Peter Carr Gedenkschrift: Research Advances In Mathematical Finance PDF Download
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Author: Robert A Jarrow
Publisher: World Scientific
ISBN: 9811280312
Category : Business & Economics
Languages : en
Pages : 866
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Book Description
This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.
Author: Robert A Jarrow
Publisher: World Scientific
ISBN: 9811280312
Category : Business & Economics
Languages : en
Pages : 866
Get Book Here
Book Description
This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.
Author: Michael C. Fu
Publisher: Springer Science & Business Media
ISBN: 0817645454
Category : Business & Economics
Languages : en
Pages : 345
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Book Description
This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.
Author: Cornelis W Oosterlee
Publisher: World Scientific
ISBN: 1786347962
Category : Business & Economics
Languages : en
Pages : 1310
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Book Description
This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact
[email protected].
Author: Nizar Touzi
Publisher: Springer Science & Business Media
ISBN: 1461442869
Category : Mathematics
Languages : en
Pages : 219
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Book Description
This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.
Author: Yoshihiro Sawano
Publisher: CRC Press
ISBN: 1000064077
Category : Mathematics
Languages : en
Pages : 316
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Book Description
Morrey spaces were introduced by Charles Morrey to investigate the local behaviour of solutions to second order elliptic partial differential equations. The technique is very useful in many areas in mathematics, in particular in harmonic analysis, potential theory, partial differential equations and mathematical physics. Across two volumes, the authors of Morrey Spaces: Introduction and Applications to Integral Operators and PDE’s discuss the current state of art and perspectives of developments of this theory of Morrey spaces, with the emphasis in Volume II focused mainly generalizations and interpolation of Morrey spaces. Features Provides a ‘from-scratch’ overview of the topic readable by anyone with an understanding of integration theory Suitable for graduate students, masters course students, and researchers in PDE's or Geometry Replete with exercises and examples to aid the reader’s understanding
Author: Felicia Logozzo
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110551756
Category : Literary Criticism
Languages : en
Pages : 876
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Book Description
The volume assembles about 50 contributions presented at the Intenational Colloquium on Ancient Greek Linguistics, held in Rome, March 2015. This Colloquium opened a new series of international conferences that has replaced previous national meetings on this subject. They embrace essential topics of Ancient Greek Linguistics with different theoretical and methodological approaches: particles and their functional uses; phonology; tense, aspect, modality; syntax and thematic roles; lexicon and onomastics; Greek and other languages; speech acts and pragmatics.
Author: Albert Bernard Frank
Publisher:
ISBN:
Category : Botany, Economic
Languages : en
Pages : 252
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Book Description
Author: Josef Kallrath
Publisher: Springer Nature
ISBN: 3030732371
Category : Business & Economics
Languages : en
Pages : 653
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Book Description
This book presents a structured approach to formulate, model, and solve mathematical optimization problems for a wide range of real world situations. Among the problems covered are production, distribution and supply chain planning, scheduling, vehicle routing, as well as cutting stock, packing, and nesting. The optimization techniques used to solve the problems are primarily linear, mixed-integer linear, nonlinear, and mixed integer nonlinear programming. The book also covers important considerations for solving real-world optimization problems, such as dealing with valid inequalities and symmetry during the modeling phase, but also data interfacing and visualization of results in a more and more digitized world. The broad range of ideas and approaches presented helps the reader to learn how to model a variety of problems from process industry, paper and metals industry, the energy sector, and logistics using mathematical optimization techniques.
Author: Janine T. Remillard
Publisher: Springer Nature
ISBN: 3030385884
Category : Education
Languages : en
Pages : 329
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Book Description
The book presents comparative analyses of five elementary mathematics curriculum programs used in the U.S. from three different perspectives: the mathematical emphasis, the pedagogical approaches, and how authors communicate with teachers. These perspectives comprise a framework for examining what curriculum materials are comprised of, what is involved in reading and interpreting them, and how curriculum authors can and do support teachers in this process. Although the focus of the analysis is 5 programs used at a particular point in time, this framework extends beyond these specific programs and illuminates the complexity of curriculum materials and their role in teaching in general. Our analysis of the mathematical emphasis considers how the mathematics content is presented in each program, in terms of sequencing, the nature of mathematical tasks (cognitive demand and ongoing practice), and the way representations are used. Our analysis of the pedagogical approach examines explicit and implicit messages about how students should interact with mathematics, one another, the teacher, and the textbook around these mathematical ideas, as well as the role of the teacher. In order to examine how curriculum authors support teachers, we analyze how they communicate with teachers and what they communicate about, including the underlying mathematics, noticing student thinking, and rationale for design elements. The volume includes a chapter on curriculum design decisions based on interviews with curriculum authors.
Author: Ruth Abbey
Publisher: Routledge
ISBN: 1317490185
Category : Philosophy
Languages : en
Pages : 221
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Book Description
Charles Taylor is one of the most influential and prolific philosophers in the English-speaking world today. The breadth of his writings is unique, ranging from reflections on artificial intelligence to analyses of contemporary multicultural societies. This thought-provoking introduction to Taylor's work outlines his ideas in a coherent and accessible way without reducing their richness and depth. His contribution to many of the enduring debates within Western philosophy is examined and the arguments of his critics assessed. Taylor's reflections on the topics of moral theory, selfhood, political theory and epistemology form the core chapters within the book. Ruth Abbey engages with the secondary literature on Taylor's work and suggests that some criticisms by contemporaries have been based on misinterpretations and suggests ways in which a better understanding of Taylor's work leads to different criticisms of it. The book serves as an ideal companion to Taylor's ideas for students of philosophy and political theory, and will be welcomed by the non-specialist looking for an authoritative guide to Taylor's large and challenging body of work.
