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Stochastic modelling in process technology / Herold Dehling, Tomi Gottschalk, Alex Hoffman
| Stochastic modelling in process technology / Herold Dehling, Tomi Gottschalk, Alex Hoffman |
| Autore | Dehling, Herold G. |
| Pubbl/distr/stampa | Amsterdam [etc.] : Elsevier, 2007 |
| Descrizione fisica | x, 279 p. : ill. ; 24 cm |
| Disciplina | 670.15118 |
| Altri autori (Persone) |
Gottschalk, Timo
Hoffmann, Alex C. |
| Collana | Mathematics in science and engineering, 0076-5392 ; 211 |
| Soggetto topico |
Manufacturing processes - Mathematical models
Stochastic models |
| ISBN |
9780444520265
0444520260 |
| Classificazione | AMS 60-01 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991003903869707536 |
Dehling, Herold G.
|
||
| Amsterdam [etc.] : Elsevier, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker
| Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker |
| Autore | Benth Fred Espen <1969-> |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina | 333.793/20151922 |
| Altri autori (Persone) |
Saltyte BenthJurate
KoekebakkerSteen |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Electric utilities - Mathematical models
Energy industries - Mathematical models Stochastic models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-96091-8
9786611960919 981-281-231-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; Preface; 1. A Survey of Electricity and Related Markets; 1.1 The electricity markets; 1.1.1 Electricity contracts with physical delivery .; 1.1.2 Financial electricity contracts; 1.2 The gas market; 1.2.1 Futures and options on gas; 1.3 The temperature market; 1.4 Other related energy markets; 1.5 Stochastic modelling of energy markets; 1.5.1 Spot price modelling; 1.5.2 Forward and swap pricing in electricity and related markets; 1.6 Outline of the book; 2. Stochastic Analysis for Independent Increment Processes; 2.1 Definitions
2.2 Stochastic integration with respect to martingales 2.3 Random jump measures and stochastic integration; 2.4 The Lévy-Kintchine decomposition and semimartingales; 2.5 The It Formula for semimartingales; 2.6 Examples of independent increment processes; 2.6.1 Time-in homogeneous compound Poisson process; 2.6.2 Models based on the generalized hyperbolic distributions; 2.6.3 Models based on the Variance-Gamma and CGMY distributions; 3. Stochastic Models for the Energy Spot Price Dynamics; 3.1 Introduction; 3.2.1 Geometric models; 3.2.2 Arithmetic models 3.3 The auto correlation function of multi-factor Ornstein- Uhlenbeck processes 3.4 Simulation of stationary Ornstein-Uhlenbeck processes: a case study with the arithmetic spot model; 4. Pricing of Forwards and Swaps Based on the Spot Price; 4.1 Risk-neutral forward and swap price modelling; 4.1.1 Risk-neutral probabilities and the Esscher transform; 4.1.2 The Esscher transform for some specific models; 4.2 Currency conversion for forward and swap prices; 4.3 Pricing of forwards; 4.3.1 The geometric case; 4.3.2 The arithmetic case .; 4.4 Pricing of swaps; 4.4.1 The geometric case 4.4.2 The arithmetic case 5. Applications to the Gas Markets; 5.1 Modelling the gas spot price; 5.1.1 Empirical analysis of UK gas spot prices; 5.1.2 Residuals modeled as a mixed jump-diffusion process; 5.1.3 NIG distributed residuals; 5.2 Pricing of gas futures; 5.3 Inference for multi-factor processes; 5.3.1 Kalman filtering; 6. Modelling Forwards and Swaps Using the Heath-Jarrow- Morton Approach; 6.1 The HJM modelling idea for forward contracts; 6.2 HJM modelling of forwards; 6.3 HJM modelling of swaps; 6.3.1 Swap models based on forwards; 6.4 The market models 6.4.1 Modelling with jump processes 7. Constructing Smooth Forward Curves in Electricity Markets; 7.1 Swap and forward prices; 7.1.1 Basic relationships; 7.1.2 A continuous seasonal forward curve; 7.2 Maximum smooth forward curve; 7.2.1 A smooth forward curve constrained by closing prices; 7.2.2 A smooth forward curve constrained by bid and ask spreads; 7.3 Putting the algorithm to work .; 7.3.1 Nord Pool example I: A smooth curve; 7.3.2 Nord Pool example II: Preparing a data set and analysing volatility; 8. Modelling of the Electricity Futures Market 8.1 The Nord Pool market and financial contracts |
| Record Nr. | UNINA-9910453198703321 |
|
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker
| Stochastic modelling of electricity and related markets [[electronic resource] /] / Fred Espen Benth, Jūratė Šaltytė Benth, Steen Koekebakker |
| Autore | Benth Fred Espen <1969-> |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina | 333.793/20151922 |
| Altri autori (Persone) |
Saltyte BenthJurate
KoekebakkerSteen |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Electric utilities - Mathematical models
Energy industries - Mathematical models Stochastic models |
| ISBN |
1-281-96091-8
9786611960919 981-281-231-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; Preface; 1. A Survey of Electricity and Related Markets; 1.1 The electricity markets; 1.1.1 Electricity contracts with physical delivery .; 1.1.2 Financial electricity contracts; 1.2 The gas market; 1.2.1 Futures and options on gas; 1.3 The temperature market; 1.4 Other related energy markets; 1.5 Stochastic modelling of energy markets; 1.5.1 Spot price modelling; 1.5.2 Forward and swap pricing in electricity and related markets; 1.6 Outline of the book; 2. Stochastic Analysis for Independent Increment Processes; 2.1 Definitions
2.2 Stochastic integration with respect to martingales 2.3 Random jump measures and stochastic integration; 2.4 The Lévy-Kintchine decomposition and semimartingales; 2.5 The It Formula for semimartingales; 2.6 Examples of independent increment processes; 2.6.1 Time-in homogeneous compound Poisson process; 2.6.2 Models based on the generalized hyperbolic distributions; 2.6.3 Models based on the Variance-Gamma and CGMY distributions; 3. Stochastic Models for the Energy Spot Price Dynamics; 3.1 Introduction; 3.2.1 Geometric models; 3.2.2 Arithmetic models 3.3 The auto correlation function of multi-factor Ornstein- Uhlenbeck processes 3.4 Simulation of stationary Ornstein-Uhlenbeck processes: a case study with the arithmetic spot model; 4. Pricing of Forwards and Swaps Based on the Spot Price; 4.1 Risk-neutral forward and swap price modelling; 4.1.1 Risk-neutral probabilities and the Esscher transform; 4.1.2 The Esscher transform for some specific models; 4.2 Currency conversion for forward and swap prices; 4.3 Pricing of forwards; 4.3.1 The geometric case; 4.3.2 The arithmetic case .; 4.4 Pricing of swaps; 4.4.1 The geometric case 4.4.2 The arithmetic case 5. Applications to the Gas Markets; 5.1 Modelling the gas spot price; 5.1.1 Empirical analysis of UK gas spot prices; 5.1.2 Residuals modeled as a mixed jump-diffusion process; 5.1.3 NIG distributed residuals; 5.2 Pricing of gas futures; 5.3 Inference for multi-factor processes; 5.3.1 Kalman filtering; 6. Modelling Forwards and Swaps Using the Heath-Jarrow- Morton Approach; 6.1 The HJM modelling idea for forward contracts; 6.2 HJM modelling of forwards; 6.3 HJM modelling of swaps; 6.3.1 Swap models based on forwards; 6.4 The market models 6.4.1 Modelling with jump processes 7. Constructing Smooth Forward Curves in Electricity Markets; 7.1 Swap and forward prices; 7.1.1 Basic relationships; 7.1.2 A continuous seasonal forward curve; 7.2 Maximum smooth forward curve; 7.2.1 A smooth forward curve constrained by closing prices; 7.2.2 A smooth forward curve constrained by bid and ask spreads; 7.3 Putting the algorithm to work .; 7.3.1 Nord Pool example I: A smooth curve; 7.3.2 Nord Pool example II: Preparing a data set and analysing volatility; 8. Modelling of the Electricity Futures Market 8.1 The Nord Pool market and financial contracts |
