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1000 tulosta hakusanalla Nicolas Privault

Introduction to Stochastic Finance with Market Examples

Introduction to Stochastic Finance with Market Examples

Nicolas Privault

TAYLOR FRANCIS LTD
2022
sidottu
Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous-time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of stochastic calculus for finance, and details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, American options, derivatives, term structure modeling, and change of numéraire. It also builds up to special topics, such as exotic options, stochastic volatility, and jump processes.New to this EditionNew chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic VolatilityContains over 235 exercises and 16 problems with complete solutions available online from the instructor resourcesAdded over 150 graphs and figures, for more than 250 in total, to optimize presentation 57 R coding examples now integrated into the book for implementation of the methods Substantially class-tested, so ideal for course use or self-study With abundant exercises, problems with complete solutions, graphs and figures, and R coding examples, the book is primarily aimed at advanced undergraduate and graduate students in applied mathematics, financial engineering, and economics. It could be used as a course text or for self-study and would also be a comprehensive and accessible reference for researchers and practitioners in the field.
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Discrete Stochastic Processes

Discrete Stochastic Processes

Nicolas Privault

Springer International Publishing AG
2024
nidottu
This text presents selected applications of discrete-time stochastic processes that involve random interactions and algorithms, and revolve around the Markov property. It covers recurrence properties of (excited) random walks, convergence and mixing of Markov chains, distribution modeling using phase-type distributions, applications to search engines and probabilistic automata, and an introduction to the Ising model used in statistical physics. Applications to data science are also considered via hidden Markov models and Markov decision processes. A total of 32 exercises and 17 longer problems are provided with detailed solutions and cover various topics of interest, including statistical learning.
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Stochastic Analysis in Discrete and Continuous Settings

Stochastic Analysis in Discrete and Continuous Settings

Nicolas Privault

Springer-Verlag Berlin and Heidelberg GmbH Co. K
2009
nidottu
This volume gives a unified presentation of stochastic analysis for continuous and discontinuous stochastic processes, in both discrete and continuous time. It is mostly self-contained and accessible to graduate students and researchers having already received a basic training in probability. The simultaneous treatment of continuous and jump processes is done in the framework of normal martingales; that includes the Brownian motion and compensated Poisson processes as specific cases. In particular, the basic tools of stochastic analysis (chaos representation, gradient, divergence, integration by parts) are presented in this general setting. Applications are given to functional and deviation inequalities and mathematical finance.
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Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition)

Stochastic Interest Rate Modeling With Fixed Income Derivative Pricing (Third Edition)

Nicolas Privault

World Scientific Publishing Co Pte Ltd
2021
sidottu
This book introduces the mathematics of stochastic interest rate modeling and the pricing of related derivatives, based on a step-by-step presentation of concepts with a focus on explicit calculations. The types of interest rates considered range from short rates to forward rates such as LIBOR and swap rates, which are presented in the HJM and BGM frameworks. The pricing and hedging of interest rate and fixed income derivatives such as bond options, caps, and swaptions, are treated using forward measure techniques. An introduction to default bond pricing and an outlook on model calibration are also included as additional topics.This third edition represents a significant update on the second edition published by World Scientific in 2012. Most chapters have been reorganized and largely rewritten with additional details and supplementary solved exercises. New graphs and simulations based on market data have been included, together with the corresponding R codes.This new edition also contains 75 exercises and 4 problems with detailed solutions, making it suitable for advanced undergraduate and graduate level students.
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Understanding Markov Chains

Understanding Markov Chains

Nicolas Privault

Springer Verlag, Singapore
2018
nidottu
This book provides an undergraduate-level introduction to discrete and continuous-time Markov chains and their applications, with a particular focus on the first step analysis technique and its applications to average hitting times and ruin probabilities. It also discusses classical topics such as recurrence and transience, stationary and limiting distributions, as well as branching processes. It first examines in detail two important examples (gambling processes and random walks) before presenting the general theory itself in the subsequent chapters. It also provides an introduction to discrete-time martingales and their relation to ruin probabilities and mean exit times, together with a chapter on spatial Poisson processes. The concepts presented are illustrated by examples, 138 exercises and 9 problems with their solutions.
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Elementary Introduction To Stochastic Interest Rate Modeling, An

Elementary Introduction To Stochastic Interest Rate Modeling, An

Nicolas Privault

World Scientific Publishing Co Pte Ltd
2008
sidottu
This textbook is written as an accessible introduction to interest rate modeling and related derivatives, which have become increasingly important subjects of interest in financial mathematics. The models considered range from standard short rate to forward rate models and include more advanced topics such as the BGM model and an approach to its calibration. An elementary treatment of the pricing of caps and swaptions under forward measures is also provided, with a focus on explicit calculations and a step-by-step introduction of concepts. Each chapter is accompanied with exercises and their complete solutions, making this book suitable for advanced undergraduate or beginning graduate-level students.
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Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition)

Elementary Introduction To Stochastic Interest Rate Modeling, An (2nd Edition)

Nicolas Privault

World Scientific Publishing Co Pte Ltd
2012
sidottu
Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students.This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises with their solutions, and a new introductory chapter on credit risk. The stochastic interest rate models considered range from standard short rate to forward rate models, with a treatment of the pricing of related derivatives such as caps and swaptions under forward measures. Some more advanced topics including the BGM model and an approach to its calibration are also covered.
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Probability on Real Lie Algebras

