DOCSLIB.ORG

Probability & Statistics

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Probability & Statistics Now available on WorldSciNet Textbooks in Probability & Statistics Bestseller Probability Probability Models and A First Look at Theory, Examples, Problems, Simulations Applications Stochastic Processes by (Babeş-Bolyai University, Hannelore Lisei (Revised 2nd Edition) by Jeffrey S Rosenthal Romania), Wilfried Grecksch (Martin-Luther- by Ingram Olkin (Stanford University, USA), (University of Toronto, Canada) University Halle-Wittenberg, Germany) & Mihai Leon J Gleser (University of Pittsburgh, USA) Iancu (Babeş-Bolyai University, Romania) & Cyrus Derman (Columbia University, USA) This textbook introduces the theory of stochastic processes, that is, randomness which proceeds A key pedagogical feature of the textbook is Written by renowned experts in the field, this in time. Using concrete examples like repeated the accessible approach to probability concepts reissue of a textbook has as its unifying theme through examples with explanations and problems gambling and jumping frogs, it presents funda- the role that probability models have had, and with solutions. The reader is encouraged to mental mathematical results through simple, continue to have, in scientific and practical simulate in Matlab random experiments and to clear, logical theorems and examples. It covers explore the theoretical aspects of the probabilistic applications. It includes many examples, with in detail such essential material as Markov chain models behind the studied experiments. By this actual data, of real-world use of probability recurrence criteria, the Markov chain convergence appropriate balance between simulations and models, while expositing the mathematical theory theorem, and optional stopping theorems for rigorous mathematical approach, the reader can of probability at an introductory calculus-based martingales. The focus is always on making experience the excitement of comprehending level. Detailed descriptions of the properties the theory as well-motivated and accessible as basic concepts and can develop the intuitive and applications of probability models that have possible, to allow students and readers to learn thinking in solving problems. The current successfully modeled real phenomena are given, this fascinating subject as easily and painlessly textbook does not contain proofs for the stated as well as an explanation of methods for testing as possible. theorems, but corresponding references are goodness of fit of these models. given. Moreover, the given Matlab codes and Readership: Senior undergraduate and graduate detailed solutions make the textbook accessible Key Features students in Mathematics, Statistics, Economics, to researchers and undergraduate students, • Numerous examples with actual data Finance, Computer Science, Engineering, by learning various techniques from probability where probability models can be Physics, Actuarial Science, and other fields. theory and its applications in other fields. applied in practice 212pp Oct 2019 Readership: Undergraduate and graduate Readership: Undergraduates in probability 978-981-120-897-3(pbk) US$38 £35 students, professionals and researchers in models, concepts and applications. 978-981-120-790-7 US$78 £70 mathematics, natural sciences, engineering and 732pp Sep 2019 computer science areas. 978-981-3202-04-7(pbk) US$78 £65 High Impact Research 364pp Feb 2020 978-981-3202-03-0 US$168 £150 Mathematics Journals 978-981-120-719-8(pbk) US$58 £50 Free 7-day access at 978-981-120-573-6 US$108 £95 http://tiny.cc/ws-mathjournals Subscribe/Recommend to your Librarian! 5 YEAR IMPACT FACTOR: 3.479 th Ranked 6 in Applied Mathematics (Journal Citation Reports) https://www.worldscientific.com/m3as Textbooks in Probability and Statistics Award winning author Bestseller Basic Probability Mathematical Olympiad Series - Vol 14 What Every Math Student Should Know Probability and Expectation by Henk Tijms (Vrije University, The Netherlands) In Mathematical Olympiad and Competitions by Zun Shan (Nanjing Normal University, China) “For high school AP Stat teachers who want to Translated by Shanping Wang understand, and should want to understand, (East China Normal University, China) probability deeper than what the course curriculum requires, this book would be very helpful.” The author is one of the senior coaches of China’s