In this concise yet comprehensive guide to the mathematics of modern portfolio theory the authors discuss mean-variance analysis, factor models, utility theory, stochastic dominance, very long term investing, the capital asset pricing model, risk measures including VAR, coherence, market efficiency, rationality and the modelling of actuarial liabilities. Each topic is clearly explained with assumptions, mathematics, limitations, problems and solutions presented in turn. Joshi's trademark style of clarity and practicality is here brought to classical financial mathematics. The book is suitable for mathematically trained students in actuarial studies, business and economics as well as mathematics and finance, and it can be used for both self-study and as a course text. The authors' experience as both academics and practitioners brings clarity and relevance to the book, whilst ensuring that the limitations of models are highlighted.
Since the early eighties, Ali Suleyman Ustunel has been one of the main contributors to the field of Malliavin calculus. In a workshop held in Paris, June 2010 several prominent researchers gave excit
This volume presents an introductory course on differential stochastic equations and Malliavin calculus.The material of the book has grown from a series of courses delivered at the Scuola Normale Supe
The contributions in this volume highlight emergent research in the area of stochastic analysis and mathematical physics, focussing, in particular, on quantum probability. Key topics covered include n
This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directi
This book introduces some advanced topics in probability theories - both pure and applied. It is divided into two parts: the first part deals with the analysis of stochastic dynamical systems, in term
The monograph addresses a problem of stochastic analysis based on the uncertainty assessment by simulation and application of this method in ecology and steel industry under uncertainty. The first cha
The volume is dedicated to Professor David Elworthy to celebrate his fundamental contribution and exceptional influence on stochastic analysis and related fields. Stochastic analysis has been profound
Stochastic reachability analysis (SRA) is a method of analyzing the behavior of control systems which mix discrete and continuous dynamics. For probabilistic discrete systems it has been shown to be a
"Risk analysis is crucial in stochastic supply chain models. Over the past few years, the pace has quickened for research attempting to explore risk analysis issues in supply chain management problem
Based on the author’s more than 25 years of teaching experience, Modeling and Analysis of Stochastic Systems, Second Edition covers the most important classes of stochastic processes used in the model
Stochastic analysis is not only a thriving area of pure mathematics with intriguing connections to partial differential equations and differential geometry. It also has numerous applications in the na
This textbook focuses on stochastic analysis in ?systems biology ?containing both the theory and application. While the authors provide a review of probability and random variables, subsequent notions
This introductory treatment surveys useful stochastic methods and techniques in quantum physics, functional analysis, probability theory, communications, and electrical engineering. Starting with a hi
Selected papers submitted by participants of the international Conference “Stochastic Analysis and Applied Probability 2010” ( www.saap2010.org ) make up the basis of this volume.The SAAP 2010 was hel
This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineerin
