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Author: Hans Bühlmann
Publisher: Springer Science & Business Media
ISBN: 3540307117
Category : Mathematics
Languages : en
Pages : 218
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Book Description
From the reviews: "The huge literature in risk theory has been carefully selected and supplemented by personal contributions of the author, many of which appear here for the first time. The result is a systematic and very readable book, which takes into account the most recent developments of the field. It will be of great interest to the actuary as well as to the statistician . . ." -- Math. Reviews Vol. 43
Author: Hans Bühlmann
Publisher: Springer Science & Business Media
ISBN: 3540307117
Category : Mathematics
Languages : en
Pages : 218
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Book Description
From the reviews: "The huge literature in risk theory has been carefully selected and supplemented by personal contributions of the author, many of which appear here for the first time. The result is a systematic and very readable book, which takes into account the most recent developments of the field. It will be of great interest to the actuary as well as to the statistician . . ." -- Math. Reviews Vol. 43
Author: Ludger Rüschendorf
Publisher: Springer Science & Business Media
ISBN: 364233590X
Category : Mathematics
Languages : en
Pages : 414
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Book Description
The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory that are of special relevance to finance and insurance. Describing the influence of dependence in multivariate stochastic models on risk vectors is the main focus of the text that presents main ideas and methods as well as their relevance to practical applications. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence and to the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant to optimal risk allocation, optimal portfolio problems as well as to the optimization of insurance contracts. Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortably reading and working with the present volume, which is intended for graduate students, practitioners and researchers and can serve as a reference resource for the main concepts and techniques.
Author: Sergio M. Focardi
Publisher: John Wiley & Sons
ISBN: 1118312635
Category : Business & Economics
Languages : en
Pages : 325
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Book Description
The mathematical and statistical tools needed in the rapidly growing quantitative finance field With the rapid growth in quantitative finance, practitioners must achieve a high level of proficiency in math and statistics. Mathematical Methods and Statistical Tools for Finance, part of the Frank J. Fabozzi Series, has been created with this in mind. Designed to provide the tools needed to apply finance theory to real world financial markets, this book offers a wealth of insights and guidance in practical applications. It contains applications that are broader in scope from what is covered in a typical book on mathematical techniques. Most books focus almost exclusively on derivatives pricing, the applications in this book cover not only derivatives and asset pricing but also risk management—including credit risk management—and portfolio management. Includes an overview of the essential math and statistical skills required to succeed in quantitative finance Offers the basic mathematical concepts that apply to the field of quantitative finance, from sets and distances to functions and variables The book also includes information on calculus, matrix algebra, differential equations, stochastic integrals, and much more Written by Sergio Focardi, one of the world's leading authors in high-level finance Drawing on the author's perspectives as a practitioner and academic, each chapter of this book offers a solid foundation in the mathematical tools and techniques need to succeed in today's dynamic world of finance.
Author: S.-N. Chow
Publisher: Springer Science & Business Media
ISBN: 1461381592
Category : Mathematics
Languages : en
Pages : 529
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Book Description
An alternative title for this book would perhaps be Nonlinear Analysis, Bifurcation Theory and Differential Equations. Our primary objective is to discuss those aspects of bifurcation theory which are particularly meaningful to differential equations. To accomplish this objective and to make the book accessible to a wider we have presented in detail much of the relevant background audience, material from nonlinear functional analysis and the qualitative theory of differential equations. Since there is no good reference for some of the mate rial, its inclusion seemed necessary. Two distinct aspects of bifurcation theory are discussed-static and dynamic. Static bifurcation theory is concerned with the changes that occur in the structure of the set of zeros of a function as parameters in the function are varied. If the function is a gradient, then variational techniques play an important role and can be employed effectively even for global problems. If the function is not a gradient or if more detailed information is desired, the general theory is usually local. At the same time, the theory is constructive and valid when several independent parameters appear in the function. In differential equations, the equilibrium solutions are the zeros of the vector field. Therefore, methods in static bifurcation theory are directly applicable.
Author: Kai Lai Chung
Publisher: Springer Science & Business Media
ISBN: 1475717768
Category : Mathematics
Languages : en
Pages : 248
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Book Description
This book evolved from several stacks of lecture notes written over a decade and given in classes at slightly varying levels. In transforming the over lapping material into a book, I aimed at presenting some of the best features of the subject with a minimum of prerequisities and technicalities. (Needless to say, one man's technicality is another's professionalism. ) But a text frozen in print does not allow for the latitude of the classroom; and the tendency to expand becomes harder to curb without the constraints of time and audience. The result is that this volume contains more topics and details than I had intended, but I hope the forest is still visible with the trees. The book begins at the beginning with the Markov property, followed quickly by the introduction of option al times and martingales. These three topics in the discrete parameter setting are fully discussed in my book A Course In Probability Theory (second edition, Academic Press, 1974). The latter will be referred to throughout this book as the Course, and may be considered as a general background; its specific use is limited to the mate rial on discrete parameter martingale theory cited in § 1. 4. Apart from this and some dispensable references to Markov chains as examples, the book is self-contained.
Author: D. Kubert
Publisher: Springer Science & Business Media
ISBN: 1475717415
Category : Mathematics
Languages : en
Pages : 371
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Book Description
In the present book, we have put together the basic theory of the units and cuspidal divisor class group in the modular function fields, developed over the past few years. Let i) be the upper half plane, and N a positive integer. Let r(N) be the subgroup of SL (Z) consisting of those matrices == 1 mod N. Then r(N)\i) 2 is complex analytic isomorphic to an affine curve YeN), whose compactifi cation is called the modular curve X(N). The affine ring of regular functions on yeN) over C is the integral closure of C[j] in the function field of X(N) over C. Here j is the classical modular function. However, for arithmetic applications, one considers the curve as defined over the cyclotomic field Q(JlN) of N-th roots of unity, and one takes the integral closure either of Q[j] or Z[j], depending on how much arithmetic one wants to throw in. The units in these rings consist of those modular functions which have no zeros or poles in the upper half plane. The points of X(N) which lie at infinity, that is which do not correspond to points on the above affine set, are called the cusps, because of the way they look in a fundamental domain in the upper half plane. They generate a subgroup of the divisor class group, which turns out to be finite, and is called the cuspidal divisor class group.
Author: George Polya
Publisher: Springer Science & Business Media
ISBN: 3642619835
Category : Mathematics
Languages : en
Pages : 415
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Book Description
From the reviews: "The work is one of the real classics of this century; it has had much influence on teaching, on research in several branches of hard analysis, particularly complex function theory, and it has been an essential indispensable source book for those seriously interested in mathematical problems." Bulletin of the American Mathematical Society
Author: C. C. Graham
Publisher: Springer Science & Business Media
ISBN: 1461299764
Category : Mathematics
Languages : en
Pages : 483
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Book Description
This book considers various spaces and algebras made up of functions, measures, and other objects-situated always on one or another locally compact abelian group, and studied in the light of the Fourier transform. The emphasis is on the objects themselves, and on the structure-in-detail of the spaces and algebras. A mathematician needs to know only a little about Fourier analysis on the commutative groups, and then may go many ways within the large subject of harmonic analysis-into the beautiful theory of Lie group representations, for example. But this book represents the tendency to linger on the line, and the other abelian groups, and to keep asking questions about the structures thereupon. That tendency, pursued since the early days of analysis, has defined a field of study that can boast of some impressive results, and in which there still remain unanswered questions of compelling interest. We were influenced early in our careers by the mathematicians Jean-Pierre Kahane, Yitzhak Katznelson, Paul Malliavin, Yves Meyer, Joseph Taylor, and Nicholas Varopoulos. They are among the many who have made the field a productive meeting ground of probabilistic methods, number theory, diophantine approximation, and functional analysis. Since the academic year 1967-1968, when we were visitors in Paris and Orsay, the field has continued to see interesting developments. Let us name a few. Sam Drury and Nicholas Varopoulos solved the union problem for Helson sets, by proving a remarkable theorem (2.1.3) which has surely not seen its last use.
Author: J.-P. Aubin
Publisher: Springer Science & Business Media
ISBN: 3642695124
Category : Mathematics
Languages : en
Pages : 353
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Book Description
A great impetus to study differential inclusions came from the development of Control Theory, i.e. of dynamical systems x'(t) = f(t, x(t), u(t)), x(O)=xo "controlled" by parameters u(t) (the "controls"). Indeed, if we introduce the set-valued map F(t, x)= {f(t, x, u)}ueu then solutions to the differential equations (*) are solutions to the "differen tial inclusion" (**) x'(t)EF(t, x(t)), x(O)=xo in which the controls do not appear explicitely. Systems Theory provides dynamical systems of the form d x'(t)=A(x(t)) dt (B(x(t))+ C(x(t)); x(O)=xo in which the velocity of the state of the system depends not only upon the x(t) of the system at time t, but also on variations of observations state B(x(t)) of the state. This is a particular case of an implicit differential equation f(t, x(t), x'(t)) = 0 which can be regarded as a differential inclusion (**), where the right-hand side F is defined by F(t, x)= {vlf(t, x, v)=O}. During the 60's and 70's, a special class of differential inclusions was thoroughly investigated: those of the form X'(t)E - A(x(t)), x (0) =xo where A is a "maximal monotone" map. This class of inclusions contains the class of "gradient inclusions" which generalize the usual gradient equations x'(t) = -VV(x(t)), x(O)=xo when V is a differentiable "potential". 2 Introduction There are many instances when potential functions are not differentiable
Author: Kosaku Yosida
Publisher: Springer Science & Business Media
ISBN: 3642964397
Category : Mathematics
Languages : en
Pages : 514
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Book Description
The present book is based on lectures given by the author at the University of Tokyo during the past ten years. It is intended as a textbook to be studied by students on their own or to be used in a course on Functional Analysis, i. e. , the general theory of linear operators in function spaces together with salient features of its application to diverse fields of modern and classical analysis. Necessary prerequisites for the reading of this book are summarized, with or without proof, in Chapter 0 under titles: Set Theory, Topo logical Spaces, Measure Spaces and Linear Spaces. Then, starting with the chapter on Semi-norms, a general theory of Banach and Hilbert spaces is presented in connection with the theory of generalized functions of S. L. SOBOLEV and L. SCHWARTZ. While the book is primarily addressed to graduate students, it is hoped it might prove useful to research mathe maticians, both pure and applied. The reader may pass, e. g. , from Chapter IX (Analytical Theory of Semi-groups) directly to Chapter XIII (Ergodic Theory and Diffusion Theory) and to Chapter XIV (Integration of the Equation of Evolution). Such materials as "Weak Topologies and Duality in Locally Convex Spaces" and "Nuclear Spaces" are presented in the form of the appendices to Chapter V and Chapter X, respectively. These might be skipped for the first reading by those who are interested rather in the application of linear operators.
