Finanzderivate mit MATLAB®: Mathematische Modellierung und by Michael Günther, Ansgar Jüngel (auth.)

By Michael Günther, Ansgar Jüngel (auth.)

In der Finanzwelt ist der Einsatz von Finanzderivaten zu einem unentbehrlichen Hilfsmittel zur Absicherung von Risiken geworden. Dieses Buch richtet sich an Studierende der (Finanz-) Mathematik und der Wirtschaftswissenschaften im Hauptstudium, die mehr über Finanzderivate und ihre mathematische Behandlung erfahren möchten. Es werden moderne numerische Methoden vorgestellt, mit denen die entsprechenden Bewertungsgleichungen in der Programmierumgebung MATLAB gelöst werden können. Betrachtet werden Binomialmethoden, Monte-Carlo-Simulationen und Verfahren zur Lösung parabolischer Differentialgleichungen und freier Randwertprobleme. Auch auf neuere Entwicklungen wie die Bewertung von Zins- und Wetterderivaten wird eingegangen. MATLAB-Befehle und theoretische Hilfsmittel (aus der Stochastik) sind in die einzelnen Kapitel integriert, so dass keine Vorkenntnisse notwendig sind. Das Buch eignet sich hervorragend zum Selbststudium. Der textual content wurde für die zweite Auflage gründlich überarbeitet und durch aktuelle Entwicklungen auf den Finanzmärkten ergänzt: u.a. Bewertung von Energiederivaten, die im Zuge der Liberalisierung der Energiemärkte entwickelt wurden - spezielle Kreditderivate, deren riskanter Umgang die Finanzkrise mit verursacht zu haben scheint - Adjusting suggestions, die in globalisierten Märkten von großer Bedeutung sind.

Optionen und Arbitrage - Die Binomialmethode - Die Black-Scholes-Gleichung - Die Monte-Carlo-Methode - Numerische Lösung parabolischer Differentialgleichungen - Numerische Lösung freier Randwertprobleme - Einige weiterführende Themen - Eine kleine Einführung in MATLAB

- Studierende der Mathematik und der Finanzmathematik ab four. Semester
- Studierende der Wirtschaftswissenschaften ab four. Semester
- Studierende der Physik ab four. Semester mit Interesse an Finanzmathematik (Econophysics)
- Personen aus der Praxis (Investment Banking, Risikomanagement) mit Interesse an mathematischer Modellierung und numerischen Algorithmen

Prof. Dr. Michael G

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From Elementary Probability to Stochastic Differential by Sasha Cyganowski

By Sasha Cyganowski

This is often an creation to probabilistic and statistical options essential to comprehend the elemental principles and techniques of stochastic differential equations. in accordance with degree conception, that is brought as easily as attainable, it presents functional talents within the use of MAPLE within the context of chance and its functions. It bargains to graduates and complicated undergraduates an outline and intuitive history for extra complicated stories.

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MATLAB Programming for Engineers B01_0562 by Stephen J.Chapman

By Stephen J.Chapman

;MATLAB programming for enginears КНИГИ ;НАУКА и УЧЕБА Название: MATLAB programming for enginears Автор: Chapman S.J. Год: 2002 Издательство: CL-Engineering Страниц: 567 Формат: djvu Размер: seventy two Mb Язык: английскийАннотация.Emphasizing problem-solving talents all through this very profitable ebook, Stephen Chapman introduces the MATLAB® language and exhibits the way to use it to unravel commonplace technical difficulties. The ebook teaches MATLAB® as a technical programming language exhibiting scholars how you can write fresh, effective, and well-documented courses. It makes no pretense at being a whole description of all of MATLAB®'s countless numbers of services. in its place, it teaches scholars easy methods to find any wanted functionality with MATLAB®'s vast on-line support amenities. total, scholars strengthen problem-solving talents and are outfitted for destiny classes and careers utilizing the facility of MATLAB®. zero

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Optical Wireless Communications: System and Channel by Z. Ghassemlooy, W. Popoola, S. Rajbhandari

By Z. Ghassemlooy, W. Popoola, S. Rajbhandari

Detailing a structures technique, Optical instant Communications: procedure and Channel Modelling with MATLAB®, is a self-contained quantity that concisely and comprehensively covers the speculation and know-how of optical instant communications platforms (OWC) in a manner that's compatible for undergraduate and graduate-level scholars, in addition to researchers engineers. Incorporating MATLAB® all through, the authors spotlight previous and present learn actions to demonstrate optical resources, transmitters, detectors, receivers, and different units utilized in optical instant communications. in addition they speak about either indoor and outside environments, discussing how diverse factors—including numerous channel models—affect method functionality and mitigation thoughts. additionally, this e-book commonly covers the most important elements of OWC platforms: primary rules of OWC units and structures Modulation options and schemes (including polarization shift keying) Channel types and approach functionality research rising noticeable mild communications Terrestrial loose area optics communique Use of infrared in indoor OWC One whole bankruptcy explores the rising box of noticeable gentle communications, and others describe concepts for utilizing theoretical research and simulation to mitigate channel impression on method functionality. extra themes contain wavelet denoising, synthetic neural networks, and spatial range. content material additionally covers diverse demanding situations encountered in OWC, in addition to outlining attainable strategies and present examine developments. a huge allure of the publication is the presentation of MATLAB simulations and codes, which allow readers to execute vast simulations and higher comprehend OWC mostly.

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Financial Risk Forecasting : The Theory and Practice of by Jon Danielsson

By Jon Danielsson

Monetary threat Forecasting is a whole advent to sensible quantitative chance administration, with a spotlight on marketplace possibility. Derived from the authors instructing notes and years spent education practitioners in possibility administration strategies, it brings jointly the 3 key disciplines of finance, data and modeling (programming), to supply an intensive grounding in probability administration techniques.Written by means of popular threat professional Jon Danielsson, the e-book starts off with an creation to monetary markets and industry costs, volatility clusters, fats tails and nonlinear dependence. It then is going directly to current volatility forecasting with either univatiate and multivatiate tools, discussing a number of the equipment utilized by undefined, with a unique specialise in the GARCH relatives of versions. The review of the standard of forecasts is mentioned intimately. subsequent, the most innovations in threat and versions to forecast threat are mentioned, specially volatility, value-at-risk and anticipated shortfall. the point of interest is either on chance in uncomplicated resources akin to shares and foreign currency, but additionally calculations of possibility in bonds and strategies, with analytical tools corresponding to delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The booklet then strikes directly to the evaluate of chance types with tools like backtesting, by way of a dialogue on tension checking out. The ebook concludes through focussing at the forecasting of probability in very huge and unusual occasions with severe worth idea and contemplating the underlying assumptions at the back of nearly each chance version in useful use – that possibility is exogenous – and what occurs while these assumptions are violated.Every process provided brings jointly theoretical dialogue and derivation of key equations and a dialogue of matters in useful implementation. every one approach is applied in either MATLAB and R, of the main widely used mathematical programming languages for chance forecasting with which the reader can enforce the versions illustrated within the book.The publication contains 4 appendices. the 1st introduces simple techniques in records and fiscal time sequence stated during the booklet. the second one and 3rd introduce R and MATLAB, supplying a dialogue of the elemental implementation of the software program programs. And the ultimate appears to be like on the suggestion of utmost probability, particularly concerns in implementation and testing.The e-book is followed via an internet site - – which beneficial properties downloadable code as utilized in the e-book.

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Basics of MATLAB and Beyond by Andrew Knight

By Andrew Knight

MATLAB -the vastly well known computation, numerical research, sign processing, information research, and graphical software program package-allows nearly each scientist and engineer to make greater and swifter development. As MATLAB's world-wide revenues method a half-million with an predicted 4 million clients, it turns into a close to necessity that execs and scholars have a degree of competence in its use. previously, besides the fact that, there was no publication that fast and successfully introduces MATLAB's functions to new clients and assists people with extra adventure down the trail towards more and more refined work.Basics of MATLAB and past is simply this kind of booklet. Its hands-on, instructional process lightly takes new clients through the hand and leads them to competence in all of the basics of MATLAB. Then, with equivalent effectiveness, it covers the complex subject matters that bring about complete, artistic exploitation of MATLAB's remarkable energy. With this ebook, readers will:"Solve extra issues of MATLAB-and clear up them faster"Create clearer, extra attractive pictures with keep watch over over each detail"Create their very own MATLAB code"Share their paintings via exporting facts and pictures to different applications"Develop graphical person interfacesBased at the newest 5.x liberate, fundamentals of MATLAB and past offers either beginner and skilled clients the instruments they should achieve skillability, raise productiveness, and eventually have extra enjoyable with MATLAB.

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Physics with MAPLE : the computer algebra resource for by Frank Y. Wang

By Frank Y. Wang

Written by way of an skilled physicist who's lively in using desktop algebra to relativistic astrophysics and schooling, this is often the source for mathematical equipment in physics utilizing MapleTM and MathematicaTM. via in-depth difficulties from center classes within the physics curriculum, the writer publications scholars to use analytical and numerical options in mathematical physics, and current the implications in interactive portraits. round a hundred and eighty simulating workouts are incorporated to facilitate studying by way of examples.
This publication is a must have for college kids of physics, electric and mechanical engineering, materials
scientists, academics in physics, and college libraries.
* loose on-line MapleTM fabric at
* loose on-line MathematicaTM fabric at
* ideas handbook for teachers to be had at

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Essential Maple: An Introduction for Scientific Programmers by Robert M. Corless

By Robert M. Corless

This e-book presents a brief creation to programming in Maple, with an summary of the main commonly-used instructions and constructs. It summarizes easy fabric, highlights slippery issues, and provides pointers on programming.
It additionally covers extra refined subject matters special to Maple: choice consider; the imagine facility; using programs in Maple; review ideas; facts constructions; computation sequences; simplification; resolution of equations (including a bit on Groebner bases); series accelleration; the Maple version of floating-point assessment; calling different courses from Maple; operators; established forms; neighborhood, international, and surroundings variables; tracing and debugging.

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