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Fundamentals of Advanced Mathematics, Volume Three, begins with the study of differential and analytic infinite-dimensional manifolds, then progresses into fibered bundles, in particular, tangent and cotangent bundles. In addition, subjects covered include the tensor...
Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with...
The three volumes of this series of books, of which this is the second, put forward the mathematical elements that make up the foundations of a number of contemporary scientific methods: modern theory on systems, physics and engineering. Whereas the first volume focused...
Finance and insurance companies are facing a wide range of parametric statistical problems. Statistical experiments generated by a sample of independent and identically distributed random variables are frequent and well understood, especially those consisting of...
Floating-point arithmetic is ubiquitous in modern computing, as it is the tool of choice to approximate real numbers. Due to its limited range and precision, its use can become quite involved and potentially lead to numerous failures. One way to greatly increase...
Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of...
This precis, comprised of three volumes, of which this book is the first, exposes the mathematical elements which make up the foundations of a number of contemporary scientific methods: modern theory on systems, physics and engineering. This first volume focuses...
Nonlinear Theory of Elastic Plates provides the theoretical materials necessary for the three plate models—Cosserat plates, Reissner-Mindlin plates and Kirchhoff-Love plates— in the context of finite elastic deformations. One separate chapter is devoted to the...
Exterior Algebras: Elementary Tribute to Grassmann's Ideas provides the theoretical basis for exterior computations. It first addresses the important question of constructing (pseudo)-Euclidian Grassmmann's algebras. Then, it shows how the latter can be used to treat a...
Simulation has now become an integral part of research and development across many fields of study. Despite the large amounts of literature in the field of simulation and modeling, one recurring problem is the issue of accuracy and confidence level of constructed...
Factorization Method for Boundary Value Problems by Invariant Embedding presents a new theory for linear elliptic boundary value problems. The authors provide a transformation of the problem in two initial value problems that are uncoupled, enabling you to solve these...
Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach deals with continuous-time risk models and covers several aspects of risk theory. The first of them is the smoothness of the survival probabilities. In particular, the book provides a detailed...
This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black–Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic...
Finance Mathematics is devoted to financial markets both with discrete and continuous time, exploring how to make the transition from discrete to continuous time in option pricing. This book features a detailed dynamic model of financial markets with discrete time, for...
Optimization Tools for Logistics covers the theory and practice of the main principles of operational research and the ways it can be applied to logistics and decision support with regards to common software. The book is supported by worked problems and examples from...
This book presents a crisis scenario generator with black swans, black butterflies and worst case scenarios. It is the most useful scenario generator that can be used to manage assets in a crisis-prone period, offering more reliable values for Value at Risk (VaR),...
Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to...
In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to...
Uncertainty Quantification (UQ) is a relatively new research area which describes the methods and approaches used to supply quantitative descriptions of the effects of uncertainty, variability and errors in simulation problems and models. It is rapidly becoming a field...
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