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Mathematical Models of Financial Derivatives
Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned Black-Scholes-Merton formulation of option pricing model, readers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized.
Mathematical Models of Distribution Channels
In Chapters 1 and 2 the authors provide an introduction to the current, analytical literature on distribution channels, and they present an intuitively appealing prologue to the Channel Myths that are developed rigorously in later Chapters. In Chapters 3, 4, and 10 they extend the literature by ascertaining the relationship between the manufacturer-optimal wholesale-price strategy and channel breadth. Specific analyses include multiple, non-competing retailers, multiple states-of-nature, and multiple, competing retailers. In Chapters 5-7 the authors determine the profitability of various wholesale-price strategies; this analysis culminates in Chapters 8 and 9 with the determination of the (very limited) conditions under which channel coordination can be optimal for the manufacturer. In Chapter 11 they prove that existing methods of measuring the effect of a change in the degree of inter-retailer substitutability are totally misleading. They then develop an original, theoretical basis for measuring the impact of a change in the degree of inter-retailer substitutability that yields insightful, intuitively appealing results. In Chapter 12 the authors set forth an agenda for future research based on a meta-model that embraces all existing models in the literature. They also issue an appeal for creation of a "Unifying Theory of Distribution Channels" that will enable researchers to work independently and yet to contribute toward the common goal of deepening the marketing science professions’ understanding of distribution channels.
Inventory and Supply Chain Management with Forecast Updates
Inventory and Supply Chain Management with Forecast Updates is concerned with the problems of inventory and supply chain decision making with information updating over time. The models considered include inventory decisions with multiple sources and delivery modes, supply-contract design and evaluation, contracts with exercise price, volume-flexible contracts allowing for spot-market purchase decisions, and competitive supply chains. Real problems are formulated into tractable mathematical models, which allow for an analysis of various approaches, and provide insights for better supply chain management. The book provides a unified treatment of these models, presents a critique of the existing results, and points out potential research directions. Attention is focused on solutions – that is, inventory decisions prior and subsequent to information updates and the impact of the quality of information on these decisions.
Introduction to applied mathematics for environmental science
Introduction to Mathematics for Environmental Science evolved from the author’s 30 years’ experience teaching mathematics to graduate and advanced undergraduate students in the environmental sciences. Its basic purpose is to teach various types of mathematical structures and how they can be applied in a broad range of environmental science subfields. Derivatives and integrals, ordinary and partial differential equations, and linear and non-linear algebraic equations are the basic kinds of structures (types of mathematical models) discussed.
Intelligent Algorithms for Packing and Cutting Problem
Introduces intelligent solving algorithms for classical packing and cutting problem and their variants / Investigates novel methods, e.g. reinforcement learning algorithms, for rectangular and irregular packing problems / Presents practical engineering application cases in combination of theory and practice / investigates in detail the two-dimensional packing and cutting problems in the field of operations research and management science. It introduces the mathematical models and intelligent solving algorithms for these problems, as well as their engineering applications. Most intelligent methods reported in this book have already been applied in reality, which can provide reference for the engineers. The presented novel methods for the two-dimensional packing problem provide a new way to solve the problem for researchers interested in operations research or computer science. This book also introduces three new variants of packing problems and their solving methods, which offer a different research direction.
Integral Methods in Science and Engineering : Theoretical and Practical Aspects
The quantitative and qualitative study of the physical world makes use of many mathematical models governed by a great diversity of ordinary, partial differential, integral, and integro-differential equations. An essential step in such investigations is the solution of these types of equations, which sometimes can be performed analytically, while at other times only numerically. This edited, self-contained volume presents a series of state-of-the-art analytic and numerical methods of solution constructed for important problems arising in science and engineering, all based on the powerful operation of (exact or approximate) integration.It covers a wide variety of topics, from the theoretical development of boundary integral methods to the application of integration-based analytic and numerical techniques that include integral equations, finite and boundary elements, conservation laws, hybrid approaches, and other procedures.
Integral Methods in Science and Engineering : Techniques and Applications
The physical world is studied by means of mathematical models, which consist of differential, integral, and integro-differential equations accompanied by a large assortment of initial and boundary conditions. In certain circumstances, such models yield exact analytic solutions. When they do not, they are solved numerically by means of various approximation schemes. Whether analytic or numerical, these solutions share a common feature: they are constructed by means of the powerful tool of integration—the focus of this self-contained book. This work illustrates the application of integral methods to diverse problems in mathematics, physics, biology, and engineering. The thirty two chapters of the book, written by scientists with established credentials in their fields, contain state-of-the-art information on current research in a variety of important practical disciplines.
Instability in Models Connected with Fluid Flows II
Instability in Models Connected with Fluid Flows II presents chapters from world renowned specialists. The stability of mathematical models simulating physical processes is discussed in topics on control theory, first order linear and nonlinear equations, water waves, free boundary problems, large time asymptotics of solutions, stochastic equations, Euler equations, Navier-Stokes equations, and other PDEs of fluid mechanics. Fields covered include: the free surface Euler (or water-wave) equations, the Cauchy problem for transport equations, irreducible Chapman--Enskog projections and Navier-Stokes approximations, randomly forced PDEs, stability of equilibrium figures of uniformly rotating viscous incompressible liquid, Navier-Stokes equations in cylindrical domains, Navier-Stokes-Poisson flows in a vacuum.
