Paris-Princeton Lectures on Mathematical Finance 2010 PDF Download
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Author: Areski Cousin
Publisher: Springer Science & Business Media
ISBN: 3642146597
Category : Mathematics
Languages : en
Pages : 374
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Book Description
The Paris-Princeton Lectures in Financial Mathematics, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with five articles by: 1. Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, 2. Stéphane Crépey, 3. Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, 4. David Hobson and 5. Peter Tankov.
Author: Areski Cousin
Publisher: Springer Science & Business Media
ISBN: 3642146597
Category : Mathematics
Languages : en
Pages : 374
Get Book Here
Book Description
The Paris-Princeton Lectures in Financial Mathematics, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with five articles by: 1. Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, 2. Stéphane Crépey, 3. Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, 4. David Hobson and 5. Peter Tankov.
Author: Peter Bank
Publisher: Springer
ISBN: 3540448594
Category : Mathematics
Languages : en
Pages : 185
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Book Description
The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by P. Bank/H. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.
Author: Fred Espen Benth
Publisher: Springer
ISBN: 3319004131
Category : Mathematics
Languages : en
Pages : 326
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Book Description
The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.
Author: François Delarue
Publisher: American Mathematical Society
ISBN: 1470455862
Category : Mathematics
Languages : en
Pages : 284
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Book Description
This volume is based on lectures delivered at the 2020 AMS Short Course “Mean Field Games: Agent Based Models to Nash Equilibria,” held January 13–14, 2020, in Denver, Colorado. Mean field game theory offers a robust methodology for studying large systems of interacting rational agents. It has been extraordinarily successful and has continued to develop since its inception. The six chapters that make up this volume provide an overview of the subject, from the foundations of the theory to applications in economics and finance, including computational aspects. The reader will find a pedagogical introduction to the main ingredients, from the forward-backward mean field game system to the master equation. Also included are two detailed chapters on the connection between finite games and mean field games, with a pedestrian description of the different methods available to solve the convergence problem. The volume concludes with two contributions on applications of mean field games and on existing numerical methods, with an opening to machine learning techniques.
Author: Emiliano Cristiani
Publisher: Springer
ISBN: 331906620X
Category : Mathematics
Languages : en
Pages : 271
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Book Description
This book presents mathematical models and numerical simulations of crowd dynamics. The core topic is the development of a new multiscale paradigm, which bridges the microscopic and macroscopic scales taking the most from each of them for capturing the relevant clues of complexity of crowds. The background idea is indeed that most of the complex trends exhibited by crowds are due to an intrinsic interplay between individual and collective behaviors. The modeling approach promoted in this book pursues actively this intuition and profits from it for designing general mathematical structures susceptible of application also in fields different from the inspiring original one. The book considers also the two most traditional points of view: the microscopic one, in which pedestrians are tracked individually and the macroscopic one, in which pedestrians are assimilated to a continuum. Selected existing models are critically analyzed. The work is addressed to researchers and graduate students.
Author: Stéphane Crépey
Publisher: CRC Press
ISBN: 1466516461
Category : Business & Economics
Languages : en
Pages : 380
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Book Description
Solve the DVA/FVA Overlap Issue and Effectively Manage Portfolio Credit Risk Counterparty Risk and Funding: A Tale of Two Puzzles explains how to study risk embedded in financial transactions between the bank and its counterparty. The authors provide an analytical basis for the quantitative methodology of dynamic valuation, mitigation, and hedging of bilateral counterparty risk on over-the-counter (OTC) derivative contracts under funding constraints. They explore credit, debt, funding, liquidity, and rating valuation adjustment (CVA, DVA, FVA, LVA, and RVA) as well as replacement cost (RC), wrong-way risk, multiple funding curves, and collateral. The first part of the book assesses today’s financial landscape, including the current multi-curve reality of financial markets. In mathematical but model-free terms, the second part describes all the basic elements of the pricing and hedging framework. Taking a more practical slant, the third part introduces a reduced-form modeling approach in which the risk of default of the two parties only shows up through their default intensities. The fourth part addresses counterparty risk on credit derivatives through dynamic copula models. In the fifth part, the authors present a credit migrations model that allows you to account for rating-dependent credit support annex (CSA) clauses. They also touch on nonlinear FVA computations in credit portfolio models. The final part covers classical tools from stochastic analysis and gives a brief introduction to the theory of Markov copulas. The credit crisis and ongoing European sovereign debt crisis have shown the importance of the proper assessment and management of counterparty risk. This book focuses on the interaction and possible overlap between DVA and FVA terms. It also explores the particularly challenging issue of counterparty risk in portfolio credit modeling. Primarily for researchers and graduate students in financial mathematics, the book is also suitable for financial quants, managers in banks, CVA desks, and members of supervisory bodies.
Author: Pierre Cardaliaguet
Publisher: Springer
ISBN: 3030019470
Category : Mathematics
Languages : en
Pages : 225
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Book Description
This volume covers selected topics addressed and discussed during the workshop “PDE models for multi-agent phenomena,” which was held in Rome, Italy, from November 28th to December 2nd, 2016. The content mainly focuses on kinetic equations and mean field games, which provide a solid framework for the description of multi-agent phenomena. The book includes original contributions on the theoretical and numerical study of the MFG system: the uniqueness issue and finite difference methods for the MFG system, MFG with state constraints, and application of MFG to market competition. The book also presents new contributions on the analysis and numerical approximation of the Fokker-Planck-Kolmogorov equations, the isotropic Landau model, the dynamical approach to the quantization problem and the asymptotic methods for fully nonlinear elliptic equations. Chiefly intended for researchers interested in the mathematical modeling of collective phenomena, the book provides an essential overview of recent advances in the field and outlines future research directions.
Author: Jean-François Chassagneux
Publisher: American Mathematical Society
ISBN: 1470453754
Category : Mathematics
Languages : en
Pages : 136
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Book Description
View the abstract.
Author: Vassili Kolokoltsov
Publisher: Springer
ISBN: 3030033775
Category : Mathematics
Languages : en
Pages : 536
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Book Description
This advanced book focuses on ordinary differential equations (ODEs) in Banach and more general locally convex spaces, most notably the ODEs on measures and various function spaces. It briefly discusses the fundamentals before moving on to the cutting edge research in linear and nonlinear partial and pseudo-differential equations, general kinetic equations and fractional evolutions. The level of generality chosen is suitable for the study of the most important nonlinear equations of mathematical physics, such as Boltzmann, Smoluchovskii, Vlasov, Landau-Fokker-Planck, Cahn-Hilliard, Hamilton-Jacobi-Bellman, nonlinear Schroedinger, McKean-Vlasov diffusions and their nonlocal extensions, mass-action-law kinetics from chemistry. It also covers nonlinear evolutions arising in evolutionary biology and mean-field games, optimization theory, epidemics and system biology, in general models of interacting particles or agents describing splitting and merging, collisions and breakage, mutations and the preferential-attachment growth on networks. The book is intended mainly for upper undergraduate and graduate students, but is also of use to researchers in differential equations and their applications. It particularly highlights the interconnections between various topics revealing where and how a particular result is used in other chapters or may be used in other contexts, and also clarifies the links between the languages of pseudo-differential operators, generalized functions, operator theory, abstract linear spaces, fractional calculus and path integrals.
Author: Agostino Capponi
Publisher: Cambridge University Press
ISBN: 1009034030
Category : Mathematics
Languages : en
Pages : 743
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Book Description
Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.
