Peter Carr Gedenkschrift: Research Advances In Mathematical Finance

Peter Carr Gedenkschrift: Research Advances In Mathematical Finance PDF

Author: Robert A Jarrow

Publisher: World Scientific

Published: 2023-11-10

Total Pages: 866

ISBN-13: 9811280312

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This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.

Advances in Mathematical Finance

Advances in Mathematical Finance PDF

Author: Michael C. Fu

Publisher: Springer Science & Business Media

Published: 2007-06-22

Total Pages: 336

ISBN-13: 0817645454

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This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE PDF

Author: Nizar Touzi

Publisher: Springer Science & Business Media

Published: 2012-09-25

Total Pages: 219

ISBN-13: 1461442869

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This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.​

Morrey Spaces

Morrey Spaces PDF

Author: Yoshihiro Sawano

Publisher: CRC Press

Published: 2020-09-16

Total Pages: 316

ISBN-13: 1000064077

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Morrey spaces were introduced by Charles Morrey to investigate the local behaviour of solutions to second order elliptic partial differential equations. The technique is very useful in many areas in mathematics, in particular in harmonic analysis, potential theory, partial differential equations and mathematical physics. Across two volumes, the authors of Morrey Spaces: Introduction and Applications to Integral Operators and PDE’s discuss the current state of art and perspectives of developments of this theory of Morrey spaces, with the emphasis in Volume II focused mainly generalizations and interpolation of Morrey spaces. Features Provides a ‘from-scratch’ overview of the topic readable by anyone with an understanding of integration theory Suitable for graduate students, masters course students, and researchers in PDE's or Geometry Replete with exercises and examples to aid the reader’s understanding

Against All Odds

Against All Odds PDF

Author: Eva Kaufholz-Soldat

Publisher: Springer Nature

Published: 2020-07-29

Total Pages: 331

ISBN-13: 3030476103

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This book presents an overview of the ways in which women have been able to conduct mathematical research since the 18th century, despite their general exclusion from the sciences. Grouped into four thematic sections, the authors concentrate on well-known figures like Sophie Germain and Grace Chisholm Young, as well as those who have remained unnoticed by historians so far. Among them are Stanisława Nidodym, the first female students at the universities in Prague at the turn of the 20th century, and the first female professors of mathematics in Denmark. Highlighting individual biographies, couples in science, the situation at specific European universities, and sociological factors influencing specific careers from the 18th century to the present, the authors trace female mathematicians’ status as it evolved from singular and anomalous to virtually commonplace. The book also offers insights into the various obstacles women faced when trying to enter perhaps the “most male” discipline of all, and how some of them continue to shape young girls’ self-perceptions and career choices today. Thus, it will benefit scholars and students in STEM disciplines, gender studies and the history of science; women in science, mathematics and at institutions, and those working in mathematics education.

Algorithmic and High-Frequency Trading

Algorithmic and High-Frequency Trading PDF

Author: Álvaro Cartea

Publisher: Cambridge University Press

Published: 2015-08-06

Total Pages: 360

ISBN-13: 1316453650

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The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.

The Financial Mathematics of Market Liquidity

The Financial Mathematics of Market Liquidity PDF

Author: Olivier Gueant

Publisher: CRC Press

Published: 2016-03-30

Total Pages: 302

ISBN-13: 1498725481

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This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app

Ancient Greek Linguistics

Ancient Greek Linguistics PDF

Author: Felicia Logozzo

Publisher: Walter de Gruyter GmbH & Co KG

Published: 2017-11-07

Total Pages: 874

ISBN-13: 3110551756

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The volume assembles about 50 contributions presented at the Intenational Colloquium on Ancient Greek Linguistics, held in Rome, March 2015. This Colloquium opened a new series of international conferences that has replaced previous national meetings on this subject. They embrace essential topics of Ancient Greek Linguistics with different theoretical and methodological approaches: particles and their functional uses; phonology; tense, aspect, modality; syntax and thematic roles; lexicon and onomastics; Greek and other languages; speech acts and pragmatics.

Business Optimization Using Mathematical Programming

Business Optimization Using Mathematical Programming PDF

Author: Josef Kallrath

Publisher: Springer Nature

Published: 2021-08-31

Total Pages: 653

ISBN-13: 3030732371

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This book presents a structured approach to formulate, model, and solve mathematical optimization problems for a wide range of real world situations. Among the problems covered are production, distribution and supply chain planning, scheduling, vehicle routing, as well as cutting stock, packing, and nesting. The optimization techniques used to solve the problems are primarily linear, mixed-integer linear, nonlinear, and mixed integer nonlinear programming. The book also covers important considerations for solving real-world optimization problems, such as dealing with valid inequalities and symmetry during the modeling phase, but also data interfacing and visualization of results in a more and more digitized world. The broad range of ideas and approaches presented helps the reader to learn how to model a variety of problems from process industry, paper and metals industry, the energy sector, and logistics using mathematical optimization techniques.