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Author: Léonard Gallardo
Publisher: Editions Hermann
ISBN: 9782705667979
Category :
Languages : fr
Pages : 239
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Book Description
Le mouvement brownien est l'objet central du calcul des probabilités modernes : il est à la fois une martingale, un processus gaussien, un processus à accroissements indépendants et un processus de Markov. Présentation de ses propriétés avec les deux outils qu'il permet de développer : l'intégrale d'Itô et la notion d'équation différentielle stochastique. Avec des exercices de difficulté variée.
Author: Léonard Gallardo
Publisher: Editions Hermann
ISBN: 9782705667979
Category :
Languages : fr
Pages : 239
Get Book Here
Book Description
Le mouvement brownien est l'objet central du calcul des probabilités modernes : il est à la fois une martingale, un processus gaussien, un processus à accroissements indépendants et un processus de Markov. Présentation de ses propriétés avec les deux outils qu'il permet de développer : l'intégrale d'Itô et la notion d'équation différentielle stochastique. Avec des exercices de difficulté variée.
Author: René L. Schilling
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 311074127X
Category : Mathematics
Languages : en
Pages : 533
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Book Description
Stochastic processes occur everywhere in the sciences, economics and engineering, and they need to be understood by (applied) mathematicians, engineers and scientists alike. This book gives a gentle introduction to Brownian motion and stochastic processes, in general. Brownian motion plays a special role, since it shaped the whole subject, displays most random phenomena while being still easy to treat, and is used in many real-life models. Im this new edition, much material is added, and there are new chapters on ''Wiener Chaos and Iterated Itô Integrals'' and ''Brownian Local Times''.
Author: Ioannis Karatzas
Publisher:
ISBN: 9781468403039
Category :
Languages : en
Pages : 496
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Book Description
Author: Louis Bachelier
Publisher: Princeton University Press
ISBN: 1400829305
Category : Business & Economics
Languages : en
Pages : 205
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Book Description
March 29, 1900, is considered by many to be the day mathematical finance was born. On that day a French doctoral student, Louis Bachelier, successfully defended his thesis Théorie de la Spéculation at the Sorbonne. The jury, while noting that the topic was "far away from those usually considered by our candidates," appreciated its high degree of originality. This book provides a new translation, with commentary and background, of Bachelier's seminal work. Bachelier's thesis is a remarkable document on two counts. In mathematical terms Bachelier's achievement was to introduce many of the concepts of what is now known as stochastic analysis. His purpose, however, was to give a theory for the valuation of financial options. He came up with a formula that is both correct on its own terms and surprisingly close to the Nobel Prize-winning solution to the option pricing problem by Fischer Black, Myron Scholes, and Robert Merton in 1973, the first decisive advance since 1900. Aside from providing an accurate and accessible translation, this book traces the twin-track intellectual history of stochastic analysis and financial economics, starting with Bachelier in 1900 and ending in the 1980s when the theory of option pricing was substantially complete. The story is a curious one. The economic side of Bachelier's work was ignored until its rediscovery by financial economists more than fifty years later. The results were spectacular: within twenty-five years the whole theory was worked out, and a multibillion-dollar global industry of option trading had emerged.
Author: Austin M 1876-1956 Patterson
Publisher: Scholar Select
ISBN: 9781296567972
Category :
Languages : en
Pages : 340
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Book Description
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Bernard Fernandez
Publisher: Springer Science & Business Media
ISBN: 1461441803
Category : Science
Languages : en
Pages : 541
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Book Description
Unravelling the Mystery of the Atomic Nucleus is a history of atomic and nuclear physics. It begins in 1896 with the discovery of radioactivity, which leads to the discovery of the nucleus at the center of the atom. It follows the experimental discoveries and the theoretical developments up to the end of the Fifties. Unlike previous books regarding on history of nuclear physics, this book methodically describes how advances in technology enabled physicists to probe the physical properties of nuclei as well as how the physical laws which govern these microscopic systems were progressively discovered. The reader will gain a clear understanding of how theory is inextricably intertwined with the progress of technology. Unravelling the Mystery of the Atomic Nucleus will be of interest to physicists and to historians of physics, as well as those interested development of science.
Author: Helyette Geman
Publisher: Springer Science & Business Media
ISBN: 3662124297
Category : Mathematics
Languages : en
Pages : 522
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Book Description
The Bachelier Society for Mathematical Finance held its first World Congress in Paris last year, and coincided with the centenary of Louis Bacheliers thesis defence. In his thesis Bachelier introduces Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options. The thesis is viewed by many the key event that marked the emergence of mathematical finance as a scientific discipline. The prestigious list of plenary speakers in Paris included two Nobel laureates, Paul Samuelson and Robert Merton, and the mathematicians Henry McKean and S.R.S. Varadhan. Over 130 further selected talks were given in three parallel sessions. .
Author: Constance Reid
Publisher: Springer Science & Business Media
ISBN: 9780387983578
Category : Biography & Autobiography
Languages : en
Pages : 338
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Book Description
Jerzy Neyman received the National Medal of Science "for laying the foundations of modern statistics and devising tests and procedures that have become essential parts of the knowledge of every statistician." Until his death in 1981 at the age of 87, Neyman was vigorously involved in the concerns and controversies of the day, a scientist whose personality and activity were integral parts of his contribution to science. His career is thus particularly well-suited for the non-technical life-story which Constance Reid has made her own in such well-received biographies of Hilbert and Courant. She was able to talk extensively with Neyman and have access to his personal and professional letters and papers. Her book will thus appeal to professional statisticians as well as amateurs wanting to learn about a subject which permeates almost every aspect of modern life.
Author: Burton G. Malkiel
Publisher: W. W. Norton & Company
ISBN: 0393330338
Category : Business & Economics
Languages : en
Pages : 454
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Book Description
Updated with a new chapter that draws on behavioral finance, the field that studies the psychology of investment decisions, the bestselling guide to investing evaluates the full range of financial opportunities.
Author: Mark E. Mahowald
Publisher: American Mathematical Soc.
ISBN: 0821851020
Category : Mathematics
Languages : en
Pages : 366
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Book Description
This book will provide readers with an overview of some of the major developments in current research in algebraic topology. Representing some of the leading researchers in the field, the book contains the proceedings of the International Conference on Algebraic Topology, held at Northwestern University in March, 1988. Several of the lectures at the conference were expository and will therefore appeal to topologists in a broad range of areas. The primary emphasis of the book is on homotopy theory and its applications. The topics covered include elliptic cohomology, stable and unstable homotopy theory, classifying spaces, and equivariant homotopy and cohomology. Geometric topics--such as knot theory, divisors and configurations on surfaces, foliations, and Siegel spaces--are also discussed. Researchers wishing to follow current trends in algebraic topology will find this book a valuable resource.
