Martingale

Martingale Methods in Statistics  eBooks & eLearning

Posted by yoyoloit at Oct. 24, 2021
Martingale Methods in Statistics

Martingale Methods in Statistics
by Yoichi Nishiyama

English | 2021 | ISBN: ‎ 1466582812 | 260 pages | True PDF | 4.85 MB

Model-free Hedging: A Martingale Optimal Transport Viewpoint  eBooks & eLearning

Posted by interes at June 10, 2017
Model-free Hedging: A Martingale Optimal Transport Viewpoint

Model-free Hedging: A Martingale Optimal Transport Viewpoint by Pierre Henry-Labordere
English | 2017 | ISBN: 1138062235 | 204 pages | PDF | 3,3 MB

Continuous-Time Asset Pricing Theory: A Martingale-Based Approach, 2nd Edition  eBooks & eLearning

Posted by hill0 at July 31, 2021
Continuous-Time Asset Pricing Theory: A Martingale-Based Approach, 2nd Edition

Continuous-Time Asset Pricing Theory: A Martingale-Based Approach
English | 2021 | ISBN: 3030744094 | 467 Pages | PDF EPUB | 23 MB
Martingale Hardy Spaces and Summability of One-Dimensional Vilenkin-Fourier Series

Martingale Hardy Spaces and Summability of One-Dimensional Vilenkin-Fourier Series
English | 2022 | ISBN: 3031144589 | 633 Pages | PDF (True) | 6.3 MB

Fluctuations in Markov Processes: Time Symmetry and Martingale Approximation  eBooks & eLearning

Posted by AvaxGenius at April 21, 2018
Fluctuations in Markov Processes: Time Symmetry and Martingale Approximation

Fluctuations in Markov Processes: Time Symmetry and Martingale Approximation by Tomasz Komorowski
English | PDF(Repost),EPUB | 2012 | 494 Pages | ISBN : 3642298796 | 11.86 MB

The present volume contains the most advanced theories on the martingale approach to central limit theorems. Using the time symmetry properties of the Markov processes, the book develops the techniques that allow us to deal with infinite dimensional models that appear in statistical mechanics and engineering (interacting particle systems, homogenization in random environments, and diffusion in turbulent flows, to mention just a few applications). The first part contains a detailed exposition of the method, and can be used as a text for graduate courses.

Martingale Methods in Financial Modelling (Repost)  eBooks & eLearning

Posted by AvaxGenius at Jan. 3, 2021
Martingale Methods in Financial Modelling (Repost)

Martingale Methods in Financial Modelling by Marek Musiela
English | PDF | 2005 | 721 Pages | ISBN : 3540209662 | 6.8 MB

This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model.

PDE and Martingale Methods in Option Pricing (Repost)  eBooks & eLearning

Posted by leonardo78 at May 21, 2018
PDE and Martingale Methods in Option Pricing (Repost)

PDE and Martingale Methods in Option Pricing by Andrea Pascucci
Language: English | 2011 | ISBN: 8847017807 | 721 pages | PDF | 6,5 MB

This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing.

Elements of Queueing Theory: Palm Martingale Calculus and Stochastic Recurrences  eBooks & eLearning

Posted by AvaxGenius at March 14, 2022
Elements of Queueing Theory: Palm Martingale Calculus and Stochastic Recurrences

Elements of Queueing Theory: Palm Martingale Calculus and Stochastic Recurrences by François Baccelli
English | PDF | 2003 | 346 Pages | ISBN : 3540660887 | 21.9 MB

The Palm theory and the Loynes theory of stationary systems are the two pillars of the modern approach to queuing. This book, presenting the mathematical foundations of the theory of stationary queuing systems, contains a thorough treatment of both of these.

Martingale Methods in Financial Modelling  eBooks & eLearning

Posted by AvaxGenius at March 14, 2022
Martingale Methods in Financial Modelling

Martingale Methods in Financial Modelling by Marek Musiela
English | PDF | 1997 | 521 Pages | ISBN : 354061477X | 50.5 MB

The origin of this book can be traced to courses on financial mathemat­ ics taught by us at the University of New South Wales in Sydney, Warsaw University of Technology (Politechnika Warszawska) and Institut National Polytechnique de Grenoble. Our initial aim was to write a short text around the material used in two one-semester graduate courses attended by students with diverse disciplinary backgrounds (mathematics, physics, computer sci­ ence, engineering, economics and commerce).

Martingale in diskreter Zeit: Theorie und Anwendungen  eBooks & eLearning

Posted by AvaxGenius at Sept. 16, 2022
Martingale in diskreter Zeit: Theorie und Anwendungen

Martingale in diskreter Zeit: Theorie und Anwendungen by 1Harald Luschgy
Deutsch | PDF | 2013 | 457 Pages | ISBN : 3642299601 | 3 MB

Dieses Lehrbuch bietet neben einer umfassenden Darstellung der Theorie der Martingale in diskreter Zeit auch ausführliche Anwendungen. Die behandelten Themen reichen von klassischem Material über Zerlegungen von stochastischen Prozessen und Submartingalen, quadratische Variation und quadratische Charakteristik, Kompensatoren und Potentiale, Stoppzeiten und gestoppte Prozesse, Ungleichungen, Konvergenz und lokale Konvergenz, starke Gesetze der großen Zahlen, Gesetze vom iterierten Logarithmus und den Zusammenhang mit Markov-Prozessen bis zu neueren Ergebnissen über exponentielle Ungleichungen, einen stabilen zentralen Grenzwertsatz mit exponentieller Rate und die optionale Zerlegung universeller Supermartingale. Die Anwendungen betreffen etwa das finanzmathematische Problem der Optionsbewertung, Verzweigungsprozesse und stochastische Approximationsalgorithmen. Mehr als 170 Übungsaufgaben ergänzen die Darstellung. In der deutschsprachigen Literatur findet man kein vergleichbares Buch.