Martin Sternstein, author of the bestseller IMO National Team, whose students have won Barron’s AP Statistics with Online Tests many gold medals many times in IMO. This book is part of the Mathematical Olympiad Series which discusses several aspects Written by international award-winning probability expert Henk Tijms, related to maths contests, such as algebra, number theory, combinatorics, this book presents the essentials of elementary probability. In a highly graph theory and geometry. This book will, in an interesting problem-solving accessible way, a modern treatment of the subject is given with emphasis way, explain what probability theory is: its concepts, methods and meanings; on conditional probability and Bayesian probability, on striking applications particularly, two important concepts — probability and mathematical of the Poisson distribution, and on the interface between probability and expectation (briefly expectation) — are emphasized. It consists of 65 computer simulation. problems, appended by 107 exercises and their answers. Readership: High school, college and undergraduate students exposed to Readership: Senior high school students engaged in math contests, math probability for the first time. teachers, undergraduates of math major and math enthusiasts. 132pp Jun 2019 208pp Sep 2016 978-981-120-376-3(pbk) US$28 £25 978-981-3141-49-0(pbk) US$28 £23 978-981-120-235-3 US$48 £40 978-981-3141-48-3 US$58 £48 Series in Quantitative Finance - Vol 6 Simulating Copulas Probability Theory Stochastic Models, Sampling Algorithms, A Complete One-Semester Course and Applications (2nd Edition) by Nikolai Dokuchaev (Curtin University, Australia) by Jan-Frederik Mai (XAIA Investment AG, This book provides a systematic, self-sufficient and Germany) & Matthias Scherer (Technische yet short presentation of the mainstream topics on Universität München, Germany) introductory Probability Theory with some selected topics from Mathematical Statistics. It is suitable for “The book remains a valuable tool both for a 10- to 14-week course for second- or third-year statisticians who are already familiar with the theory undergraduate students in Science, Mathematics, of copulas and just need to develop sampling Statistics, Finance, or Economics, who have algorithms, and for practitioners who want to learn completed some introductory course in Calculus. copulas and implement the simulation techniques needed to exploit the There is a sufficient number of problems and solutions to cover weekly potential of copulas in applications.” Mathematical Reviews tutorials. The book provides the background on simulating copulas and multivariate Undergraduate students, teachers and lecturers in Mathematics distributions in general. It unifies the scattered literature on the simulation Readership: and Statistics. of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, 224pp Aug 2015 pair-copula construction, etc.). 978-981-4678-02-5 US$48 £40 Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the Advanced Series on Statistical Science and financial industry and scientists. Applied Probability - Vol 21 356pp Aug 2017 Change of Time and 978-981-3149-24-3 US$118 £98 Change of Measure (2nd Edition) Inequalities in Analysis by Ole E Barndorff-Nielsen (Aarhus University, Denmark) & Albert Shiryaev (Steklov Mathematical and Probability (2nd Edition) Institute, Russia & Moscow State University, Russia) by Odile Pons (National Institute for Agronomical Research, France) The book provides a comprehensive account of two topics that are of particular significance in both Review of the First Edition: theoretical and applied stochastics: random change “The strongest part of the book is the discussion of time and change of probability law. The book comprehensively collects in Chapter 4 of martingale inequalities, mainly and integrates results from a number of scattered sources in the literature various versions of the Burkholder – Davis – Gundy and discusses the importance of the results relative to the existing literature, inequality” Mathematical Reviews particularly with regard to mathematical finance. The book introduces classical inequalities in vector Key Features and functional spaces with applications to probability. It also develops • There is no other book on the market with such a specific and in-depth new extensions of the analytical inequalities, with sharper bounds and focus on these two main issues of change of time and change of generalizations to the sum or the supremum of random variables, to martingales and to transformed Brownian motions. The proofs of many new probability law and Lévy measure results are presented in great detail. Readership: Mathematical researchers, graduate students and practitioners Readership: Graduate students and researchers in probability and interested in application of probabilistic theories & stochastic processes to integration theory. economics & finance, and to turbulence. 308pp Jan 2017 344pp Jun 2015 978-981-3143-98-2 US$110 £91 978-981-4678-58-2 US$68 £56 2 Prefer Digital? View this online
Load more

Recommended publications
  • [Math.PR] 9 Dec 2004
    On local martingale and its supremum: harmonic functions and beyond. Dedicated to Professor A.N. Shiryaev for his 70th birthday Jan Ob l´oj1,2 and Marc Yor1 1 Laboratoire de Probabilit´es et Mod`eles Al´eatoires, Universit´eParis 6, 4 pl. Jussieu, Boˆite 188, 75252 Paris Cedex 05, France 2 Wydzia lMatematyki, Uniwersytet Warszawski Banacha 2, 02-097 Warszawa, Poland email: [email protected] Version du 8 D´ecembre 2004 We discuss certain facts involving a continuous local martingale N and its supre- mum N. A complete characterization of (N, N)-harmonic functions is proposed. This yields an important family of martingales, the usefulness of which is demonstrated, by means of examples involving the Skorokhod embedding problem, bounds on the law of the supremum, or the local time at 0, of a martingale with a fixed terminal distribution, or yet in some Brownian penalization problems. In particular we obtain new bounds on the law of the local time at 0, which involve the excess wealth order. Key words: continuous local martingale, supremum process, harmonic function, Skorokhod’s embedding problem, excess wealth order. Mathematics Subject Classification (2000): 60G44 (Primary), 60G42, 60G40, 60E15 arXiv:math/0412196v1 [math.PR] 9 Dec 2004 2 Jan Ob l´oj and Marc Yor Dedication. The first time I met Prof. A. Shiryaev was in January 1977, during a meeting dedicated to Control and Filtering theories, in Bonn. This was a time when meeting a Soviet mathematician was some event! Among the participants to that meeting, were, apart from A. Shiryaev, Prof. B. Grige- lionis, and M.
    [Show full text]
  • Stochastics, Statistics, Financial Mathematics 13-15 October, 2014, Steklov Mathematical Institute, Moscow Conference Program
    Stochastics, Statistics, Financial Mathematics 13-15 October, 2014, Steklov Mathematical Institute, Moscow Conference Program Monday, 13 October 9:30 { 10:00 Opening (Valeriy Kozlov, Yuri Kabanov) 10:00 { 10:40 Jean Jacod: Limit theorems for stochastic processes: some advances during the past ten years 10:45 { 11:25 Yuri Kabanov: Absolute continuity of measures, the Girsanov theorem, and Hellinger processes 11:30 { 11:45 Coffee break 11:45 { 12:25 Martin Schweizer: A new approach for stochastic Fubini theorems 12:30 { 13:10 Alexander Zvonkin: Gaussian measures on the space of matrcies and map enumeration 13:15 { 14:30 Lunch 14:30 { 15:10 Vladimir Spokoiny: From lambda-convergence to Fisher and Wilks expansions 15:15 { 15:55 Alexander Bulinski: Generalizations of the multifactor dimensionality reduction method 16:00 { 16:40 Jordan Stoyanov: Transformations of random variables and processes and their moment determinacy 16:45 { 17:00 Coffee break 17:00 { 17:40 Anna Obizhaeva: Market microstructure invariance 17:45 { 18:25 Pavel Katyshev: Transmission of information over channels with feedback and fil- tration theory Tuesday, 14 October 10:00 { 10:40 Hans-Juergen Engelbert: Stochastic differential equations for sticky reflecting Brow- nian motion 10:45 { 11:25 Hans F¨ollmer: Another look at It^o'sformula 11:30 { 11:45 Coffee break 11:45 { 12:25 Marek Musiela: TBA 12:30 { 13:10 Goran Peskir: Optimal mean-variance portfolio selection 13:15 { 14:30 Lunch 14:30 { 15:10 Alexander Novikov: First passage time problems: martingale approach revised 15:15 { 15:55 Mikhail Urusov: A generalized Donsker's theorem and approximating SDEs with irregular coefficients 16:00 { 16:40 Alexander Gushchin: On the inequalities connecting Hellinger processes and some statistical distances 16:45 { 17:00 Coffee break 17:00 { 17:30 Igor Pavlov: Interpolation properties of martingale measures and Haar interpola- tions of (B; S)-markets 17:35 { 18:05 Vadim Malyshev, A.
    [Show full text]
  • Curriculum Vitae
    CURRICULUM VITAE ALEXANDER G. TARTAKOVSKY Department of Mathematics and Center for Applied Mathematical Sciences University of Southern California 3620 S. Vermont Avenue, KAP 108 Los Angeles, CA 90089-2532 Phone (213) 740-2450 Fax (213) 740-2424 Email: [email protected] DEGREES Ph.D. in Statistics and Information Theory. Department of Electrical Engineering and Cybernetics, Moscow Institute of Physics and Technology, Russia, 1981. M.S. in Electrical Engineering with specialization in Radar Systems, Detection Theory, and Telecommunications. Department of Electrical Engineering and Flight Systems, Moscow Aviation Institute, Russia, 1978. PROFESSIONAL EXPERIENCE 2002{present Professor (Adjunct) and Senior Research Scientist, Department of Mathematics, University of Southern California. 1997{present Associate Director, Project Director, Center for Applied Mathematical Sciences, University of Southern California. 2006{present Vice President, Argo Science Corp, Palos Verdes, CA. 1996{1997 Senior Manager and Principal Investigator, Filimage, Inc., Los Angeles, CA. 1994{1995 Visiting Research Professor, Department of Mathematics, Statistics Division, University of California, Los Angeles. June{August 1994 Visiting Faculty at the University of North Carolina, Chapel Hill, Department of Statistics, and at the University of Southern California, Center for Applied Mathematical Sciences. 1993{1994 Visiting Research Professor, Department of Electrical Engineering, Flight Systems Research Center, University of California, Los Angeles. 1991{1993
    [Show full text]
  • Variance Risk Premium Dynamics: the Role of Jumps∗
    Variance Risk Premium Dynamics: The Role of Jumps¤ Viktor Todorovy February 6, 2009 Abstract Using high-frequency stock market data and (synthetic) variance swap rates, this paper identi¯es and investigates the temporal variation in the market vari- ance risk premium. The variance risk is manifest in two salient features of ¯nancial returns: stochastic volatility and jumps. The pricing of these two separate components is analyzed in a general semiparametric framework. The key empirical results imply that investors fears of future jumps are especially sensitive to recent jump activity and that their willingness to pay for protection against jumps increase signi¯cantly immediately after the occurrence of jumps. This in turn suggests that time-varying risk aversion, as previously documented in the literature, is primarily driven by large, or extreme, market moves. The dynamics of risk-neutral jump intensity extracted from deep out-of-the money put options con¯rms these ¯ndings. (JEL C51, C52, G12, G13) Keywords: Continuous-time stochastic volatility models, jump processes, method- of-moments estimation, realized multipower variation. JEL classi¯cation: C51, C52, G12, G13. ¤This paper is part of my PhD dissertation at the Department of Economics, Duke University. I would like to thank my advisors George Tauchen, Tim Bollerslev, Ron Gallant and Han Hong for many discussions and encouragement along the way. I would like also to thank the editor (Joel Hasbrouck) and anonymous referees for many helpful suggestions. I bene¯ted also from comments,
    [Show full text]
  • Optimal Sequential Decisions in Hidden-State Models
    UPPSALA DISSERTATIONS IN MATHEMATICS 101 Optimal Sequential Decisions in Hidden-State Models Juozas Vaicenavicius Department of Mathematics Uppsala University UPPSALA 2017 Dissertation presented at Uppsala University to be publicly examined in 80101, Ångströmlaboratoriet, Lägerhyddsvägen 1, Uppsala, Friday, 9 June 2017 at 13:00 for the degree of Doctor of Philosophy. The examination will be conducted in English. Faculty examiner: Professor Huyên Pham (Université Paris Diderot (Paris 7)). Abstract Vaicenavicius, J. 2017. Optimal Sequential Decisions in Hidden-State Models. Uppsala Dissertations in Mathematics 101. 26 pp. Uppsala: Department of Mathematics, Uppsala University. ISBN 978-91-506-2641-4. This doctoral thesis consists of five research articles on the general topic of optimal decision making under uncertainty in a Bayesian framework. The papers are preceded by three introductory chapters. Papers I and II are dedicated to the problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. In Paper I, the price is modelled by the classical Black-Scholes model with unknown drift. The first passage time of the posterior mean below a monotone boundary is shown to be optimal. The boundary is characterised as the unique solution to a nonlinear integral equation. Paper II solves the same optimal liquidation problem, but in a more general model with stochastic regime-switching volatility. An optimal liquidation strategy and various structural properties of the problem are determined. In Paper III, the problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the 0-1 loss function and a constant cost of observation per unit of time is studied from a Bayesian perspective.
    [Show full text]
  • An Inverse Optimal Stopping Problem for Diffusion Processes August 8, 2017
    AN INVERSE OPTIMAL STOPPING PROBLEM FOR DIFFUSION PROCESSES August 8, 2017 THOMAS KRUSE AND PHILIPP STRACK Abstract. Let X be a one-dimensional diffusion and let g : [0,T ] R R be a payoff × → function depending on time and the value of X. The paper analyzes the inverse optimal stopping problem of finding a time-dependent function π : [0,T ] R such that a given ⋆ → stopping time τ is a solution of the stopping problem supτ E [g(τ,Xτ )+ π(τ)] . Under regularity and monotonicity conditions, there exists a solution π if and only if τ ⋆ is ⋆ the first time when X exceeds a time-dependent barrier b, i.e. τ = inf t 0 Xt b(t) . { ≥ | ≥ } We prove uniqueness of the solution π and derive a closed form representation. The rep- resentation is based on an auxiliary process which is a version of the original diffusion X reflected at b towards the continuation region. The results lead to a new integral equation characterizing the stopping boundary b of the stopping problem supτ E [g(τ,Xτ )]. Keywords: Optimal Stopping, Reflected Stochastic Processes, Dynamic Mechanism De- sign, Dynamic Implementability, MSC 2010: 91B02, 91A60, 60G40, 62L15 Introduction Optimal stopping is omnipresent in applications of dynamic optimization in economics, statistics, and finance. Examples are the optimal exercise timing of options, when to stop searching, and the quickest detection problem. One method to solve optimal stopping prob- lems in a Markovian framework is to identify the stopping region. Optimal stopping times arXiv:1406.0209v3 [math.OC] 7 Aug 2017 are then given as first hitting times of the stopping region.
    [Show full text]
  • Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation∗
    Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation¤ Viktor Todorov y and George Tauchen z March 18, 2010 Abstract This paper derives the asymptotic behavior of realized power variation of pure-jump It^o semimartingales as the sampling frequency within a ¯xed interval increases to in¯nity. We prove convergence in probability and an associated central limit theorem for the realized power variation as a function of its power. We apply the limit theorems to propose an e±cient adaptive estimator for the activity of discretely-sampled It^osemimartingale over a ¯xed interval. Keywords: Activity index, Blumenthal-Getoor index, Central Limit Theorem, It^osemimartin- gale, high-frequency data, jumps, realized power variation. 1 Introduction Realized power variation of a discretely sampled process can be de¯ned as the sum of the absolute values of the increments of the process raised to a given power. The leading case is when the power is 2, which corresponds to the realized variance that is widely used in ¯nance. It is well known that under very weak conditions, see e.g. Jacod and Shiryaev (2003), the realized variance converges to the quadratic variation of the process as the sampling frequency increases. Other powers than 2 have also been used as a way to measure variation of the process over a given interval in time as well as for estimation in parametric or semiparametric settings. Recently, Ait-Sahalia and Jacod (2009b) have used the realized power variation as a way to test for presence of jumps on a given path and Jacod and Todorov (2009) have used it to test for common arrival of jumps in a multivariate context.
    [Show full text]
  • 2007 Annual Report
    Princeton University Bendheim Center for Finance Annual Report 2007 26 Prospect Avenue Princeton, NJ 08540-5296 http://www.princeton.edu/~bcf Contents CONTENTS 2 DIRECTOR’S INTRODUCTION 3 FACULTY 8 VISITING FACULTY 35 VISITING FELLOWS 39 GRADUATING PH.D. STUDENTS 40 FINANCE SEMINARS 41 CIVITAS FOUNDATION FINANCE SEMINAR FALL 2006 41 CIVITAS FOUNDATION FINANCE SEMINAR SPRING 2007 42 FINANCE PH.D. STUDENT WORKSHOP 43 CONFERENCES 45 THE PRINCETON LECTURES IN FINANCE 45 SECOND CAMBRIDGE-PRINCETON CONFERENCE 46 CONFERENCE ON RISK MEASURES AND ROBUST CONTROL IN FINANCE 48 RETHINKING BUSINESS MANAGEMENT: AN EXAMINATION OF THE FOUNDATIONS OF BUSINESS EDUCATION 48 UNDERGRADUATE CERTIFICATE IN FINANCE 50 DEPARTMENTAL PRIZES, HONORS AND ATHLETIC AWARDS TO UCF ’07 STUDENTS 51 SENIOR THESES OF THE CLASS OF ’07 53 MINI-COURSE ON FINANCIAL MODELING, VALUATION AND ANALYSIS 58 USING EXCEL, VBA AND C++ 58 MASTER IN FINANCE 59 ADMISSION REQUIREMENTS 60 STATISTICS ON THE ADMISSION PROCESS 60 PROGRAM REQUIREMENTS 61 CORE COURSES 62 ELECTIVE COURSES 62 TRACKS 64 SOME COURSE DESCRIPTIONS 65 MASTER IN FINANCE PLACEMENT 69 MFIN MATH CAMP/BOOT CAMP 70 ADVISORY COUNCIL 73 CORPORATE AFFILIATES PROGRAM 75 2006-07 PARTNERS 75 BENEFITS 75 GIFT OPPORTUNITIES 77 ACKNOWLEDGEMENTS 2006-07 78 Director’s Introduction The mission of Princeton University’s Bendheim Center for Finance is twofold: First, to develop new courses and programs in finance that will afford exciting learning opportunities to Princeton students; and second, to establish a leading center for modern financial research. Under the aegis of the BCF, Princeton’s existing finance curriculum is being expanded and improved, and two new academic programs have been created: an Undergraduate Certificate in Finance in 1999 and a Master Program in Finance in 2001.
    [Show full text]
  • Optimal Stopping Problems with Applications to Mathematical Finance
    OPTIMAL STOPPING PROBLEMS WITH APPLICATIONS TO MATHEMATICAL FINANCE A thesis submitted to the University of Manchester for the degree of Doctor of Philosophy in the Faculty of Engineering and Physical Sciences 2014 Yerkin Kitapbayev School of Mathematics Contents Abstract 9 Declaration 10 Copyright Statement 11 Acknowledgements 13 1 Introduction 14 2 The American lookback option with fixed strike 23 2.1 Introduction . 23 2.2 Formulation of the problem and its reduction . 24 2.3 The two-dimensional problem . 26 2.4 The arbitrage-free price and stopping region . 39 2.5 Conclusion . 41 3 The British lookback option with fixed strike 43 3.1 Introduction . 43 3.2 Basic motivation for the British lookback option with fixed strike . 45 3.3 The British lookback option with fixed strike: Definition and basic properties . 48 3.4 The arbitrage-free price and the rational exercise boundary . 58 3.5 The financial analysis . 64 2 4 The American swing put option 69 4.1 Introduction . 69 4.2 Formulation of the swing put option problem . 71 4.3 Free-boundary analysis of the swing option with n = 2 . 75 4.4 Solution of the swing option with n rights . 98 5 Shout put option 104 5.1 Introduction . 104 5.2 Formulation of the problem . 107 5.3 Free-boundary problem . 109 5.4 The arbitrage-free price of the shout option . 116 5.5 The financial analysis . 121 6 Smooth-fit principle for exponential L´evymodel 127 6.1 Introduction . 127 6.2 Model setting . 128 6.3 American put option on finite horizon .
    [Show full text]
  • From Stochastic Calculus to Mathematical Finance Yu
    From Stochastic Calculus to Mathematical Finance Yu. Kabanov R. Lipster J. Stoyanov From Stochastic Calculus to Mathematical Finance The Shiryaev Festschrift With 15 Figures ABC Yuri Kabanov Robert Liptser Université de Franche-Comté Department of Electrical Engineering-Systems 16, route de Gray Tel Aviv University 25030 Besançon Cedex P.O.B. 39040, Ramat Aviv France Tel Aviv 69978 e-mail: [email protected] Israel e-mail: [email protected] Jordan Stoyanov School of Mathematics & Statistics University of Newcastle Newcastle upon Tyne NE1 7RU United Kingdom e-mail: [email protected] Library of Congress Control Number: 2005938923 Mathematics Subject Classification (2000): 60-XX, 93-XX ISBN-10 3-540-30782-6 Springer Berlin Heidelberg New York ISBN-13 978-3-540-30782-2 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springer.com c Springer-Verlag Berlin Heidelberg 2006 Printed in Germany The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use.