| Record Nr. | UNINA-9910782268103321 |
|
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic modelling of electricity and related markets / / Fred Espen Benth, Jurate Saltyte Benth, Steen Koekebakker
| Stochastic modelling of electricity and related markets / / Fred Espen Benth, Jurate Saltyte Benth, Steen Koekebakker |
| Autore | Benth Fred Espen <1969-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Singapore ; ; Hackensack, N.J., : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (352 p.) |
| Disciplina | 333.793/20151922 |
| Altri autori (Persone) |
Saltyte BenthJurate
KoekebakkerSteen |
| Collana | Advanced series on statistical science & applied probability |
| Soggetto topico |
Electric utilities - Mathematical models
Energy industries - Mathematical models Stochastic models |
| ISBN |
1-281-96091-8
9786611960919 981-281-231-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; Preface; 1. A Survey of Electricity and Related Markets; 1.1 The electricity markets; 1.1.1 Electricity contracts with physical delivery .; 1.1.2 Financial electricity contracts; 1.2 The gas market; 1.2.1 Futures and options on gas; 1.3 The temperature market; 1.4 Other related energy markets; 1.5 Stochastic modelling of energy markets; 1.5.1 Spot price modelling; 1.5.2 Forward and swap pricing in electricity and related markets; 1.6 Outline of the book; 2. Stochastic Analysis for Independent Increment Processes; 2.1 Definitions
2.2 Stochastic integration with respect to martingales 2.3 Random jump measures and stochastic integration; 2.4 The Lévy-Kintchine decomposition and semimartingales; 2.5 The It Formula for semimartingales; 2.6 Examples of independent increment processes; 2.6.1 Time-in homogeneous compound Poisson process; 2.6.2 Models based on the generalized hyperbolic distributions; 2.6.3 Models based on the Variance-Gamma and CGMY distributions; 3. Stochastic Models for the Energy Spot Price Dynamics; 3.1 Introduction; 3.2.1 Geometric models; 3.2.2 Arithmetic models 3.3 The auto correlation function of multi-factor Ornstein- Uhlenbeck processes 3.4 Simulation of stationary Ornstein-Uhlenbeck processes: a case study with the arithmetic spot model; 4. Pricing of Forwards and Swaps Based on the Spot Price; 4.1 Risk-neutral forward and swap price modelling; 4.1.1 Risk-neutral probabilities and the Esscher transform; 4.1.2 The Esscher transform for some specific models; 4.2 Currency conversion for forward and swap prices; 4.3 Pricing of forwards; 4.3.1 The geometric case; 4.3.2 The arithmetic case .; 4.4 Pricing of swaps; 4.4.1 The geometric case 4.4.2 The arithmetic case 5. Applications to the Gas Markets; 5.1 Modelling the gas spot price; 5.1.1 Empirical analysis of UK gas spot prices; 5.1.2 Residuals modeled as a mixed jump-diffusion process; 5.1.3 NIG distributed residuals; 5.2 Pricing of gas futures; 5.3 Inference for multi-factor processes; 5.3.1 Kalman filtering; 6. Modelling Forwards and Swaps Using the Heath-Jarrow- Morton Approach; 6.1 The HJM modelling idea for forward contracts; 6.2 HJM modelling of forwards; 6.3 HJM modelling of swaps; 6.3.1 Swap models based on forwards; 6.4 The market models 6.4.1 Modelling with jump processes 7. Constructing Smooth Forward Curves in Electricity Markets; 7.1 Swap and forward prices; 7.1.1 Basic relationships; 7.1.2 A continuous seasonal forward curve; 7.2 Maximum smooth forward curve; 7.2.1 A smooth forward curve constrained by closing prices; 7.2.2 A smooth forward curve constrained by bid and ask spreads; 7.3 Putting the algorithm to work .; 7.3.1 Nord Pool example I: A smooth curve; 7.3.2 Nord Pool example II: Preparing a data set and analysing volatility; 8. Modelling of the Electricity Futures Market 8.1 The Nord Pool market and financial contracts |
| Record Nr. | UNINA-9910810335003321 |
|
Benth Fred Espen <1969->
|
||
| Singapore ; ; Hackensack, N.J., : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic models of uncertainties in computational mechanics [[electronic resource] /] / Christian Soize
| Stochastic models of uncertainties in computational mechanics [[electronic resource] /] / Christian Soize |
| Autore | Soize Christian |
| Pubbl/distr/stampa | Reston, Va., : American Society of Civil Engineers, : Engineering Mechanics Institute, 2012 |
| Descrizione fisica | 1 online resource (134 p.) |
| Disciplina | 003/.76 |
| Collana | Lecture notes in mechanics |
| Soggetto topico |
Stochastic models
Uncertainty (Information theory) Mechanics, Applied - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN | 0-7844-7686-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Cover""; ""Contents""; ""1 Introduction""; ""2 Short overview of probabilistic modeling of uncertainties and related topics""; ""2.1 Uncertainty and variability""; ""2.2 Types of approach for probabilistic modeling of uncertainties""; ""2.3 Types of representation for the probabilistic modeling of uncertainties""; ""2.4 Construction of prior probability models using the maximum entropy principle under the constraints defined by the available information""; ""2.5 Random Matrix Theory""; ""2.6 Propagation of uncertainties and methods to solve the stochastic dynamical equations""
""2.7 Identification of the prior and posterior probability models of uncertainties""""2.8 Robust updating of computational models and robust design with uncertain computational models""; ""3 Parametric probabilistic approach to uncertainties in computational structural dynamics""; ""3.1 Introduction of the mean computational model in computational structural dynamics""; ""3.2 Introduction of the reduced mean computational model""; ""3.3 Methodology for the parametric probabilistic approach of modelparameter uncertainties"" ""3.4 Construction of the prior probability model of model-parameter uncertainties""""3.5 Estimation of the parameters of the prior probability model of the uncertain model parameter""; ""3.6 Posterior probability model of uncertainties using output-predictionerror method and the Bayesian method""; ""4 Nonparametric probabilistic approach to uncertainties in computational structural dynamics""; ""4.1 Methodology to take into account both the model-parameter uncertainties and the model uncertainties (modeling errors)""; ""4.2 Construction of the prior probability model of the random matrices"" ""4.3 Estimation of the parameters of the prior probability model of uncertainties""""4.4 Comments about the applications and the validation of the nonparametric probabilistic approach of uncertainties""; ""5 Generalized probabilistic approach to uncertainties in computational structural dynamics""; ""5.1 Methodology of the generalized probabilistic approach""; ""5.2 Construction of the prior probability model of the random matrices""; ""5.3 Estimation of the parameters of the prior probability model of uncertainties"" ""5.4 Posterior probability model of uncertainties using the Bayesian method""""6 Nonparametric probabilistic approach to uncertainties in structural-acoustic models for the low- and medium-frequency ranges""; ""6.1 Reduced mean structural-acoustic model""; ""6.2 Stochastic reduced-order model of the computational structuralacoustic model using the nonparametric probabilistic approach of uncertainties""; ""6.3 Construction of the prior probability model of uncertainties""; ""6.4 Model parameters, stochastic solver and convergence analysis"" ""6.5 Estimation of the parameters of the prior probability model of uncertainties"" |
| Record Nr. | UNINA-9910462559703321 |
|
Soize Christian
|
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| Reston, Va., : American Society of Civil Engineers, : Engineering Mechanics Institute, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic optimal control in infinite dimension : dynamic programming and HJB equations / Giorgio Fabbri, Fausto Gozzi, Andrezej Święch ; with a contribution by Marco Fuhrman and Gianmario Tessitore
| Stochastic optimal control in infinite dimension : dynamic programming and HJB equations / Giorgio Fabbri, Fausto Gozzi, Andrezej Święch ; with a contribution by Marco Fuhrman and Gianmario Tessitore |
| Autore | Fabbri, Giorgio |
| Descrizione fisica | xxiii, 916 pages ; 24 cm |
| Disciplina | 519.2 |
| Altri autori (Persone) |
Gozzi, Faustoauthor
Świc̨h, Andrezej |
| Collana | Probability theory and stochastic modelling ; 82 |
| Soggetto topico |
Hamiltonian systems
Hamilton-Jacobi equations Hilbert space Mathematical optimization Probabilities Stochastic models Stochastic processes - Mathematical models |
| ISBN | 9783319530666 |
| Classificazione |
AMS 49L
AMS 49-02 AMS 93E20 AMS 49L20 AMS 35R15 AMS 35Q93 AMS 49L25 AMS 65H15 AMS 37L55 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991003428089707536 |
|
Fabbri, Giorgio
|
||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Stochastic processes and models / David Stirzaker
| Stochastic processes and models / David Stirzaker |
| Autore | Stirzaker, David |
| Pubbl/distr/stampa | Oxford ; New York : Oxford University Press, 2005 |
| Descrizione fisica | ix, 331 p. ; 25 cm |
| Disciplina | 519.23 |
| Soggetto topico |
Stochastic processes
Stochastic models |
| ISBN | 0198568134 |
| Classificazione |
AMS 60-01
LC QA274.S76 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991001383829707536 |
|
Stirzaker, David
|
||
| Oxford ; New York : Oxford University Press, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré
| Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré |
| Autore | Huynh Huu Tue |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (356 p.) |
| Disciplina |
332.01/51923
332.0151923 |
| Altri autori (Persone) |
LaiVan Son
SoumaréIssouf |
| Collana | Wiley finance |
| Soggetto topico |
Finance - Mathematical models
Stochastic models |
| ISBN |
1-283-37237-1
9786613372376 1-118-46737-X 0-470-72213-4 |
| Classificazione |
DAT 306f
MAT 605f QP 890 ST 601 M35 WIR 160f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Stochastic Simulation and Applications in Finance with MATLAB® Programs; Contents; Preface; 1 Introduction to Probability; 1.1 Intuitive Explanation; 1.1.1 Frequencies; 1.1.2 Number of Favorable Cases Over The Total Number of Cases; 1.2 Axiomatic Definition; 1.2.1 Random Experiment; 1.2.2 Event; 1.2.3 Algebra of Events; 1.2.4 Probability Axioms; 1.2.5 Conditional Probabilities; 1.2.6 Independent Events; 2 Introduction to Random Variables; 2.1 Random Variables; 2.1.1 Cumulative Distribution Function; 2.1.2 Probability Density Function
2.1.3 Mean, Variance and Higher Moments of a Random Variable2.1.4 Characteristic Function of a Random Variable; 2.2 Random vectors; 2.2.1 Cumulative Distribution Function of a Random Vector; 2.2.2 Probability Density Function of a Random Vector; 2.2.3 Marginal Distribution of a Random Vector; 2.2.4 Conditional Distribution of a Random Vector; 2.2.5 Mean, Variance and Higher Moments of a Random Vector; 2.2.6 Characteristic Function of a Random Vector; 2.3 Transformation of Random Variables; 2.4 Transformation of Random Vectors 2.5 Approximation of the Standard Normal Cumulative Distribution Function3 Random Sequences; 3.1 Sum of Independent Random Variables; 3.2 Law of Large Numbers; 3.3 Central Limit Theorem; 3.4 Convergence of Sequences of Random Variables; 3.4.1 Sure Convergence; 3.4.2 Almost Sure Convergence; 3.4.3 Convergence in Probability; 3.4.4 Convergence in Quadratic Mean; 4 Introduction to Computer Simulation of Random Variables; 4.1 Uniform Random Variable Generator; 4.2 Generating Discrete Random Variables; 4.2.1 Finite Discrete Random Variables 4.2.2 Infinite Discrete Random Variables: Poisson Distribution4.3 Simulation of Continuous Random Variables; 4.3.1 Cauchy Distribution; 4.3.2 Exponential Law; 4.3.3 Rayleigh Random Variable; 4.3.4 Gaussian Distribution; 4.4 Simulation of Random Vectors; 4.4.1 Case of a Two-Dimensional Random Vector; 4.4.2 Cholesky Decomposition of the Variance-Covariance Matrix; 4.4.3 Eigenvalue Decomposition of the Variance-Covariance Matrix; 4.4.4 Simulation of a Gaussian Random Vector with MATLAB; 4.5 Acceptance-Rejection Method; 4.6 Markov Chain Monte Carlo Method (MCMC) 4.6.1 Definition of a Markov Process4.6.2 Description of the MCMC Technique; 5 Foundations of Monte Carlo Simulations; 5.1 Basic Idea; 5.2 Introduction to the Concept of Precision; 5.3 Quality of Monte Carlo Simulations Results; 5.4 Improvement of the Quality of Monte Carlo Simulations or Variance Reduction Techniques; 5.4.1 Quadratic Resampling; 5.4.2 Reduction of the Number of Simulations Using Antithetic Variables; 5.4.3 Reduction of the Number of Simulations Using Control Variates; 5.4.4 Importance Sampling; 5.5 Application Cases of Random Variables Simulations 5.5.1 Application Case: Generation of Random Variables as a Function of the Number of Simulations |
| Record Nr. | UNINA-9910139741303321 |
|
Huynh Huu Tue
|
||
| Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré
| Stochastic simulation and applications in finance with MATLAB programs [[electronic resource] /] / Huu Tue Huynh, Van Son Lai and Issouf Soumaré |
| Autore | Huynh Huu Tue |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (356 p.) |
| Disciplina |
332.01/51923
332.0151923 |
| Altri autori (Persone) |
LaiVan Son
SoumaréIssouf |
| Collana | Wiley finance |
| Soggetto topico |
Finance - Mathematical models
Stochastic models |
| ISBN |
1-283-37237-1
9786613372376 1-118-46737-X 0-470-72213-4 |
| Classificazione |
DAT 306f
MAT 605f QP 890 ST 601 M35 WIR 160f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Stochastic Simulation and Applications in Finance with MATLAB® Programs; Contents; Preface; 1 Introduction to Probability; 1.1 Intuitive Explanation; 1.1.1 Frequencies; 1.1.2 Number of Favorable Cases Over The Total Number of Cases; 1.2 Axiomatic Definition; 1.2.1 Random Experiment; 1.2.2 Event; 1.2.3 Algebra of Events; 1.2.4 Probability Axioms; 1.2.5 Conditional Probabilities; 1.2.6 Independent Events; 2 Introduction to Random Variables; 2.1 Random Variables; 2.1.1 Cumulative Distribution Function; 2.1.2 Probability Density Function
2.1.3 Mean, Variance and Higher Moments of a Random Variable2.1.4 Characteristic Function of a Random Variable; 2.2 Random vectors; 2.2.1 Cumulative Distribution Function of a Random Vector; 2.2.2 Probability Density Function of a Random Vector; 2.2.3 Marginal Distribution of a Random Vector; 2.2.4 Conditional Distribution of a Random Vector; 2.2.5 Mean, Variance and Higher Moments of a Random Vector; 2.2.6 Characteristic Function of a Random Vector; 2.3 Transformation of Random Variables; 2.4 Transformation of Random Vectors 2.5 Approximation of the Standard Normal Cumulative Distribution Function3 Random Sequences; 3.1 Sum of Independent Random Variables; 3.2 Law of Large Numbers; 3.3 Central Limit Theorem; 3.4 Convergence of Sequences of Random Variables; 3.4.1 Sure Convergence; 3.4.2 Almost Sure Convergence; 3.4.3 Convergence in Probability; 3.4.4 Convergence in Quadratic Mean; 4 Introduction to Computer Simulation of Random