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Author: Dennis Wong
Publisher: CRC Press
ISBN: 9780582304000
Category : Mathematics
Languages : en
Pages : 132
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Book Description
Provides mathematicians and applied researchers with a well-developed framework in which option pricing can be formulated, and a natural transition from the theory of optimal stopping problems to the valuation of different kinds of options. With the introduction of generalized optimal stopping theory, a unifying approach to option pricing is presented.
Author: Dennis Wong
Publisher: CRC Press
ISBN: 9780582304000
Category : Mathematics
Languages : en
Pages : 132
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Book Description
Provides mathematicians and applied researchers with a well-developed framework in which option pricing can be formulated, and a natural transition from the theory of optimal stopping problems to the valuation of different kinds of options. With the introduction of generalized optimal stopping theory, a unifying approach to option pricing is presented.
Author: Dennis Wong
Publisher: Routledge
ISBN: 1351445820
Category : Mathematics
Languages : en
Pages : 128
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Book Description
Provides mathematicians and applied researchers with a well-developed framework in which option pricing can be formulated, and a natural transition from the theory of optimal stopping problems to the valuation of different kinds of options. With the introduction of generalized optimal stopping theory, a unifying approach to option pricing is presented.
Author: Dmitrii S. Silvestrov
Publisher: Walter de Gruyter
ISBN: 3110329824
Category : Mathematics
Languages : en
Pages : 520
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Book Description
The book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The book also contains an extended bibliography of works in the area. This book is the first volume of the comprehensive two volumes monograph. The second volume will present results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.
Author: M Nedeljkov
Publisher: CRC Press
ISBN: 9780582356832
Category : Mathematics
Languages : en
Pages : 172
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Book Description
Results from the now-classical distribution theory involving convolution and Fourier transformation are extended to cater for Colombeau's generalized functions. Indications are given how these particular generalized functions can be used to investigate linear equations and pseudo differential operators. Furthermore, applications are also given to problems with nonregular data.
Author: John Roe
Publisher: CRC Press
ISBN: 1482247836
Category : Mathematics
Languages : en
Pages : 218
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Book Description
Ten years after publication of the popular first edition of this volume, the index theorem continues to stand as a central result of modern mathematics-one of the most important foci for the interaction of topology, geometry, and analysis. Retaining its concise presentation but offering streamlined analyses and expanded coverage of important exampl
Author: Doina Cioranescu
Publisher: CRC Press
ISBN: 9780582369269
Category : Mathematics
Languages : en
Pages : 354
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Book Description
This book presents the texts of selected lectures on recent work in the field of nonlinear partial differential equations delivered by leading international experts at the well-established weekly seminar held at the Collège de France. Emphasis is on applications to numerous areas, including control theory, theoretical physics, fluid and continuum mechanics, free boundary problems, dynamical systems, scientific computing, numerical analysis, and engineering. Proceedings of this seminar will be of particular interest to postgraduate students and specialists in the area of nonlinear partial differential equations.
Author: John Roe
Publisher: CRC Press
ISBN: 9780582325029
Category : Mathematics
Languages : en
Pages : 222
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Book Description
Ten years after publication of the popular first edition of this volume, the index theorem continues to stand as a central result of modern mathematics-one of the most important foci for the interaction of topology, geometry, and analysis. Retaining its concise presentation but offering streamlined analyses and expanded coverage of important examples and applications, Elliptic Operators, Topology, and Asymptotic Methods, Second Edition introduces the ideas surrounding the heat equation proof of the Atiyah-Singer index theorem. The author builds towards proof of the Lefschetz formula and the full index theorem with four chapters of geometry, five chapters of analysis, and four chapters of topology. The topics addressed include Hodge theory, Weyl's theorem on the distribution of the eigenvalues of the Laplacian, the asymptotic expansion for the heat kernel, and the index theorem for Dirac-type operators using Getzler's direct method. As a "dessert," the final two chapters offer discussion of Witten's analytic approach to the Morse inequalities and the L2-index theorem of Atiyah for Galois coverings. The text assumes some background in differential geometry and functional analysis. With the partial differential equation theory developed within the text and the exercises in each chapter, Elliptic Operators, Topology, and Asymptotic Methods becomes the ideal vehicle for self-study or coursework. Mathematicians, researchers, and physicists working with index theory or supersymmetry will find it a concise but wide-ranging introduction to this important and intriguing field.
Author: H-H Dai
Publisher: CRC Press
ISBN: 1000724549
Category : Mathematics
Languages : en
Pages : 260
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Book Description
The First Pan-China Conference on Differential Equations was held in Kunming, China in June of 1997. Researchers from around the world attended-including representatives from the US, Canada, and the Netherlands-but the majority of the speakers hailed from China and Hong Kong. This volume contains the plenary lectures and invited talks presented at that conference, and provides an excellent view of the research on differential equations being carried out in China. Most of the subjects addressed arose from actual applications and cover ordinary and partial differential equations. Topics include:
Author: Hartje Kriete
Publisher: CRC Press
ISBN: 9780582323889
Category : Mathematics
Languages : en
Pages : 204
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Book Description
In the last few decades, complex dynamical systems have received widespread public attention and emerged as one of the most active fields of mathematical research. Starting where other monographs in the subject end, Progress in Holomorphic Dynamics advances the theoretical aspects and recent results in complex dynamical systems, with particular emphasis on Siegel discs. Organized into four parts, the papers in this volume grew out of three workshops: two hosted by the Georg-August-Universität Göttingen and one at the "Mathematisches Forschungsinstitut Oberwolfach." Part I addresses linearization. The authors review Yoccoz's proof that the Brjuno condition is the optimal condition for linearizability of indifferent fixed points and offer a treatment of Perez-Marco's refinement of Yoccoz's work. Part II discusses the conditions necessary for the boundary of a Siegel disc to contain a critical point, builds upon Herman's work, and offers a survey of the state-of-the-art regarding the boundaries of Siegel discs. Part III deals with the topology of Julia sets with Siegel discs and contains a remarkable highlight: C.L. Petersen establishes the existence of Siegel discs of quadratic polynomials with a locally connected boundary. Keller, taking a different approach, explains the relations between locally connected "real Julia sets" with Siegel discs and the abstract concepts of kneading sequences and itineraries. Part IV closes the volume with four papers that review the different directions of present research in iteration theory. It includes discussions on the relations between commuting rational functions and their Julia sets, interactions between the iteration of polynomials and the iteration theory of entire transcendental functions, a deep analysis of the topology of the limbs of the Mandelbrot set, and an overview of complex dynamics in higher dimensions.
Author: K Farahmand
Publisher: CRC Press
ISBN: 9780582356221
Category : Mathematics
Languages : en
Pages : 180
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Book Description
Topics in Random Polynomials presents a rigorous and comprehensive treatment of the mathematical behavior of different types of random polynomials. These polynomials-the subject of extensive recent research-have many applications in physics, economics, and statistics. The main results are presented in such a fashion that they can be understood and used by readers whose knowledge of probability incorporates little more than basic probability theory and stochastic processes.
