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Finance with Monte Carlo
This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed on exploiting the power of the Monte Carlo method to illustrate and explore financial principles. Monte Carlo is the uniquely appropriate tool for modeling the random factors that drive financial markets and simulating their implications. The Monte Carlo method is introduced early and it is used in conjunction with the geometric Brownian motion model (GBM) to illustrate and analyze the topics covered in the remainder of the text. Placing focus on Monte Carlo methods allows ...
Explorations in Monte Carlo Methods
Monte Carlo methods are among the most used and useful computational tools available today, providing efficient and practical algorithims to solve a wide range of scientific and engineering problems. Applications covered in this book include optimization, finance, statistical mechanics, birth and death processes, and gambling systems. Explorations in Monte Carlo Methods provides a hands-on approach to learning this subject. Each new idea is carefully motivated by a realistic problem, thus leading from questions to theory via examples and numerical simulations. Programming exercises are integrated throughout the text as the primary vehicle for learning the material. Each chapter ends with a large collection of problems illustrating and directing the material. This book is suitable as a textbook for students of engineering and the sciences, as well as mathematics.
Mathematical Biology
This text presents mathematical biology as a field with a unity of its own, rather than only the intrusion of one science into another. The book focuses on problems of contemporary interest, such as cancer, genetics, and the rapidly growing field of genomics.
Explorations in Monte Carlo Methods
Monte Carlo methods are among the most used and useful computational tools available today, providing efficient and practical algorithims to solve a wide range of scientific and engineering problems. Applications covered in this book include optimization, finance, statistical mechanics, birth and death processes, and gambling systems. Explorations in Monte Carlo Methods provides a hands-on approach to learning this subject. Each new idea is carefully motivated by a realistic problem, thus leading from questions to theory via examples and numerical simulations. Programming exercises are integrated throughout the text as the primary vehicle for learning the material. Each chapter ends with a large collection of problems illustrating and directing the material. This book is suitable as a textbook for students of engineering and the sciences, as well as mathematics.
An Introduction to Parallel and Vector Scientific Computation
In this text, students of applied mathematics, science and engineering are introduced to fundamental ways of thinking about the broad context of parallelism. The authors begin by giving the reader a deeper understanding of the issues through a general examination of timing, data dependencies, and communication. These ideas are implemented with respect to shared memory, parallel and vector processing, and distributed memory cluster computing. Threads, OpenMP, and MPI are covered, along with code examples in Fortran, C, and Java. The principles of parallel computation are applied throughout as the authors cover traditional topics in a first course in scientific computing. Building on the fundamentals of floating point representation and numerical error, a thorough treatment of numerical linear algebra and eigenvector/eigenvalue problems is provided. By studying how these algorithms parallelize, the reader is able to explore parallelism inherent in other computations, such as Monte Carlo methods.
An Introduction to the Mathematics of Biology: with Computer Algebra Models
Biology is a source of fascination for most scientists, whether their training is in the life sciences or not. In particular, there is a special satisfaction in discovering an understanding of biology in the context of another science like mathematics. Fortunately there are plenty of interesting (and fun) problems in biology, and virtually all scientific disciplines have become the richer for it. For example, two major journals, Mathematical Biosciences and Journal of Mathematical Biology, have tripled in size since their inceptions 20-25 years ago. The various sciences have a great deal to give to one another, but there are still too many fences separating them. In writing this book we have...
The Mathematics of Signal Processing
Develops mathematical and probabilistic tools needed to give rigorous derivations and applications of fundamental results in signal processing theory.
A Physical Introduction to Suspension Dynamics
Understanding the behaviour of particles suspended in a fluid has many important applications across a range of fields, including engineering and geophysics. Comprising two main parts, this book begins with the well-developed theory of particles in viscous fluids, i.e. microhydrodynamics, particularly for single- and pair-body dynamics. Part II considers many-body dynamics, covering shear flows and sedimentation, bulk flow properties and collective phenomena. An interlude between the two parts provides the basic statistical techniques needed to employ the results of the first (microscopic) in the second (macroscopic). The authors introduce theoretical, mathematical concepts through concrete examples, making the material accessible to non-mathematicians. They also include some of the many open questions in the field to encourage further study. Consequently, this is an ideal introduction for students and researchers from other disciplines who are approaching suspension dynamics for the first time.
An Introduction to Stochastic Dynamics
An accessible introduction for applied mathematicians to concepts and techniques for describing, quantifying, and understanding dynamics under uncertainty.
Hydrodynamic Instabilities
The instability of fluid flows is a key topic in classical fluid mechanics because it has huge repercussions for applied disciplines such as chemical engineering, hydraulics, aeronautics, and geophysics. This modern introduction is written for any student, researcher, or practitioner working in the area, for whom an understanding of hydrodynamic instabilities is essential. Based on a decade's experience of teaching postgraduate students in fluid dynamics, this book brings the subject to life by emphasizing the physical mechanisms involved. The theory of dynamical systems provides the basic structure of the exposition, together with asymptotic methods. Wherever possible, Charru discusses the phenomena in terms of characteristic scales and dimensional analysis. The book includes numerous experimental studies, with references to videos and multimedia material, as well as over 150 exercises which introduce the reader to new problems.
