Bocconi & Springer Series – serie
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24 produkter
24 produkter
Del 9 - Bocconi & Springer Series
Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations
Inbunden, Engelska, 2020
320 kr
Skickas inom 5-8 vardagar
This book is devoted to unstable solutions of stochastic differential equations (SDEs).
Del 9 - Bocconi & Springer Series
Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations
Häftad, Engelska, 2021
320 kr
Skickas inom 5-8 vardagar
This book is devoted to unstable solutions of stochastic differential equations (SDEs).
Del 10 - Bocconi & Springer Series
Selected Topics in Malliavin Calculus
Chaos, Divergence and So Much More
Inbunden, Engelska, 2022
491 kr
Skickas inom 10-15 vardagar
This book is not a research monograph about Malliavin calculus with the latest results and the most sophisticated proofs. For instance, we did not focus on the proof of concentration inequality for functionals of the Brownian motion, as it closely follows the lines of the analog result for Poisson functionals.
Del 10 - Bocconi & Springer Series
Selected Topics in Malliavin Calculus
Chaos, Divergence and So Much More
Häftad, Engelska, 2023
491 kr
Skickas inom 10-15 vardagar
This book is not a research monograph about Malliavin calculus with the latest results and the most sophisticated proofs. For instance, we did not focus on the proof of concentration inequality for functionals of the Brownian motion, as it closely follows the lines of the analog result for Poisson functionals.
Del 12 - Bocconi & Springer Series
Continuous Time Processes for Finance
Switching, Self-exciting, Fractional and other Recent Dynamics
Inbunden, Engelska, 2022
1 512 kr
Skickas inom 10-15 vardagar
This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets.
Del 12 - Bocconi & Springer Series
Continuous Time Processes for Finance
Switching, Self-exciting, Fractional and other Recent Dynamics
Häftad, Engelska, 2023
1 512 kr
Skickas inom 10-15 vardagar
This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets.
Del 11 - Bocconi & Springer Series
Stochastic Calculus via Regularizations
Inbunden, Engelska, 2022
1 727 kr
Skickas inom 10-15 vardagar
The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence.
Del 11 - Bocconi & Springer Series
Stochastic Calculus via Regularizations
Häftad, Engelska, 2023
1 727 kr
Skickas inom 10-15 vardagar
The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors. The definitions relies on a smoothing procedure of the integrator process, they generalize the usual Itô and Stratonovich integrals for Brownian motion but the integrator could also not be a semimartingale and the integrand is allowed to be anticipating. The resulting calculus requires a simple formalism: nevertheless it entails pathwise techniques even though it takes into account randomness. It allows connecting different types of pathwise and non pathwise integrals such as Young, fractional, Skorohod integrals, enlargement of filtration and rough paths. The covariation, but also high order variations, play a fundamental role in the calculus via regularization, which can also be applied for irregularintegrators. A large class of Gaussian processes, various generalizations of semimartingales such that Dirichlet and weak Dirichlet processes are revisited. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence. The book is addressed to PhD students and researchers in stochastic analysis and applications to various fields.
Del 5 - Bocconi & Springer Series
Functionals of Multidimensional Diffusions with Applications to Finance
Inbunden, Engelska, 2013
544 kr
Skickas inom 10-15 vardagar
This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form.
Del 5 - Bocconi & Springer Series
Functionals of Multidimensional Diffusions with Applications to Finance
Häftad, Engelska, 2015
544 kr
Skickas inom 10-15 vardagar
This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions.
Del 6 - Bocconi & Springer Series
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Inbunden, Engelska, 2015
544 kr
Skickas inom 10-15 vardagar
This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error.
Del 7 - Bocconi & Springer Series
Stochastic Analysis for Poisson Point Processes
Malliavin Calculus, Wiener-Itô Chaos Expansions and Stochastic Geometry
Inbunden, Engelska, 2016
1 404 kr
Skickas inom 10-15 vardagar
Stochastic geometry is the branch of mathematics that studies geometric structures associated with random configurations, such as random graphs, tilings and mosaics. Due to its close ties with stereology and spatial statistics, the results in this area are relevant for a large number of important applications, e.g. to the mathematical modeling and statistical analysis of telecommunication networks, geostatistics and image analysis. In recent years – due mainly to the impetus of the authors and their collaborators – a powerful connection has been established between stochastic geometry and the Malliavin calculus of variations, which is a collection of probabilistic techniques based on the properties of infinite-dimensional differential operators. This has led in particular to the discovery of a large number of new quantitative limit theorems for high-dimensional geometric objects. This unique book presents an organic collection of authoritative surveys written bythe principal actors in this rapidly evolving field, offering a rigorous yet lively presentation of its many facets.
