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Big Data Science in Finance
Explains the mathematics, theory, and methods of Big Data as applied to finance and investing Examines the mathematics, theory, and practical use of the revolutionary techniques that are transforming the industry. Designed for mathematically-advanced students and discerning financial practitioners alike, this energizing book presents new, cutting-edge content based on world-class research taught in the leading Financial Mathematics and Engineering programs in the world. Marco Avellaneda, a leader in quantitative finance, and quantitative methodology author Irene Aldridge help readers harness the power of Big Data. Provides a complete account of Big Data that includes proofs, step-by-step applications, and code samples Explains the difference between Principal Component Analysis (PCA) and Singular Value Decomposition (SVD) Covers vital topics in the field in a clear, straightforward manner Compares, contrasts, and discusses Big Data and Small Data Includes Cornell University-tested educational materials such as lesson plans, end-of-chapter questions, and downloadable lecture slides
Advanced REIT Portfolio Optimization : Innovative Tools for Risk Management
This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including: portfolio optimization using both historic and predictive return estimation; model backtesting; a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and incorporating ESG ratings into REIT investment.
BIM for design firms : Data rich architecture at small and medium scales
Expands on Building Information Modeling, showing its applicability to a range of design-oriented projects. It emphasizes the full impact that a data modeling tool has on design processes, systems, and the high level of collaboration required across the design team. It also explains the quantitative analysis opportunities that BIM affords for sustainable design and for balancing competing design agendas, while highlighting the benefits BIM offers to designing in 3D for construction. The book concludes with a deep look at the possible future of BIM and digitally-enhanced design.
Mathematical Control Theory and Finance
This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing a large spectrum of problems and techniques. Control theory provides a large set of theoretical and computational tools with applications in a wide range of fields, ranging from "pure" areas of mathematics up to applied sciences like finance. Stochastic optimal control is a well established and important tool of mathematical finance. Other branches of control theory have found comparatively less applications to financial problems, but the exchange of ideas and methods has intensified in recent years. This volume should contribute to establish bridges between these separate fields. The diversity of topics covered as well as the large array of techniques and ideas brought in to obtain the results make this volume a valuable resource for advanced students and researchers.
Martingale Methods in Financial Modelling
This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model. The passage from discrete- to continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included. This model setting is later generalized to cover standard and exotic options involving several assets and/or currencies. An outline of the general theory of arbitrage pricing is presented. The second part of the text is devoted to the term structure modelling and the pricing of interest-rate derivatives. The main emphasis is on models that can be made consistent with market pricing practice.
Market-Consistent Actuarial Valuation
It is a challenging task to read the balance sheet of an insurance company. This derives from the fact that different positions are often measured by different yardsticks. Assets, for example, are mostly valued at market prices whereas liabilities are often measured by established actuarial methods. Market-Consistent Actuarial Valuation presents powerful methods to measure liabilities and assets in the same way. The mathematical framework that leads to market-consistent values for insurance liabilities is explained in detail by the authors. Topics covered are Stochastic discounting, Valuation portfolio in life and non-life insurance, Asset and liability management, Financial risks, Insurance technical risks, and Solvency.
Marine carbon biogeochemistry : A primer for earth system scientists
This book discusses biogeochemical processes relevant to carbon and aims to provide with insight into the functioning of marine ecosystems. A carbon centric approach has been adopted, but other elements are included where relevant or needed. The book focuses on concepts and quantitative understanding of primary production, organic matter mineralization and sediment biogeochemistry. The impact of biogeochemical processes on inorganic carbon dynamics and organic matter transformation are also discussed.
Management of Intentional and Accidental Water Pollution
The goals of the workshop included a discussion of the state of the science in identification of new research and approaches for water pollution events and communication of the management of water pollution and sustainability of water resources. Critical to management of accidental and intentional pollution events is the assessment of the risk, an understanding of the hazards and lessons learned from events which may lead to preventative management and control strategies. Public health protection will ultimately be improved by the ability to develop management frameworks which are flexible and adaptable to the specific region, country or watershed problems and concerns and allow for prioritization in the decision making. The integration of scientific information regarding the types of hazards the environmental fate of the chemical/biological, exposure pathways and human and ecosystem impacts may be implemented from both a qualitative or descriptive approach or using a more classical quantitative risk assessment paradigm. Thus the frameworks for assessing the risk and managing the risk may be seen as preventive, early warning and responsive.
Malliavin Calculus for Lévy Processes with Applications to Finance
While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential equations, this book has another goal. It portrays the most important and innovative applications in stochastic control and finance, such as hedging in complete and incomplete markets, optimisation in the presence of asymmetric information and also pricing and sensitivity analysis. In a self-contained fashion, both the Malliavin calculus with respect to Brownian motion and general Lévy type of noise are treated. Besides, forward integration is included and indeed extended to general Lévy processes. The forward integration is a recent development within anticipative stochastic calculus that, together with the Malliavin calculus, provides new methods for the study of insider trading problems.
Linear Selection Indices in Modern Plant Breeding
This open access book focuses on the linear selection index (LSI) theory and its statistical properties. It addresses the single-stage LSI theory by assuming that economic weights are fixed and known - or fixed, but unknown - to predict the net genetic merit in the phenotypic, marker and genomic context. Further, it shows how to combine the LSI theory with the independent culling method to develop the multistage selection index theory. The final two chapters present simulation results and SAS and R codes, respectively, to estimate the parameters and make selections using some of the LSIs described. It is essential reading for plant quantitative geneticists, but is also a valuable resource for animal breeders.
Life Skills Education for Youth : Critical Perspectives
This book critically reviews a diverse body of scholarship and practice that informs the conceptualization, curriculum, teaching and measurement of life skills in education settings around the world. It discusses life skills as they are implemented in schools and non-formal education, providing both qualitative and quantitative evidence of when, with whom, and how life skills do or do not impact young women’s and men’s lives in various contexts. Specifically, it examines the nature and importance of life skills, and how they are taught.
