Monaco
Publisher: World Scientific
Published: 2004
Total Pages: 600
ISBN-13: 9789812702937
DOWNLOAD EBOOKThis book contains about 20 invited papers and 40 contributed papers in the research areas of theoretical continuum mechanics, kinetic theory and numerical applications of continuum mechanics. Collectively these papers give a good overview of the activities and developments in these fields in the last few years. The proceedings have been selected for coverage in: . OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings). OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings). OCo CC Proceedings OCo Engineering & Physical Sciences. Contents: Chaos in Some Linear Kinetic Models (J Banasiak); Inverse Problems in Photon Transport. Part I: Determination of Physical and Geometrical Features of an Interstellar Cloud (A Belleni-Morante et al.); Inverse Problems in Photon Transport. Part II: Features of a Source Inside an Interstellar Cloud (A Belleni-Morante & R Riganti); The Riemann Problem for a Binary Non-Reacting Mixture of Euler Fluids (F Brini & T Ruggeri); Rate of Convergence toward the Equilibrium in Degenerate Settings (L Desvillettes & C Villani); Asymptotic and Other Properties of Positive Definite Integral Measures for Nonlinear Diffusion (J N Flavin); Thermocapillary Fluid and Adiabatic Waves Near its Critical Point (H Gouin); Constitutive Models for Atactic Elastomers (C O Horgan & G Saccomandi); Considerations about the Gibbs Paradox (I Mller); Transport Coefficients in Stochastic Models of the Revised Enskog and Square-Well Kinetic Theories (J Polewczak & G Stell); Some Recent Mathematical Results in Mixtures Theory of Euler Fluids (T Ruggeri); From Kinetic Systems to Diffusion Equations (F Salvarani & J L Vizquez); Non-Boussinesq Convection in Porous Media (B Straughan); and other papers. Readership: Researchers, academics and graduate students working in the fields of continuum mechanics, wave propagation, stability in fluids, kinetic theory and computational fluid dynamics."
Introduction to Mathematical Finance
Author: David C. Heath Glen Swindle
Publisher: American Mathematical Soc.
Published: 2000-01-25
Total Pages: 184
ISBN-13: 9780821867624
DOWNLOAD EBOOKThe foundation for the subject of mathematical finance was laid nearly 100 years ago by Bachelier in his fundamental work, Theorie de la speculation. In this work, he provided the first treatment of Brownian motion. Since then, the research of Markowitz, and then of Black, Merton, Scholes, and Samuelson brought remarkable and important strides in the field. A few years later, Harrison and Kreps demonstrated the fundamental role of martingales and stochastic analysis in constructing and understanding models for financial markets. The connection opened the door for a flood of mathematical developments and growth. Concurrently with these mathematical advances, markets have grown, and developments in both academia and industry continue to expand. This lively activity inspired an AMS Short Course at the Joint Mathematics Meetings in San Diego (CA). The present volume includes the written results of that course. Articles are featured by an impressive list of recognized researchers and practitioners. Their contributions present deep results, pose challenging questions, and suggest directions for future research. This collection offers compelling introductory articles on this new, exciting, and rapidly growing field.