Del 6 - Bocconi & Springer Series
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Häftad, Engelska, 2016
544 kr
Skickas inom 10-15 vardagar
This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error. It also presents some models, mostly in the field of finance, where these methods are relevant and provides some numerical experiments. The book explains the mathematical background to understand affine diffusions and analyze the accuracy of the schemes.
Inbunden, Engelska, 2018
1 297 kr
Skickas inom 10-15 vardagar
This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation in the use of stochastic diffusion models with Brownian motion is due to the fact that the motion has independent increments, and, therefore, the random noise it generates is “white,” i.e., uncorrelated. However, many processes in the natural sciences, computer networks and financial markets have long-term or short-term dependences, i.e., the correlations of random noise in these processes are non-zero, and slowly or rapidly decrease with time. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion. Therefore, the book constructs diffusion models with memory and provides simple and suitable parameter estimation methods in these models, making it a valuable resource for all researchers in this field. The book is addressed to specialists and researchers in the theory and statistics of stochastic processes, practitioners who apply statistical methods of parameter estimation, graduate and post-graduate students who study mathematical modeling and statistics.
Del 7 - Bocconi & Springer Series
Stochastic Analysis for Poisson Point Processes
Malliavin Calculus, Wiener-Itô Chaos Expansions and Stochastic Geometry
Häftad, Engelska, 2018
1 404 kr
Skickas inom 10-15 vardagar
Stochastic geometry is the branch of mathematics that studies geometric structures associated with random configurations, such as random graphs, tilings and mosaics.
Häftad, Engelska, 2019
1 297 kr
Skickas inom 10-15 vardagar
This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion.
Del 1 - Bocconi & Springer Series
Wiener Chaos: Moments, Cumulants and Diagrams
A survey with Computer Implementation
Inbunden, Engelska, 2010
544 kr
Skickas inom 10-15 vardagar
The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogonal polynomials associated with probability distributions on the real line. It plays a crucial role in modern probability theory, with applicationsranging from Malliavin calculus to stochastic differential equations and fromprobabilistic approximations to mathematical finance.This book is concerned with combinatorial structures arising from the studyof chaotic random variables related to infinitely divisible random measures. The combinatorial structures involved are those of partitions of finite sets, over which Möbius functions and related inversion formulae are defined. This combinatorial standpoint (which is originally due to Rota and Wallstrom) provides an ideal framework for diagrams, which are graphical devices used to compute moments and cumulants of random variables.Several applications are described, in particular, recent limit theorems for chaotic random variables. An Appendix presents a computer implementation in MATHEMATICA for many of the formulae.
Inbunden, Engelska, 2010
1 297 kr
Skickas inom 10-15 vardagar
This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics.
Inbunden, Engelska, 2011
1 082 kr
Skickas inom 10-15 vardagar
We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock.In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.
Häftad, Engelska, 2013
1 082 kr
Skickas inom 10-15 vardagar
We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock.In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.
Inbunden, Engelska, 2012
1 148 kr
Skickas
Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory.
Del 1 - Bocconi & Springer Series
Wiener Chaos: Moments, Cumulants and Diagrams
A survey with Computer Implementation
Häftad, Engelska, 2014
544 kr
Skickas inom 10-15 vardagar
The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogonal polynomials associated with probability distributions on the real line. It plays a crucial role in modern probability theory, with applicationsranging from Malliavin calculus to stochastic differential equations and fromprobabilistic approximations to mathematical finance.This book is concerned with combinatorial structures arising from the studyof chaotic random variables related to infinitely divisible random measures. The combinatorial structures involved are those of partitions of finite sets, over which Möbius functions and related inversion formulae are defined. This combinatorial standpoint (which is originally due to Rota and Wallstrom) provides an ideal framework for diagrams, which are graphical devices used to compute moments and cumulants of random variables.Several applications are described, in particular, recent limit theorems for chaotic random variables. An Appendix presents a computer implementation in MATHEMATICA for many of the formulae.
Häftad, Engelska, 2014
1 297 kr
Skickas inom 10-15 vardagar
This 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.
Häftad, Engelska, 2016
1 512 kr
Skickas inom 10-15 vardagar
Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory.