Books in Probability theory and stochastic processes

Financial, Macro and Micro Econometrics Using R

1st Edition
Volume 42
January 20, 2020
Hrishikesh D. Vinod + 1 more
English
Hardback
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eBook
9 7 8 0 1 2 8 2 0 2 5 1 7

Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics.

Fundamentals of Advanced Mathematics V3

1st Edition
September 18, 2019
Henri Bourles
English
Hardback
9 7 8 1 7 8 5 4 8 2 5 0 2
eBook
9 7 8 0 0 8 1 0 2 3 8 6 0

Fundamentals of Advanced Mathematics, Volume Three, begins with the study of differential and analytic infinite-dimensional manifolds, then progresses into fibered bundles, in particular, tangent and cotangent bundles. In addition, subjects covered include the tensor calculus on manifolds, differential and integral calculus on manifolds (general Stokes formula, integral curves and manifolds), an analysis on Lie groups, the Haar measure, the convolution of functions and distributions, and the harmonic analysis over a Lie group. Finally, the theory of connections is (linear connections, principal connections, and Cartan connections) covered, as is the calculus of variations in Lagrangian and Hamiltonian formulations. This volume is the prerequisite to the analytic and geometric study of nonlinear systems.

Conceptual Econometrics Using R

1st Edition
Volume 41
August 20, 2019
C.R. Rao + 1 more
English
Hardback
9 7 8 0 4 4 4 6 4 3 1 1 7
eBook
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Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others.

Introduction to Probability Models

12th Edition
March 9, 2019
Sheldon M. Ross
English
eBook
9 7 8 0 1 2 8 1 4 3 4 7 6

Introduction to Probability Models, Twelfth Edition, is the latest version of Sheldon Ross's classic bestseller. This trusted book introduces the reader to elementary probability modelling and stochastic processes and shows how probability theory can be applied in fields such as engineering, computer science, management science, the physical and social sciences and operations research. The hallmark features of this text have been retained in this edition, including a superior writing style and excellent exercises and examples covering the wide breadth of coverage of probability topics. In addition, many real-world applications in engineering, science, business and economics are included.

Stochastic Analysis of Mixed Fractional Gaussian Processes

1st Edition
May 22, 2018
Yuliya Mishura + 1 more
English
Hardback
9 7 8 1 7 8 5 4 8 2 4 5 8
eBook
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Stochastic Analysis of Mixed Fractional Gaussian Processes presents the main tools necessary to characterize Gaussian processes. The book focuses on the particular case of the linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices. Stochastic integration with respect to these processes is considered, as is the study of the existence and uniqueness of solutions of related SDE's. Applications in finance and statistics are also explored, with each chapter supplying a number of exercises to illustrate key concepts.

Fundamentals of Advanced Mathematics V2

1st Edition
January 17, 2018
Henri Bourles
English
Hardback
9 7 8 1 7 8 5 4 8 2 4 9 6
eBook
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The three volumes of this series of books, of which this is the second, put forward the mathematical elements that make up the foundations of a number of contemporary scientific methods: modern theory on systems, physics and engineering. Whereas the first volume focused on the formal conditions for systems of linear equations (in particular of linear differential equations) to have solutions, this book presents the approaches to finding solutions to polynomial equations and to systems of linear differential equations with varying coefficients. Fundamentals of Advanced Mathematics, Volume 2: Field Extensions, Topology and Topological Vector Spaces, Functional Spaces, and Sheaves begins with the classical Galois theory and the theory of transcendental field extensions. Next, the differential side of these theories is treated, including the differential Galois theory (Picard-Vessiot theory of systems of linear differential equations with time-varying coefficients) and differentially transcendental field extensions. The treatment of analysis includes topology (using both filters and nets), topological vector spaces (using the notion of disked space, which simplifies the theory of duality), and the radon measure (assuming that the usual theory of measure and integration is known). In addition, the theory of sheaves is developed with application to the theory of distributions and the theory of hyperfunctions (assuming that the usual theory of functions of the complex variable is known). This volume is the prerequisite to the study of linear systems with time-varying coefficients from the point-of-view of algebraic analysis and the algebraic theory of nonlinear systems.

Occupancy Estimation and Modeling

2nd Edition
November 13, 2017
Darryl I. MacKenzie + 5 more
English
Paperback
9 7 8 0 1 2 8 1 4 6 9 1 0
eBook
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Occupancy Estimation and Modeling: Inferring Patterns and Dynamics of Species Occurrence, Second Edition, provides a synthesis of model-based approaches for analyzing presence-absence data, allowing for imperfect detection. Beginning from the relatively simple case of estimating the proportion of area or sampling units occupied at the time of surveying, the authors describe a wide variety of extensions that have been developed since the early 2000s. This provides an improved insight about species and community ecology, including, detection heterogeneity; correlated detections; spatial autocorrelation; multiple states or classes of occupancy; changes in occupancy over time; species co-occurrence; community-level modeling, and more. Occupancy Estimation and Modeling: Inferring Patterns and Dynamics of Species Occurrence, Second Edition has been greatly expanded and detail is provided regarding the estimation methods and examples of their application are given. Important study design recommendations are also covered to give a well rounded view of modeling.

Inequalities and Extremal Problems in Probability and Statistics

1st Edition
May 8, 2017
Iosif Pinelis + 4 more
English
Paperback
9 7 8 0 1 2 8 0 9 8 1 8 9
eBook
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Inequalities and Extremal Problems in Probability and Statistics: Selected Topics presents various kinds of useful inequalities that are applicable in many areas of mathematics, the sciences, and engineering. The book enables the reader to grasp the importance of inequalities and how they relate to probability and statistics. This will be an extremely useful book for researchers and graduate students in probability, statistics, and econometrics, as well as specialists working across sciences, engineering, financial mathematics, insurance, and mathematical modeling of large risks.

Survey Sampling Theory and Applications

1st Edition
March 8, 2017
Raghunath Arnab
English
Paperback
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eBook
9 7 8 0 1 2 8 1 1 8 9 7 9

Survey Sampling Theory and Applications offers a comprehensive overview of survey sampling, including the basics of sampling theory and practice, as well as research-based topics and examples of emerging trends. The text is useful for basic and advanced survey sampling courses. Many other books available for graduate students do not contain material on recent developments in the area of survey sampling. The book covers a wide spectrum of topics on the subject, including repetitive sampling over two occasions with varying probabilities, ranked set sampling, Fays method for balanced repeated replications, mirror-match bootstrap, and controlled sampling procedures. Many topics discussed here are not available in other text books. In each section, theories are illustrated with numerical examples. At the end of each chapter theoretical as well as numerical exercises are given which can help graduate students.

Stochastic Models of Financial Mathematics

1st Edition
October 12, 2016
Vigirdas Mackevicius
English
Hardback
9 7 8 1 7 8 5 4 8 1 9 8 7
eBook
9 7 8 0 0 8 1 0 2 0 8 6 9

This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black–Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox−Ingersoll−Ross, and Heath–Jarrow–Morton interest rate models are also explored.The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided.

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