Life - As a Matter of Fat : The Emerging Science of Lipidomics
Lipids are as important for life as proteins, sugars, and genes. The present book gives a multi-disciplinary perspective on the physics of life and the particular role played by lipids and the lipid-bilayer component of cell membranes. The book is aimed at undergraduate students and young research workers within physics, chemistry, biochemistry, molecular biology, nutrition, as well as pharmaceutical and biomedical sciences. The emphasis is on the physical properties of lipid membranes seen as soft and molecularly structured interfaces. By combining and synthesizing insights obtained from a variety of recent studies, an attempt is made to clarify what membrane structure is and how it can be quantitatively described. Furthermore, it is shown how biological function mediated by membranes is controlled by lipid membrane structure and organization on length scales ranging from the size of the individual molecule, across molecular assemblies of proteins and lipid domains in the range of nanometers, to the size of whole cells. Applications of lipids in nano-technology and biomedicine are also described.
Le choix bayésien: Principes et pratique
Covers the so-called Bayesian approach to statistical inference and in particular its decision-making aspects. The bases of this axiomatics (choice of the a priori, optimal decisions, tests and regions of confidence) are discussed in detail, as well as more recent openings of Bayesian analysis such as the choice of models, the use of numerical methods. Stochastic approximation (MCMC), the theory of noninformative laws (Berger-Bernardo axioms) and the relation to the classical theory of admissibility. Each chapter is completed by an extensive series of exercises of increasing difficulty and by bibliographical notes on the themes addressed. This book can be used in a Master's program in Applied Mathematics, Biometrics, Econometrics or any other program that uses quantitative information processing techniques. It only requires a basic course in probability theory and mathematical statistics as a preliminary.
Latinas/os in the United States : Changing the Face of América
This book also addresses important theoretical and methodological issues related to the study of Latinas/os and presents in-depth analyses (both quantitative and qualitative) of substantive issues relevant to this population, including migration, demographic patterns and processes, education, health, citizenship, political participation, religion, gender and sex roles, literary and cultural production, and the media. The authors seek to educate and increase awareness of the diversity that exists among the Latina/o population, and to carefully examine the social, economic, demographic, cultural, and political impacts and contributions that this growing population has had in the United States. The edited volume presents a holistic and multidisciplinary perspective of this group, and it critically documents how Latinas and Latinos have changed and will continue to change the face of América.
Language, Expressivity and Cognition
The book presents how language shapes communicative and cognitive processes but at the same time is also shaped by those processes. The chapters put forward a number of disciplinary and methodological perspectives encompassing insights from cognitive and social psychology, (critical) discourse analysis, cognitive linguistics, corpus linguistics and sociolinguistics. Both intralingual as well as contrastive, each chapter also engages with qualitative and quantitative methods.
Complex and Adaptive Dynamical Systems : A Primer
We are living in an ever more complex world, an epoch where human actions can accordingly acquire far-reaching potentialities. Complex and adaptive dynamical systems are ubiquitous in the world surrounding us and require us to adapt to new realities and the way of dealing with them. This primer has been developed with the aim of conveying a wide range of "commons-sense" knowledge in the field of quantitative complex system science at an introductory level, providing an entry point to this both fascinating and vitally important subject.
Carotenoids ; Vol.4 : Natural Functions
The Carotenoids book series provides detailed accounts of the fundamental chemistry of carotenoids and the basic methods used in carotenoid research, and critical discussions of the biochemistry, functions and applications of these important compounds. Volume 4 and its companion, Volume 5, deal with the functions of carotenoids in all kinds of living organisms and the actions of carotenoids in human nutrition and health. The material presented in the earlier Volumes is all relevant to studies of biological functions and actions. In particular, biological studies must be supported by a rigorous analytical base. The various analytical procedures described in Volumes 1A and 1B, supplemented by the data for individual compounds given in the Carotenoids Handbook, must be understood and applied correctly, whether they are being used for quantitative analysis, identification or in complex studies of carotenoids in situ.
Calcolo stocastico per la finanza = Stochastic Calculation for Finance
Offers an introduction to the mathematical, probabilistic and numerical methods that are the basis of the models for the valuation of derivative instruments, such as options and futures, dealt with in modern financial markets. The book is aimed at readers with scientific training, wishing to develop skills in the field of stochastic calculus applied to finance.
Browning Agents and Active Particles : Collective Dynamics in the Natural and Social Sciences
Lays out a vision for a coherent framework for understanding complex systems'' (from the foreword by J. Doyne Farmer). By developing the genuine idea of Brownian agents, the author combines concepts from informatics, such as multiagent systems, with approaches of statistical many-particle physics. This way, an efficient method for computer simulations of complex systems is developed which is also accessible to analytical investigations and quantitative predictions. The book demonstrates that Brownian agent models can be successfully applied in many different contexts, ranging from physicochemical pattern formation, to active motion and swarming in biological systems, to self-assembling of networks, evolutionary optimization, urban growth, economic agglomeration and even social systems.
Bioelectricity : A Quantitative Approach
"The authors’ goal in producing this book was to provide an introductory text to electrophysiology, based on a quantitative approach. In attempting to achieve this goal, therefore, the authors have opened the book with a useful, and digestible, introduction to various aspects of the mathematics relevant to this field, including vectors, introduction to Laplace, Gauss’s theorem, and Green’s theorem. This book will be useful for students in medical physics and biomedical engineering wishing to enter the field of electrophysiological investigation. It will also be helpful for biologists and physiologists who wish to understand the mathematical treatment of the processes and signals at the center of the interesting interdisciplinary field.
