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Risk-Neutral Valuation
This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.
Probability and Mathematical Genetics
No leading university department of mathematics or statistics, or library, can afford to be without this unique text. Leading authorities give a unique insight into a wide range of currently topical problems, from the mathematics of road networks to the genomics of cancer.
Risk-neutral Valuation
With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.
Stochastic Analysis
Papers from the Symposium on stochastic analysis, which took place at the University of Durham in July 1990.
Probability and Mathematical Genetics
Focusing on the work of Sir John Kingman, one of the world's leading researchers in probability and mathematical genetics, this book touches on the important areas of these subjects in the last 50 years. Leading authorities give a unique insight into a wide range of currently topical problems. Papers in probability concentrate on combinatorial and structural aspects, in particular exchangeability and regeneration. The Kingman coalescent links probability with mathematical genetics and is fundamental to the study of the latter. This has implications across the whole of genomic modeling including the Human Genome Project. Other papers in mathematical population genetics range from statistical aspects including heterogeneous clustering, to the assessment of molecular variability in cancer genomes. Further papers in statistics are concerned with empirical deconvolution, perfect simulation, and wavelets. This book will be warmly received by established experts as well as their students and others interested in the content.
Regular Variation
A comprehensive account of the theory and applications of regular variation.
Category and Measure
Topological spaces in general, and the real numbers in particular, have the characteristic of exhibiting a 'continuity structure', one that can be examined from the vantage point of Baire category or of Lebesgue measure. Though they are in some sense dual, work over the last half-century has shown that it is the former, topological view, that has pride of place since it reveals a much richer structure that draws from, and gives back to, areas such as analytic sets, infinite games, probability, infinite combinatorics, descriptive set theory and topology. Keeping prerequisites to a minimum, the authors provide a new exposition and synthesis of the extensive mathematical theory needed to understand the subject's current state of knowledge, and they complement their presentation with a thorough bibliography of source material and pointers to further work. The result is a book that will be the standard reference for all researchers in the area.
Risk-Neutral Valuation
With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.
Probability and Mathematical Genetics
Leading authorities cover a wide range of currently topical problems in probability and mathematical genetics.
