Friz Peter K (80 results)
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Published by Springer 2020
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Language: English
Published by Springer Nature Switzerland AG, Cham 2020
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Paperback. Condition: new. Paperback. With many updates and additional exercises, the second edition of this book continues to provide readers with a gentle introduction to rough path analysis and regularity structures, theories that have yielded many new insights into the analysis of stochastic differential equations, and, most… recently, stochastic partial differential equations.Rough path analysis provides the means for constructing a pathwise solution theory for stochastic differential equations which, in many respects, behaves like the theory of deterministic differential equations and permits a clean break between analytical and probabilistic arguments. Together with the theory of regularity structures, it forms a robust toolbox, allowing the recovery of many classical results without having to rely on specific probabilistic properties such as adaptedness or the martingale property.Essentially self-contained, this textbook puts the emphasis on ideas and short arguments, rather than aiming for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis and probability courses, with little more than Ito-integration against Brownian motion required for most of the text.From the reviews of the first edition:"Can easily be used as a support for a graduate course . Presents in an accessible way the unique point of view of two experts who themselves have largely contributed to the theory" - Fabrice Baudouin in the Mathematical Reviews"It is easy to base a graduate course on rough paths on this A researcher who carefully works her way through all of the exercises will have a very good impression of the current state of the art" - Nicolas Perkowski in Zentralblatt MATH Shipping may be from multiple locations in the US or from the UK, depending on stock availability.
Language: English
Published by Springer 2020
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Language: English
Published by Springer 2020
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Language: English
Published by Springer 2020
Series: Universitext, Book 239 of 261. Book 239 of 261 - Universitext
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Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
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Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
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Language: English
Published by Society for Industrial & Applied Mathematics,U.S., New York 2024
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Paperback. Condition: new. Paperback. Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, ho…wever, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility is path-dependent and exhibits jump-like short-term behavior.The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject's development and progression. The first comprehensive exploration of rough volatility, this book contributes to the understanding and application of rough volatility models, equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.
Language: English
Published by Springer 2020
Series: Universitext, Book 239 of 261. Book 239 of 261 - Universitext
- Softcover
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Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
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Language: English
Published by Cambridge University Press 2010
Series: Cambridge Studies in Advanced Mathematics, Book 54 of 151. Book 54 of 151 - Cambridge Studies in Advanced Mathematics
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Language: English
Published by Society for Industrial and Applied Mathematics,U.S., US 2024
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Paperback. Condition: New. Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, however, driv…en by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility is path-dependent and exhibits jump-like short-term behavior.The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject's development and progression.
Rough Volatility: 2 (Financial Mathematics)
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2024
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Language: English
Published by Society for Industrial & Applied Mathematics,U.S. 2024
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Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
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Rough Volatility
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Language: English
Published by MP-SIA SIAM - Society for Industrial and Applied M 2024
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Published by SIAM - Society for Industrial and Applied Mathematics 2023
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Language: English
Published by Springer Nature 2020
Series: Universitext, Book 239 of 261. Book 239 of 261 - Universitext
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Paperback. Condition: Brand New. 2nd edition. 364 pages. 9.25x6.10x0.82 inches. In Stock.
Rough Volatility: 2 (Financial Mathematics)
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
- Softcover
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Language: English
Published by Society for Industrial & Applied Mathematics,U.S. 2023
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Rough Volatility: 2 (Financial Mathematics)
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
- Softcover
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Condition: New. 2024. paperback. . . . . . Books ship from the US and Ireland.
Language: English
Published by Cambridge University Press 2010
Series: Cambridge Studies in Advanced Mathematics, Book 54 of 151. Book 54 of 151 - Cambridge Studies in Advanced Mathematics
- Hardcover
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Language: English
Published by Cambridge University Press 2010
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- Hardcover
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Language: English
Published by Springer, Springer 2020
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Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - With many updates and additional exercises, the second edition of this book continues to provide readers with a gentle introduction to rough path analysis and regularity structures, theories that have yielded many new insights into the analysis of…stochastic differential equations, and, most recently, stochastic partial differential equations.Rough path analysis provides the means for constructing a pathwise solution theory for stochastic differential equations which, in many respects, behaves like the theory of deterministic differential equations and permits a clean break between analytical and probabilistic arguments. Together with the theory of regularity structures, it forms a robust toolbox, allowing the recovery of many classical results without having to rely on specific probabilistic properties such as adaptedness or the martingale property.Essentially self-contained, this textbook puts the emphasis on ideas and short arguments, rather than aiming for the strongest possible statements. A typical reader will have been exposed to upper undergraduate analysis and probability courses, with little more than Itô-integration against Brownian motion required for most of the text.From the reviews of the first edition:'Can easily be used as a support for a graduate course . Presents in an accessible way the unique point of view of two experts who themselves have largely contributed to the theory' - Fabrice Baudouin in the Mathematical Reviews'It is easy to base a graduate course on rough paths on this . A researcher who carefully works her way through all of the exercises will have a very good impression of the current state of the art' - Nicolas Perkowski inZentralblatt MATH.
Language: English
Published by Cambridge University Press 2010
Series: Cambridge Studies in Advanced Mathematics, Book 54 of 151. Book 54 of 151 - Cambridge Studies in Advanced Mathematics
- Hardcover
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More imagesLanguage: English
Published by Springer 2020
Series: Universitext, Book 239 of 261. Book 239 of 261 - Universitext
- Softcover
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Taschenbuch. Condition: Neu. A Course on Rough Paths | With an Introduction to Regularity Structures | Peter K. Friz (u. a.) | Taschenbuch | Universitext | xvi | Englisch | 2020 | Springer | EAN 9783030415556 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]s…pringer[dot]com | Anbieter: preigu.