Instability in Models Connected with Fluid Flows I
Instability in Models Connected with Fluid Flows I presents chapters from world renowned specialists. The stability of mathematical models simulating physical processes is discussed in topics on control theory, first order linear and nonlinear equations, water waves, free boundary problems, large time asymptotics of solutions, stochastic equations, Euler equations, Navier-Stokes equations, and other PDEs of fluid mechanics. Fields covered include: controllability and accessibility properties of the Navier- Stokes and Euler systems, nonlinear dynamics of particle-like wavepackets, attractors of nonautonomous Navier-Stokes systems, large amplitude monophase nonlinear geometric optics, existence results for 3D Navier-Stokes equations and smoothness results for 2D Boussinesq equations, instability of incompressible Euler equations, increased stability in the Cauchy problem for elliptic equations.
Innovations in Quantitative Risk Management ; TU München, September 2013
The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.
Innovations in Derivatives Markets : Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation
This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations.
Individual differences in sensory and consumer science : Experimentation, analysis and interpretation
Individual differences in sensory and consumer science: Experimentation, Analysis and Interpretation presents easily readable, State-of-the-art coverage on how to plan and execute experiments that give rise to individual differences, Also providing the framework for successful analysis and interpretation of results. The book highlights the different methodologies that can be applied and how to select the correct methodology based on the type of study you are performing, Be it product research and development, Quality control or consumer acceptance studies.Written by an experienced team of statisticians and sensory and consumer scientists, The book provides both academics and industry professionals with the first complete overview of a topic of ever-increasing importance.
Improving concrete and mortar using modified ash and slag cements
Presents the results of a study of high-tech concrete on composite Portland cement and slag Portland cement. The possibilities of significantly improving the properties of cements and concrete with the introduction of superplasticizers and hardening activators are shown. Experimental dependences that make it possible to predict the properties of concrete and mortars and to design mixtures with given properties are given.
Hydropower Economics
HYDROPOWER ECONOMICS examines sustainable alternate energy sources beginning with modeling hydropower and extending the model to include thermal power and wind power. The book will use various econometric measures, equilibrium metrics, OR methods, and DEA/productivity analyses to analyze and model the optimal use of these alternate energy sources. Because these problems are dynamic in nature, dynamic methods are used to model the problems. The book derives results on the allocation of the amounts of alternate sources of energy (water, thermal, and wind) required to produce electricity at acceptable levels over time. Graphic illustrations of the analytical and mathematical modeling used to reach research conclusions are used throughout the book.
Hydrodynamics of Explosion : Experiments and Models
Hydronamics of Explosion presents the research results for the problems of underwater explosions and contains a detailed analysis of the structure and the parameters of the wave fields generated by explosions of cord and spiral charges, a description of the formation mechanisms for a wide range of cumulative flows at underwater explosions near the free surface, and the relevant mathematical models. Shock-wave transformation in bubbly liquids, shock-wave amplification due to collision and focusing, and the formation of bubble detonation waves in reactive bubbly liquids are studied in detail. Particular emphasis is placed on the investigation of wave processes in cavitating liquids, which incorporates the concepts of the strength of real liquids containing natural microinhomogeneities, the relaxation of tensile stress, and the cavitation fracture of a liquid as the inversion of its two-phase state under impulsive (explosive) loading. The problems are classed among essentially nonlinear processes that occur under shock loading of liquids and may be of interest to researchers in physical acoustics, mechanics of multiphase media, shock-wave processes in condensed media, explosive hydroacoustics, and cumulation.
Hemodynamical Flows : Modeling, Analysis and Simulation
This book surveys research results on the physical and mathematical modeling, as well as the numerical simulation of complex fluid and structural mechanical processes occurring in the human blood circulation system. Topics treated include continuum mechanical description; choice of suitable liquid and wall models; mathematical analysis of coupled models; numerical methods for flow simulation; parameter identification and model calibration; fluid-solid interaction; mathematical analysis of piping systems; particle transport in channels and pipes; artificial boundary conditions, and many more.
Heat Convection
This text draws on Professor Jiji’s broad teaching experience to provide students with a solid foundation in convection heat transfer. It emphasizes fundamentals, physical phenomena, and mathematical modeling of convection. It also includes a comprehensive introduction to the important topic of convection in micro-channels. Jiji's extensive understanding of how students think and learn, what they find difficult, and which elements need to be stressed is integrated in this work. He employs an organization and methodology derived from his experience and presents the material in an easy to follow form, using graphical illustrations and examples for maximum effect.
Heat Conduction : Mathematical Models and Analytical Solutions
Many phenomena in social, natural and engineering fields are governed by wave, potential, parabolic heat-conduction, hyperbolic heat-conduction and dual-phase-lagging heat-conduction equations. The focus of the present monograph is on these equations: their solution structures, methods of finding their solutions under various supplementary conditions, as well as the physical implication and applications of their solutions.
Handbook on Modelling for Discrete Optimization
This handbook couples the difficult, critical-thinking aspects of mathematical modeling with the hot area of discrete optimization. It will be done in an academic handbook treatment outlining the state-of-the-art for researchers across the domains of the Computer Science, Math Programming, Applied Mathematics, Engineering, and Operations Research. Included in the handbook's treatment are results from Graph Theory, Logic, Computer Science, and Combinatorics.
Handbook of Mathematical Models in Computer Vision
In this edited volume we present the most prominent mathematical models that are considered in computational vision. To this end, tasks of increasing complexity are considered and we present the state-of-the-art methods to cope with such tasks. The volume consists of six thematic areas that provide answers to the most dominant questions of computational vision: Image reconstruction, Segmentation and object extraction, Shape modeling and registration, Motion analysis and tracking, 3D from images, geometry and reconstruction Applications in medical image analysis
