Dan Pirjol (24 results)

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Paperback. Condition: new. Paperback. The book discusses a class of discrete time stochastic growth processes for which the growth rate is proportional to the exponential of a Gaussian Markov process. These growth processes appear naturally in problems of mathematical finance as discrete time approximations of stochastic volatility models and stochastic interest rates models such as the Black-Derman-Toy and Black-Karasinski models. These processes can be mapped to interacting one-dimensional lattice gases with long-range interactions. The book gives a detailed discussion of these statistical mechanics models, including new results not available in the literature, and their implication for the stochastic growth models. The statistical mechanics analogy is used to understand observed non-analytic dependence of the Lyapunov exponents of the stochastic growth processes considered, which is related to phase transitions in the lattice gas system. The theoretical results are applied to simulations of financial models and are illustrated with Mathematica code. The book includes a general introduction to exponential stochastic growth with examples from biology, population dynamics and finance. The presentation does not assume knowledge of mathematical finance. The new results on lattice gases can be read independently of the rest of the book. The book should be useful to practitioners and academics studying the simulation and application of stochastic growth models. The book discusses a class of discrete time stochastic growth processes for which the growth rate is proportional to the exponential of a Gaussian Markov process. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

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Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - The book discusses a class of discrete time stochastic growth processes for which the growth rate is proportional to the exponential of a Gaussian Markov process.These growth processes appear naturally in problems of mathematical finance as discrete time approximations of stochastic volatility models and stochastic interest rates models such as the Black-Derman-Toy and Black-Karasinski models. These processes can be mapped to interacting one-dimensional lattice gases with long-range interactions. The book gives a detailed discussion of these statistical mechanics models, including new results not available in the literature, and their implication for the stochastic growth models.The statistical mechanics analogy is used to understand observed non-analytic dependence of the Lyapunov exponents of the stochastic growth processes considered, which is related to phase transitions in the lattice gas system. The theoretical results are applied to simulations of financial models and are illustrated with Mathematica code. The book includes a general introduction to exponential stochastic growth with examples from biology, population dynamics and finance. The presentation does not assume knowledge of mathematical finance. The new results on lattice gases can be read independently of the rest of the book.The book should be useful to practitioners and academics studying the simulation and application of stochastic growth models.

Taschenbuch. Condition: Neu. Stochastic Exponential Growth and Lattice Gases | Statistical Mechanics of Stochastic Compounding Processes | Dan Pirjol | Taschenbuch | SpringerBriefs in Applied Sciences and Technology | ix | Englisch | 2022 | Springer | EAN 9783031111426 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.

Condition: Hervorragend. Zustand: Hervorragend | Sprache: Englisch | Produktart: Bücher | The book discusses a class of discrete time stochastic growth processes for which the growth rate is proportional to the exponential of a Gaussian Markov process. These growth processes appear naturally in problems of mathematical finance as discrete time approximations of stochastic volatility models and stochastic interest rates models such as the Black-Derman-Toy and Black-Karasinski models. These processes can be mapped to interacting one-dimensional lattice gases with long-range interactions. The book gives a detailed discussion of these statistical mechanics models, including new results not available in the literature, and their implication for the stochastic growth models. The statistical mechanics analogy is used to understand observed non-analytic dependence of the Lyapunov exponents of the stochastic growth processes considered, which is related to phase transitions in the lattice gas system. The theoretical results are applied to simulations of financial models and are illustrated with Mathematica code. The book includes a general introduction to exponential stochastic growth with examples from biology, population dynamics and finance. The presentation does not assume knowledge of mathematical finance. The new results on lattice gases can be read independently of the rest of the book. The book should be useful to practitioners and academics studying the simulation and application of stochastic growth models.

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Condition: new. Questo è un articolo print on demand.

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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The book discusses a class of discrete time stochastic growth processes for which the growth rate is proportional to the exponential of a Gaussian Markov process.These growth processes appear naturally in problems of mathematical finance as discrete time approximations of stochastic volatility models and stochastic interest rates models such as the Black-Derman-Toy and Black-Karasinski models. These processes can be mapped to interacting one-dimensional lattice gases with long-range interactions. The book gives a detailed discussion of these statistical mechanics models, including new results not available in the literature, and their implication for the stochastic growth models.The statistical mechanics analogy is used to understand observed non-analytic dependence of the Lyapunov exponents of the stochastic growth processes considered, which is related to phase transitions in the lattice gas system. The theoretical results are applied to simulations of financial models and are illustrated with Mathematica code. The book includes a general introduction to exponential stochastic growth with examples from biology, population dynamics and finance. The presentation does not assume knowledge of mathematical finance. The new results on lattice gases can be read independently of the rest of the book.The book should be useful to practitioners and academics studying the simulation and application of stochastic growth models. 144 pp. Englisch.

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HRD. Condition: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000.

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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Explores a new intersection of statistical mechanics and an area of applied probability Gives a detailed treatment of the statistical mechanics of certain one-dimensional lattice gas modelsProvides Mathematica code for the most important si.

Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -The book discusses a class of discrete time stochastic growth processes for which the growth rate is proportional to the exponential of a Gaussian Markov process. These growth processes appear naturally in problems of mathematical finance as discrete time approximations of stochastic volatility models and stochastic interest rates models such as the Black-Derman-Toy and Black-Karasinski models. These processes can be mapped to interacting one-dimensional lattice gases with long-range interactions.The book gives a detailed discussion of these statistical mechanics models, including new results not available in the literature, and their implication for the stochastic growth models. The statistical mechanics analogy is used to understand observed non-analytic dependence of the Lyapunov exponents of the stochastic growth processes considered, which is related to phase transitions in the lattice gas system. The theoretical results are applied to simulations of financial models and are illustrated with Mathematica code.The book includes a general introduction to exponential stochastic growth with examples from biology, population dynamics and finance. The presentation does not assume knowledge of mathematical finance. The new results on lattice gases can be read independently of the rest of the book. The book should be useful to practitioners and academics studying the simulation and application of stochastic growth models.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 144 pp. Englisch.

Buch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - The Reprint includes a selection of articles that have appeared in a Special Issue of Risks, and is dedicated to the memory of Peter Carr (1958-2022). The included articles should be of interest to researchers in quantitative finance, risk management, and financial engineering.

Buch. Condition: Neu. Emerging Topics in Finance and Risk Engineering-In Memory of Peter Carr | Buch | Englisch | 2024 | MDPI AG | EAN 9783725824809 | Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, 36244 Bad Hersfeld, gpsr[at]libri[dot]de | Anbieter: preigu Print on Demand.