Numerical Solution of SDE Through Computer Experiments

Author: Peter Eris Kloeden
Publisher: Springer Science & Business Media
ISBN: 3642579132
Format: PDF, Kindle
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This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.

Numerical Solution of Stochastic Differential Equations

Author: Peter E. Kloeden
Publisher: Springer Science & Business Media
ISBN: 3662126168
Format: PDF, Kindle
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The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Handbook on Information Technology in Finance

Author: Detlef Seese
Publisher: Springer Science & Business Media
ISBN: 3540494871
Format: PDF, Kindle
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This handbook contains surveys of state-of-the-art concepts, systems, applications, best practices as well as contemporary research in the intersection between IT and finance. Included are recent trends and challenges, IT systems and architectures in finance, essential developments and case studies on management information systems, and service oriented architecture modeling. The book shows a broad range of applications, e.g. in banking, insurance, trading and in non-financial companies. Essentially, all aspects of IT in finance are covered.

Wahrscheinlichkeitstheorie und Stochastische Prozesse

Author: Michael Mürmann
Publisher: Springer-Verlag
ISBN: 364238160X
Format: PDF, Docs
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Dieses Lehrbuch beschäftigt sich mit den zentralen Gebieten einer maßtheoretisch orientierten Wahrscheinlichkeitstheorie im Umfang einer zweisemestrigen Vorlesung. Nach den Grundlagen werden Grenzwertsätze und schwache Konvergenz behandelt. Es folgt die Darstellung und Betrachtung der stochastischen Abhängigkeit durch die bedingte Erwartung, die mit der Radon-Nikodym-Ableitung realisiert wird. Sie wird angewandt auf die Theorie der stochastischen Prozesse, die nach der allgemeinen Konstruktion aus der Untersuchung von Martingalen und Markov-Prozessen besteht. Neu in einem Lehrbuch über allgemeine Wahrscheinlichkeitstheorie ist eine Einführung in die stochastische Analysis von Semimartingalen auf der Grundlage einer geeigneten Stetigkeitsbedingung mit Anwendungen auf die Theorie der Finanzmärkte. Das Buch enthält zahlreiche Übungen, teilweise mit Lösungen. Neben der Theorie vertiefen Anmerkungen, besonders zu mathematischen Modellen für Phänomene der Realität, das Verständnis.​

Computational Science ICCS 2004

Author: Marian Bubak
Publisher: Springer
ISBN: 9783540221296
Format: PDF, ePub, Docs
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The four-volume set LNCS 3036, LNCS 3037, LNCS 3038 and LNCS 3039 constitutes the refereed proceedings of the 4th International Conference on Computational Science, ICCS 2004, held in Kraków, Poland in June 2004. The four volumes present more than 550 reviewed contributed and invited papers of the main conference and its 30 workshops. The papers span the whole range of computational science, from foundational and methodological issues in computer science and algorithmic mathematics to advanced applications in virtually all sciences making use of computational techniques. The proceedings is a unique record of recent progress in the field.