Probability on Real Lie Algebras

Uwe Franz; Nicolas Privault

Cambridge University Press
2016
sidottu
This monograph is a progressive introduction to non-commutativity in probability theory, summarizing and synthesizing recent results about classical and quantum stochastic processes on Lie algebras. In the early chapters, focus is placed on concrete examples of the links between algebraic relations and the moments of probability distributions. The subsequent chapters are more advanced and deal with Wigner densities for non-commutative couples of random variables, non-commutative stochastic processes with independent increments (quantum Lévy processes), and the quantum Malliavin calculus. This book will appeal to advanced undergraduate and graduate students interested in the relations between algebra, probability, and quantum theory. It also addresses a more advanced audience by covering other topics related to non-commutativity in stochastic calculus, Lévy processes, and the Malliavin calculus.
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Nicolas

Nicolas

Lillian Cincone

iUniverse
2005
pokkari
Brings to life the Sixties through the voices of teen-agers. They thought they could change the world by changing themselves, changing the way they lived. Were they successful? You be the judge. Accompany a mother on her search into her son's life, where she learns a great deal, and comes to understand that one can never know another completely.
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Nicolas

Nicolas

Pascal Girard

Drawn and Quarterly
2016
sidottu
Burdened with grief, confusion, and anger, Pascal Girard explores the childhood passing of his five-year-old brother. Girard delves into the emotional repercussions of this life-changing trauma, from his memories as a nine-year old struggling to understand up until present day, twenty-five years after the shattering loss. At the heart of Nicolas lies the question shared by most undergoing bereavement: why? This confusion multiplies for a young boy with few answers to his questions, lacking even a basic explanation of the cause of his brother's departure. As sorrow and guilt are muffled by time and the flurry of even the most typical childhood and adolescence, this is a story of grief not grieved, and a glimpse into the ongoing process of reckoning. Pascal struggles to reconcile the magnitude of this tragedy with the minutiae of his daily experience of loss. Nicolas is a delicate, minimalist portrait of the many faces of mourning, identified with surprising humor and pathos by an artist who knows them intimately. Originally published in a micro-run ten years ago, Girard creates new comics and an introduction that contemplate the larger effect of Nicolas's death on his current behaviors and habits. With masterful visual restraint, Girard pens a work of great honesty and integrity: Nicolas resonates long after the book is closed, the weight of the story echoing closely the heft of the personal loss.
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Nicolas Nabokov

Nicolas Nabokov

Giroud Vincent

Oxford University Press Inc
2015
sidottu
Composer and cultural official Nicolas Nabokov (1903-78) led an unusual life even for a composer who was also a high-level diplomat. Nabokov was for nearly three decades an outstanding and far-sighted player in international cultural exchanges during the Cold War, much admired by some of the most distinguished minds of his century for the range of his interests and the breadth of his vision. Nicolas Nabokov: A Life in Freedom and Music follows Nabokov's life through its fascinating details: a privileged Russian childhood before the Revolution; exile, first to Germany, then to France; the beginnings of a promising musical career, launched under the aegis of Diaghilev and his Ballets Russes with Ode in 1928; his twelve-year "American exile" during which he occupied several academic positions; his return to Europe after the war to participate in the denazification of Germany; his involvement in anti-Stalinist causes in the first years of the Cold War; his participation in the Congress for Cultural Freedom; his role as cultural adviser to the Mayor of Berlin and director of the Berlin Festival in the early 1960s; the resumption of his American academic and musical career in the late 1960s and 1970s. Nabokov is unique not only in that he was involved on a high level in international cultural politics, but also in that his life intersected at all times with a vast array of people within, and also well beyond, the confines of classical music. Drawing on a vast array of primary sources, Vincent Giroud's first-ever biography of Nabokov will be of interest readers interested in twentieth-century music, Russian music, Russian emigration, and the Cold War, particularly in its cultural aspects. Musicians and musicologists interested in Nabokov as a composer, or in twentieth century Russian composers in general, will find in the book information not available anywhere else.
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Nicolas-Louis De La Caille, Astronomer and Geodesist

Nicolas-Louis De La Caille, Astronomer and Geodesist

Ian Stewart Glass

Oxford University Press
2012
sidottu
La Caille was one of the observational astronomers and geodesists who followed Newton in developing ideas about celestial mechanics and the shape of the earth. He provided data to the great 18th-century mathematicians involved in understanding the complex gravitational effects that the heavenly bodies have on one another. Observing from the Cape of Good Hope, he made the first ever telescopic sky survey and gave many of the southern constellations their present-day names. He measured the paths of the planets and determined their distances by trigonometry. In addition, he made a controversial measurement of the radius of the earth that seemed to prove it was pear-shaped. On a practical level, La Caille developed the method of `Lunars' for determining longitudes at sea. He mapped the Cape. As an influential teacher he propagated Newton's theory of universal gravitation at a time when it was only beginning to be accepted on the European continent. This book gives the most comprehensive overview so far available of La Caille's life and work, showing how he interacted with his often difficult colleagues. It places special emphasis on his life at, and his observations and comments on, the Cape of Good Hope, where he spent the years 1751-53.
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