ADVANCED SERIES ON STATISTICAL SCIENCE & APPLIED PROBABILITY – serie
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25 produkter
RANDOM WALKS OF INFINITELY MANY PARTICLES
Av Pál Révész
Inbunden, 1994
1258 kr
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The author's previous book, Random Walk in Random and Non-Random Environments, was devoted to the investigation of the Brownian motion of a simple particle. The present book studies the independent motions of infinitely many particles in the d-dimensional Euclidean space Rd. In Part I the particles …
RUIN PROBABILITIES
Inbunden, 2000
1726 kr
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The book is a comprehensive treatment of classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér–Lundberg approximation, exact solutions, other approximations (eg. for heavy-tailed claim size distributions), finite horizon ruin probabilities, …
PRINCIPLES OF STATISTICAL INFERENCE FROM A NEO-FISHERIAN PERSPECTIVE
Av Luigi Pace, Alessandra Salvan
Inbunden, 1997
1370 kr
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In this book, an integrated introduction to statistical inference is provided from a frequentist likelihood-based viewpoint. Classical results are presented together with recent developments, largely built upon ideas due to R.A. Fisher. The term “neo-Fisherian” highlights this.After a unified …
ELEMENTARY STOCHASTIC CALCULUS, WITH FINANCE IN VIEW
Inbunden, 1998
797 kr
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Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory.This book is suitable for the reader without a …
ESSENTIALS OF STOCHASTIC FINANCE: FACTS, MODELS, THEORY
Inbunden, 1999
4330 kr
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This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of …
STATISTICAL EXPERIMENTS AND DECISION, ASYMPTOTIC THEORY
Inbunden, 2000
1588 kr
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This volume provides an exposition of some fundamental aspects of the asymptotic theory of statistical experiments. The most important of them is “how to construct asymptotically optimal decisions if we know the structure of optimal decisions for the limit experiment”.
NON-GAUSSIAN MERTON-BLACK-SCHOLES THEORY
Av Svetlana I Boyarchenko, Sergei Z Levendorskii
Inbunden, 2002
2164 kr
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This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy processes of the exponential type) and related analytical methods similar to the initial Merton–Black–Scholes approach, which the authors call the Merton–Black–Scholes …
STOCHASTIC INTEREST RATE MODELING WITH FIXED INCOME DERIVATIVE PRICING (THIRD EDITION)
Inbunden, 2021
1644 kr
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This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and …
PRINCIPLES OF STATISTICAL INFERENCE FROM A NEO-FISHERIAN PERSPECTIVE
Av Luigi Pace, Alessandra Salvan
Häftad, 1997
732 kr
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In this book, an integrated introduction to statistical inference is provided from a frequentist likelihood-based viewpoint. Classical results are presented together with recent developments, largely built upon ideas due to R.A. Fisher. The term “neo-Fisherian” highlights this.After a unified …
LIMIT THEOREMS FOR ASSOCIATED RANDOM FIELDS AND RELATED SYSTEMS
Av Alexander Bulinski, Alexey Shashkin
Inbunden, 2007
2443 kr
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This volume is devoted to the study of asymptotic properties of wide classes of stochastic systems arising in mathematical statistics, percolation theory, statistical physics and reliability theory. Attention is paid not only to positive and negative associations introduced in the pioneering papers …
STOCHASTIC MODELING OF ELECTRICITY AND RELATED MARKETS
Av Fred Espen Benth, Jūratė Šaltytė Benth m. fl.
Inbunden, 2008
1955 kr
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The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is …
ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING, AN
Inbunden, 2008
1121 kr
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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 …
RUIN PROBABILITIES (SECOND EDITION)
Av Søren Asmussen, Hansjörg Albrecher
Häftad, 2010
1322 kr
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The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, …
RUIN PROBABILITIES (SECOND EDITION)
Second Edition
Av Søren Asmussen, Hansjörg Albrecher
Inbunden, 2010
3157 kr
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The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, …
CHANGE OF TIME AND CHANGE OF MEASURE
Av Ole E Barndorff-Nielsen, Albert Shiryaev
Inbunden, 2010
1009 kr
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Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law.Random change of time is key to understanding the nature of various stochastic …
HEDGING DERIVATIVES
Av Thorsten Rheinländer, Jenny Sexton
Inbunden, 2011
1296 kr
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Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. …
ELEMENTARY INTRODUCTION TO STOCHASTIC INTEREST RATE MODELING, AN (2ND EDITION)
Inbunden, 2012
1204 kr
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Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each …
MODELING AND PRICING IN FINANCIAL MARKETS FOR WEATHER DERIVATIVES
Av Fred Espen Benth, Jūratė Šaltytė Benth
Inbunden, 2012
1345 kr
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Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial …
ANALYSIS FOR DIFFUSION PROCESSES ON RIEMANNIAN MANIFOLDS
Av Feng-Yu Wang
Inbunden, 2013
2026 kr
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Stochastic analysis on Riemannian manifolds without boundary has been well established. However, the analysis for reflecting diffusion processes and sub-elliptic diffusion processes is far from complete. This book contains recent advances in this direction along with new ideas and efficient …
SPATIAL BRANCHING IN RANDOM ENVIRONMENTS AND WITH INTERACTION
Inbunden, 2015
1302 kr
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This unique volume discusses some recent developments in the theory of spatial branching processes and superprocesses, with special emphasis on spines, Laws of Large Numbers, interactions and random media.Although this book is mainly written for mathematicians, the models discussed are relevant to …
RISK-SENSITIVE INVESTMENT MANAGEMENT
Av Mark H A Davis, Sébastien Lleo
Inbunden, 2014
2197 kr
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Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment …
RISK-SENSITIVE INVESTMENT MANAGEMENT
Av Mark H A Davis, Sébastien Lleo
Häftad, 2014
921 kr
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Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment …
CHANGE OF TIME AND CHANGE OF MEASURE (SECOND EDITION)
Av Ole E Barndorff-Nielsen, Albert Shiryaev
Inbunden, 2015
927 kr
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Change of Time and Change of Measure provides a comprehensive account of two topics that are of particular significance in both theoretical and applied stochastics: random change of time and change of probability law.Random change of time is key to understanding the nature of various stochastic …
LOCAL STEREOLOGY
Inbunden, 1998
1629 kr
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This book provides a unified exposition of local-stereological methods developed within the last 15 years. The object of local stereology is to draw inference about quantitative parameters of spatial structures which can be regarded as neighbourhoods of points, called reference points. The model …
STOCHASTIC METHODS IN HYDROLOGY: RAIN, LANDFORMS AND FLOODS
Av BARNDORFF-NIELSEN OLE E, O E Barndorff-Nielsen m. fl.
Inbunden, 1998
1683 kr
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This book communicates some contemporary mathematical and statistical developments in river basin hydrology as they pertain to space-time rainfall, spatial landform and network structures and their role in understanding averages and fluctuations in the hydrologic water balance of river basins. …
