Applied mathematics

These lecture notes are the contents of a two-term course given by me during the 1970-1971 academic year as Morgan Ward visiting professor at the California Institute of Technology.

The 2nd edition of this successful book has several new features.

Since the late 1980s, Toeplitz operators and matrices have remained a ?

Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes.

This volume contains two of the three lectures that were given at the 33rd Probability Summer School in Saint-Flour (July 6-23, 2003).

This book presents a rigorous mathematical treatment of the theory of pricing and hedging of derivative securities by the principle of "e;no arbitrage"e;.

From the reviews: "e;The huge literature in risk theory has been carefully selected and supplemented by personal contributions of the author, many of which appear here for the first time.

Yet that weakness is also its greatest strength.

Spontaneous pattern formation in nonlinear dissipative systems far from equilibrium is a paradigmatic case of emergent behaviour associated with complex systems.

This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments.

This book is an outgrowth of notes compiled by the author while teaching courses for undergraduate and masters/MBA ?

Author's Note: The material of this book has been reworked and expanded with a lot more detail and published in the author's 2014 book "e;Upper and Lower Bounds for Stochastic Processes"e; (Ergebnisse Vol.

This book offers the opportunity to study and experience advanced empi- cal techniques in finance and in general financial economics.

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective studies the mathematical issues that arise in modeling the interest rate term structure.

To some extent, it would be accurate to summarize the contents of this book as an intolerably protracted description of what happens when either one raises a transition probability matrix P (i.

Does the stock market overreact?

Continuous-time finance was developed in the late sixties and early seventies by R.

This new edition is a greatly extended and updated version of my earlier monograph "e;Pricing Credit Linked Financial Instruments"e; (Schmid 2002).

The modern field of asset pricing asks for sound pricing models grounded on the theory of financial economies a la Ingersoll (1987) as weIl as for accu- rate estimation techniques a la Hamilton (1994b) when it comes to empirical inferences of the specified model.

Modern option pricing theory was developed in the late sixties and early seventies by F.

A comprehensive overview of weak convergence of stochastic processes and its application to the study of financial markets.

Now in its second edition, this book introduces an approach to active system control.

This book is the first comprehensive presentation of a central topic of stochastic geometry: random mosaics that are generated by Poisson processes of hyperplanes.

This volume gathers selected papers presented at the ICMSQUARE 2023 - 12th International Conference on Mathematical Modeling in Physical Sciences held in Belgrade, Serbia from August 28-31, 2023.

This book offers accessible probabilistic modelling of relevant financial problems.

This book serves as a valuable resource for researchers and practitioners in related fields, providing timely insights into recent progress in robotics and artificial intelligence.

This two-volume set, CCIS 2068 and 2069, constitutes selected papers presented during the Second Pan-African Conference on Artificial Intelligence, PanAfriCon AI 2023, held in Addis Ababa, Ethiopia, in October 2023.