Numerical Solution Of Sde Through Computer Experiments

Author : Peter Eris Kloeden
Publisher : Springer Science & Business Media
ISBN 13 : 3642579132
Total Pages : 304 pages
Book Rating : 4.34/5 ( download)

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Download or read book Numerical Solution of SDE Through Computer Experiments written by Peter Eris Kloeden and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical background. Software containing programs for over 100 problems is available online.

Author : Peter E. Kloeden
Publisher :
ISBN 13 :
Total Pages : 292 pages
Book Rating : 4.54/5 ( download)

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Download or read book Numerical Solution of SDE Through Computer Experiments written by Peter E. Kloeden and published by . This book was released on 1994 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Simo Särkkä
Publisher : Cambridge University Press
ISBN 13 : 1316510085
Total Pages : 327 pages
Book Rating : 4.87/5 ( download)

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Download or read book Applied Stochastic Differential Equations written by Simo Särkkä and published by Cambridge University Press. This book was released on 2019-05-02 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.

Author : Peter E. Kloeden
Publisher : Springer Science & Business Media
ISBN 13 : 9783540540625
Total Pages : 680 pages
Book Rating : 4.28/5 ( download)

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Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2011-06-15 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Author : Peter E. Kloeden
Publisher : Springer Science & Business Media
ISBN 13 : 3662126168
Total Pages : 666 pages
Book Rating : 4.65/5 ( download)

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Download or read book Numerical Solution of Stochastic Differential Equations written by Peter E. Kloeden and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: "The authors draw upon their own research and experiences in obviously many disciplines... considerable time has obviously been spent writing this in the simplest language possible." --ZAMP

Author : Carlo Laing
Publisher : Oxford University Press
ISBN 13 : 0199235074
Total Pages : 399 pages
Book Rating : 4.70/5 ( download)

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Download or read book Stochastic Methods in Neuroscience written by Carlo Laing and published by Oxford University Press. This book was released on 2010 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational or mathematical neuroscience is a research area currently of great interest, due to, amongst other factors, rapid increases in computing power, increases in the ability to record large amounts of neurophysiological data, and a realisation amongst both neuroscientists and mathematicians that each can benefit from collaborating with the other. Suitable for graduates and researchers in computational neuroscience, stochastic systems, and neuroscientists seeking to learn more about recent advances in the modelling and analysis of noisy neural systems, this text presents an overview of neuroscience and the role of noise via a series of self-contained chapters on major aspects, written by experts in their particular field. These range over Markov chain models for ion channel release, stochastically forced single neurons and population of neurons, statistical methods for parameter estimation, and the numerical approximation these models. Each chapter will give an overview of a particular topic, including its history, important results in the area, and future challenges.

Author : Daniel J. Duffy
Publisher : John Wiley & Sons
ISBN 13 : 1119719720
Total Pages : 551 pages
Book Rating : 4.24/5 ( download)

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Download or read book Numerical Methods in Computational Finance written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2022-03-14 with total page 551 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners, novices and expert users. Part A Mathematical Foundation for One-Factor Problems Chapters 1 to 7 introduce the mathematical and numerical analysis concepts that are needed to understand the finite difference method and its application to computational finance. Part B Mathematical Foundation for Two-Factor Problems Chapters 8 to 13 discuss a number of rigorous mathematical techniques relating to elliptic and parabolic partial differential equations in two space variables. In particular, we develop strategies to preprocess and modify a PDE before we approximate it by the finite difference method, thus avoiding ad-hoc and heuristic tricks. Part C The Foundations of the Finite Difference Method (FDM) Chapters 14 to 17 introduce the mathematical background to the finite difference method for initial boundary value problems for parabolic PDEs. It encapsulates all the background information to construct stable and accurate finite difference schemes. Part D Advanced Finite Difference Schemes for Two-Factor Problems Chapters 18 to 22 introduce a number of modern finite difference methods to approximate the solution of two factor partial differential equations. This is the only book we know of that discusses these methods in any detail. Part E Test Cases in Computational Finance Chapters 23 to 26 are concerned with applications based on previous chapters. We discuss finite difference schemes for a wide range of one-factor and two-factor problems. This book is suitable as an entry-level introduction as well as a detailed treatment of modern methods as used by industry quants and MSc/MFE students in finance. The topics have applications to numerical analysis, science and engineering. More on computational finance and the author’s online courses, see www.datasim.nl.

Author : Uwe Windhorst
Publisher : Springer Science & Business Media
ISBN 13 : 3642585523
Total Pages : 1336 pages
Book Rating : 4.24/5 ( download)

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Download or read book Modern Techniques in Neuroscience Research written by Uwe Windhorst and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 1336 pages. Available in PDF, EPUB and Kindle. Book excerpt: An overview of the techniques used in modern neuroscience research with the emphasis on showing how different techniques can optimally be combined in the study of problems that arise at some levels of nervous system organization. This is essentially a working tool for the scientist in the laboratory and clinic, providing detailed step-by-step protocols with tips and recommendations. Most chapters and protocols are organized such that they can be used independently, while cross-references between the chapters, a glossary, a list of suppliers and appendices provide further help.

Author : Ivan Dimov
Publisher : Springer
ISBN 13 : 3319570994
Total Pages : 785 pages
Book Rating : 4.90/5 ( download)

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Download or read book Numerical Analysis and Its Applications written by Ivan Dimov and published by Springer. This book was released on 2017-04-11 with total page 785 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes thoroughly revised selected papers of the 6th International Conference on Numerical Analysis and Its Applications, NAA 2016, held in Lozenetz, Bulgaria, in June 2016. The 90 revised papers presented were carefully reviewed and selected from 98 submissions. The conference offers a wide range of the following topics: Numerical Modeling; Numerical Stochastics; Numerical Approx-imation and Computational Geometry; Numerical Linear Algebra and Numer-ical Solution of Transcendental Equations; Numerical Methods for Differential Equations; High Performance Scientific Computing; and also special topics such as Novel methods in computational finance based on the FP7 Marie Curie Action,Project Multi-ITN STRIKE - Novel Methods in Compu-tational Finance, Grant Agreement Number 304617; Advanced numerical and applied studies of fractional differential equations.

Author : Rüdiger U. Seydel
Publisher : Springer Science & Business Media
ISBN 13 : 3662225514
Total Pages : 256 pages
Book Rating : 4.16/5 ( download)

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Download or read book Tools for Computational Finance written by Rüdiger U. Seydel and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.