krainaksiazek fundamentals of probability with stochastic processes third edition 20089822
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Probability and Random Processes Oxford University Press
Książki / Literatura obcojęzyczna
The third edition of this successful text gives a rigorous introduction to probability theory and the discussion of the most important random processes in some depth. It includes various topics which are suitable for undergraduate courses, but are not routinely taught. It is suitable to the beginner, and provides a taste and encouragement for more advanced work. There are four main aims: 1) to provide a thorough but straightforward account of basic probability, giving the reader a natural feel for the subject unburdened by oppressive technicalities, 2) to discuss important random processes in depth with many examples. 3) to cover a range of important but less routine topics, 4) to impart to the beginner the flavour of more advanced work. The books begins with basic ideas common to many undergraduate courses in mathematics, statistics and the sciences; in concludes with topics usually found at graduate level. The ordering and numbering of material in this third edition has been mostly preserved from the second. Minor alterations and additions have been added for clearer exposition. Highlights include new sections on sampling and Markov chain Monte Carlo, geometric probability, coupling and Poisson approximation, large deviations, spatial Poisson processes, renewal-reward, queueing networks, stochastic calculus, Ito's formula and option pricing in the Black-Scholes model for financial markets. In addition there are many (nearly 400) new exercises and problems that are entertaining and instructive; their solutions can be found in the companion volume 'One Thousand Exercises in Probability', (OUP 2001).
Probability and Measure Wiley & Sons
Książki / Literatura obcojęzyczna
Now re-issued in a new style and format, but with the same content of the Third Edition, Probability and Measure offers advanced students, scientists, and engineers and integrated introduction to measure theory and probability. Retaining the unique approach of the previous editions, this text interweaves material on probability and measure so that probability problems generate an interest in measure theory and measure theory is, then, developed and applied to probability. Probability and Measure provides a thorough coverage of probability, measure, integration, random variables and expected values, convergence of distributions, derivatives and conditional probability, and stochastic processes. In recognition of thirty-five years of publication and having impacted tens of thousands of readers, the Anniversary Edition features a new open and user-friendly design, an updated bibliography, and a revised index. Like its previous editions, thie re-issue will be well received by students of mathematics, statistics, economics, and a wide variety of disciplines that require a solid understanding of probability theory. An extensive supplement of additional notes on the problems and chapter commentaries is available, at nominal cost, either independently or as a set with the book.
Tools for Computational Finance 4e Springer Verlag
Medycyna > English Division
Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering. "In an increasingly crowded field of financial engineering titles, Seydel's Tools for Computational Finance stands out as filling an unmet need. It is an intermediate level text with an extremely practical focus. ... This is the kind of book you can read quickly, gaining a broad understanding of practical techniques of financial engineering. On the other hand, you can go through it slowly, working through all the examples and exercises in order to gain indepth practical knowledge you can use on the job. " www.riskbook.com "Remarkably, Seydel addresses students of both mathematics and business, presumes only minimal background in either subject, yet ventures deep into the subject in little more than 200 pages. Compare the longer books Mathematics of Financial Markets, by R.J. Elliott and P.E. Kopp (1999), or Methods of Mathematical Finance, by I. Karatzas and S.E. Shreve (1998), which presume research-level preparation in probability theory, delve deeper into theoretical issues, but ignore numerics. On the mathematical side, Seydel covers stochastic processes, random number generation, stochastic differential equations, finite differences, and finite elements. On the financial side, he treats put and call options of so-called American, European, and Asian types. A Web site provides additional material, including colored figures. Summing Up: Highly recommended. " CHOICE "Seydel has sought a compromise between justifying his results and avoiding formal proofs. I think he has struck a healthy balance, and I enjoyed reading the book. ... Hull's book teaches how to write the equations and Seydel's teaches how to solve them" Physics Today "In my opinion, this book is mainly tailored to financial researchers and practitioners with an applied mathematics or engineering background. Various methods are introduced from a problem-solving point of view, been eventually formulated and summarised as algorithms which are offered for straightforward implementation in computer programmes. This expository style, which is similar to Kloeden's and Platen's 'Numerical Solutions of SDEs through computer experiments', makes the book unique among others and will definitely attract a broad range of readers coming from the financial academia or practice. Quant Notes "This book is very easy to read and one can gain a quick snapshot of computational issues arising in financial mathematics. Researchers or students of the mathematical sciences with an interest in finance will find this book a very helpful and gentle guide to the world of financial engineering." SIAM review (46, 2004) From the reviews of the third edition: "Tools for Computational Finance is a book on numerical methods for pricing financial derivative products. ! the author concentrates on how to provide numerical solutions to the problem of pricing. Exercises are provided at the end of each chapter and they follow and complement the text very well. In my opinion the book is more for practitioners ! . it does guide us in a right direction and I think it could be valuable even for an academic." (Ita Cirovic Doney, MathDL-online, October, 2006)
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1. Sklepy z krainaksiazek pl fundamentals of probability with stochastic processes third edition 20089822
t1=0.023, t2=0, t3=0, t4=0.027, t=0.024