Author:
Publisher: Dr. Vuong Quan Hoang
ISBN:
Category :
Languages : en
Pages : 12

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Author:
Publisher: Dr. Vuong Quan Hoang
ISBN:
Category :
Languages : en
Pages : 7

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Author: Rolf Jeltsch
Publisher: Dr. Vuong Quan Hoang
ISBN: 7040219034
Category : Applied mathematics
Languages : en
Pages : 24

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Book Description
The Shanghai Forum on Industrial and Applied Mathematics was organized in May 2006 on the occasion that many famous industrial and applied mathematicians gathered in Shanghai from different countries to participate in the Officers' Meeting and the Board Meeting of the ICIAM (International Council for Industrial and Applied Mathematics). This volume collects the material covered by the majority of the lectures of which reflects panoramically recent results and trends in industrial and applied mathematics. This book will be very useful for graduate students and researchers in industrial and applied mathematics.

Author: Edmundas Kazimieras Zavadskas
Publisher: MDPI
ISBN: 3039210068
Category : Technology & Engineering
Languages : en
Pages : 202

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Book Description
This Special Issue covers symmetry and asymmetry phenomena occurring in real-life problems. We invited authors to submit their theoretical or experimental research presenting engineering and economic problem solution models dealing with the symmetry or asymmetry of different types of information. The issue gained interest in the research community and received many submissions. After rigorous scientific evaluation by editors and reviewers, nine papers were accepted and published. The authors proposed different MADM and MODM solution models as integrated tools to find a balance between the components of sustainable global development, to find a symmetry axis concerning goals, risks, and constraints to cope with the complicated problems. Most approaches suggested decision models under uncertainty, combining the usual decision-making methods with interval-valued fuzzy or rough sets theory, also Z numbers. The application fields of the proposed models involved both problems of technological sciences and social sciences. The papers cover three essential areas: engineering, economy, and management. We hope that a summary of the Special Issue as provided here will encourage a detailed analysis of the papers included in the Printed Edition.

Author: Yu. V. Borovskikh
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110944685
Category : Mathematics
Languages : en
Pages : 336

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Book Description
No detailed description available for "Martingale Approximation".

Author: David Bryan Colwell
Publisher:
ISBN:
Category :
Languages : en
Pages : 170

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Author: Easwar Subramanian
Publisher:
ISBN:
Category :
Languages : en
Pages : 29

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Book Description
We revisit the problem of optimally hedging a European contingent claim (ECC) using a hedging portfolio consisting of a risky asset that can be traded at pre-specified discrete times. The objective function to be minimized is either the second-moment or the variance of the hedging error calculated in the market probability measure. The main outcome of our work is to show that unique solutions exist in a larger class of admissible strategies under integrability and non-degeneracy conditions on the hedging asset price process that are weaker than previously thought possible. Specifically, we do not require the hedging asset price process to be square-integrable, and do not use the bounded mean-variance trade off assumption. Our criterion for admissible strategies only requires the cumulative trading gain, and not the incremental trading gains, to be square integrable. We derive explicit expressions for the second-moment and the variance of the hedging error to arrive at the respective optimal hedging strategies. We use the expressions mentioned above to also give explicit solutions to two constrained mean-variance frontier problems, namely, minimizing the variance subject to a lower bound on the mean profit, and maximizing the mean profit subject to an upper bound on the variance. Further, we explain the connections between our solution and that of the previous formulations. Finally, we identify the associated variance-optimal martingale measure and provide an expression for the L2-approximation price of the hedged ECC in that measure.

Author: Günter Last
Publisher:
ISBN:
Category :
Languages : en
Pages : 38

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Author: Fima C. Klebaner
Publisher: Imperial College Press
ISBN: 1860945554
Category : Mathematics
Languages : en
Pages : 431

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Book Description
This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.

Author: Robert C. Merton
Publisher: Wiley-Blackwell
ISBN: 9780631185086
Category : Business & Economics
Languages : en
Pages : 754

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Book Description
Robert C. Merton's widely-used text provides an overview and synthesis of finance theory from the perspective of continuous-time analysis. It covers individual finance choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance.