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Mathematical Methods for Financial Markets
Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.
Some Aspects of Brownian Motion
The following notes represent approximately the second half of the lectures I gave in the Nachdiplomvorlesung, in ETH, Zurich, between October 1991 and February 1992, together with the contents of six additional lectures I gave in ETH, in November and December 1993. Part I, the elder brother of the present book [Part II], aimed at the computation, as explicitly as possible, of a number of interesting functionals of Brownian motion. It may be natural that Part II, the younger brother, looks more into the main technique with which Part I was "working", namely: martingales and stochastic calculus. As F. Knight writes, in a review article on Part I, in which research on Brownian motion is compar...
Geometry of the Plane Cremona Maps
This book provides a self-contained exposition of the theory of plane Cremona maps, reviewing the classical theory. The book updates, correctly proves and generalises a number of classical results by allowing any configuration of singularities for the base points of the plane Cremona maps. It also presents some material which has only appeared in research papers and includes new, previously unpublished results. This book will be useful as a reference text for any researcher who is interested in the topic of plane birational maps.
Séminaire de Probabilités XXXII
All the papers in the volume are original research papers, discussing fundamental properties of stochastic processes. The topics under study (martingales, filtrations, path properties, etc.) represent an important part of the current research performed in 1996-97 by various groups of probabilists in France and abroad.
The Red Book of Varieties and Schemes
Mumford's famous "Red Book" gives a simple, readable account of the basic objects of algebraic geometry, preserving as much as possible their geometric flavor and integrating this with the tools of commutative algebra. It is aimed at graduates or mathematicians in other fields wishing to quickly learn aboutalgebraic geometry. This new edition includes an appendix that gives an overview of the theory of curves, their moduli spaces and their Jacobians -- one of the most exciting fields within algebraic geometry.
Biogeography and Ecology of the Pityusic Islands
A large part of this book is dedicated to the geology of the Pityusic Archipelago, followed by contributions on climate and geography. Funguses, mosses and leeks are the subjects of taxonomical botany, and a further paper deals with the vegetation of the islands. Another large part of this book is concerned with zoology: faunal lists on fleas, bees, wasps, ants, butterflies, beetles, snails, amphibians and reptiles, birds and mammals, the latter with their epi- and endofaunas as well as their subfossil remains are presented in 13 different papers. Three of them deal with the special problems of isolation and evolution of new races on rocks and small islets: tenebrionid beetles, lizards and t...
Quantum Independent Increment Processes II
Lectures given at the school "Quantum Independent Increment Processes: Structure and Applications to Physics" held at the Alfried-Krupp-Wissenschaftskolleg in Greifswald in March 9-22, 2003.
Flows on 2-dimensional Manifolds
Time-evolution in low-dimensional topological spaces is a subject of puzzling vitality. This book is a state-of-the-art account, covering classical and new results. The volume comprises Poincaré-Bendixson, local and Morse-Smale theories, as well as a carefully written chapter on the invariants of surface flows. Of particular interest are chapters on the Anosov-Weil problem, C*-algebras and non-compact surfaces. The book invites graduate students and non-specialists to a fascinating realm of research. It is a valuable source of reference to the specialists.
Séminaire de Probabilités XXXVII
The 37th Séminaire de Probabilités contains A. Lejay's advanced course which is a pedagogical introduction to works by T. Lyons and others on stochastic integrals and SDEs driven by deterministic rough paths. The rest of the volume consists of various articles on topics familiar to regular readers of the Séminaires, including Brownian motion, random environment or scenery, PDEs and SDEs, random matrices and financial random processes.