Variables; 4.1 Uniform Random Variable Generator; 4.2 Generating Discrete Random Variables; 4.2.1 Finite Discrete Random Variables 4.2.2 Infinite Discrete Random Variables: Poisson Distribution4.3 Simulation of Continuous Random Variables; 4.3.1 Cauchy Distribution; 4.3.2 Exponential Law; 4.3.3 Rayleigh Random Variable; 4.3.4 Gaussian Distribution; 4.4 Simulation of Random Vectors; 4.4.1 Case of a Two-Dimensional Random Vector; 4.4.2 Cholesky Decomposition of the Variance-Covariance Matrix; 4.4.3 Eigenvalue Decomposition of the Variance-Covariance Matrix; 4.4.4 Simulation of a Gaussian Random Vector with MATLAB; 4.5 Acceptance-Rejection Method; 4.6 Markov Chain Monte Carlo Method (MCMC) 4.6.1 Definition of a Markov Process4.6.2 Description of the MCMC Technique; 5 Foundations of Monte Carlo Simulations; 5.1 Basic Idea; 5.2 Introduction to the Concept of Precision; 5.3 Quality of Monte Carlo Simulations Results; 5.4 Improvement of the Quality of Monte Carlo Simulations or Variance Reduction Techniques; 5.4.1 Quadratic Resampling; 5.4.2 Reduction of the Number of Simulations Using Antithetic Variables; 5.4.3 Reduction of the Number of Simulations Using Control Variates; 5.4.4 Importance Sampling; 5.5 Application Cases of Random Variables Simulations 5.5.1 Application Case: Generation of Random Variables as a Function of the Number of Simulations |
| Record Nr. | UNINA-9910814678603321 |
|
Huynh Huu Tue
|
||
| Chichester, England ; ; Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic Transport in Upper Ocean Dynamics II : STUOD 2022 Workshop, London, UK, September 26–29 / / edited by Bertrand Chapron, Dan Crisan, Darryl Holm, Etienne Mémin, Anna Radomska
| Stochastic Transport in Upper Ocean Dynamics II : STUOD 2022 Workshop, London, UK, September 26–29 / / edited by Bertrand Chapron, Dan Crisan, Darryl Holm, Etienne Mémin, Anna Radomska |
| Edizione | [1st ed. 2024.] |
| Pubbl/distr/stampa | Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2024 |
| Descrizione fisica | 1 online resource (XIV, 338 p. 65 illus., 60 illus. in color.) |
| Disciplina | 519 |
| Collana | Mathematics of Planet Earth |
| Soggetto topico |
Geography - Mathematics
Stochastic analysis Stochastic models Differential equations Dynamics Nonlinear theories Mathematics of Planet Earth Stochastic Analysis Stochastic Modelling Differential Equations Applied Dynamical Systems |
| ISBN | 3-031-40094-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Internal tides energy transfers and interactions with the mesoscale circulation in two contrasted areas of the North Atlantic -- Sparse-stochastic model reduction for 2D Euler equations -- Effect of Transport Noise on Kelvin–Helmholtz instability -- On the 3D Navier-Stokes Equations with Stochastic Lie Transport -- On the interactions between mean flows and inertial gravity waves in the WKB approximation -- Toward a stochastic parameterization for oceanic deep convection -- Comparison of Stochastic Parametrization Schemes using Data Assimilation on Triad Models -- An explicit method to determine Casimirs in 2D geophysical flows -- Correlated structures in a balanced motion interacting with an internal wave -- Linear wave solutions of a stochastic shallow water model -- Analysis of Sea Surface Temperature variability using machine learning -- Data assimilation: A dynamic homotopy-based coupling approach -- Constrained random diffeomorphisms for data assimilation -- Stochastic compressible Navier–Stokes equations under location uncertainty -- Data driven stochastic primitive equations with dynamic modes decomposition. |
| Record Nr. | UNINA-9910746982103321 |
| Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2024 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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