    [Show full text]
  • Advanced Methods in Mathematical Finance
    Advanced Methods in Mathematical Finance Angers 28th to 31st August 2018 Organizing Committee Loïc Chaumont (Université d'Angers) Laurent Denis (Université du Maine) Rodolphe Garbit (Université d'Angers) Piotr Graczyk (Université d'Angers) Ying Hu (Université de Rennes 1) Fabien Panloup (Université d'Angers) Frédéric Proïa (Université d'Angers) Jérôme Spielmann (Université d'Angers) Lioudmila Vostrikova (Université d'Angers) Scientic Committee Monique Jeanblanc (Université d'Evry) Yuri Kabanov (Université de Franche-Comté and Moscow State University) Marek Musiela (Oxford-Man Institute) Martin Schweizer (ETH Zurich) Thaleia Zariphopoulou (University of Texas at Austin) Foreword The organizing committee is delighted to welcome you to Angers for the conference Advanced Methods in Mathematical Finance, which is organized by the University of Angers, the University of Rennes and the University of Le Mans. Its aim is to bring together experts in Financial Mathematics, fostering interactions and enabling them to share their knowledge with young researchers. During the conference, invited lectures and talks will highlight recent advances in Mathematical Finance and its practical applications, to make the link between these two elds. We also hope that this conference will be an opportunity for you to visit Angers and its area : the cultural and historical heritage of the Anjou region is very rich and we encourage you to make the most of it during your stay. The organizers wish to acknowledge the nancial support of : the Mayor of Angers, the University of Angers, the CNRS Laboratory LAREMA, the Bachelier Society, the LABEX of the University of Rennes, Angers Loire Métropole, the Panorisk project of the region Pays de la Loire and the Démath project of the Research Federation of "Mathématiques des Pays de la Loire".
    [Show full text]
  • Relations Between Information and Estimation: a Unified View
    RELATIONS BETWEEN INFORMATION AND ESTIMATION: A UNIFIED VIEW A DISSERTATION SUBMITTED TO THE DEPARTMENT OF ELECTRICAL ENGINEERING AND THE COMMITTEE ON GRADUATE STUDIES OF STANFORD UNIVERSITY IN PARTIAL FULFILLMENT OF THE REQUIREMENTS FOR THE DEGREE OF DOCTOR OF PHILOSOPHY Kartik Venkat December 2015 © 2015 by Kartik Venkat. All Rights Reserved. Re-distributed by Stanford University under license with the author. This work is licensed under a Creative Commons Attribution- Noncommercial 3.0 United States License. http://creativecommons.org/licenses/by-nc/3.0/us/ This dissertation is online at: http://purl.stanford.edu/pv323kq3283 ii I certify that I have read this dissertation and that, in my opinion, it is fully adequate in scope and quality as a dissertation for the degree of Doctor of Philosophy. Tsachy Weissman, Primary Adviser I certify that I have read this dissertation and that, in my opinion, it is fully adequate in scope and quality as a dissertation for the degree of Doctor of Philosophy. Peter Glynn I certify that I have read this dissertation and that, in my opinion, it is fully adequate in scope and quality as a dissertation for the degree of Doctor of Philosophy. Andrea Montanari Approved for the Stanford University Committee on Graduate Studies. Patricia J. Gumport, Vice Provost for Graduate Education This signature page was generated electronically upon submission of this dissertation in electronic format. An original signed hard copy of the signature page is on file in University Archives. iii Abstract Measures of information, such as entropy, mutual information, and relative entropy play important roles in various domains: underlying algorithmic procedures in ma- chine learning, characterizing operational quantities in communication, storage and inference, and characterizing the likelihood of large deviations events in statistics and probability, among others.
    [Show full text]