Eric Protter's Books

Painters on Painting

By: Eric Protter

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Famous artists discuss their aims, methods, techniques, other artists, and much more in unique compilation spanning 7 centuries of Western art. Michelangelo's account of painting the Sistine Chapel, Picasso's motivation for creating "Guernica," many other insights from da Vinci, Chagall, Rubens, Rembrandt, Hogarth, Manet, Degas, Cézanne, van Gogh, Matisse, and Pollock. 68 illustrations.

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Page Count

322

Publisher

Courier Corporation

Published Date

ISBN 10

0486299414

ISBN 13

9780486299419

Inference in Hidden Markov Models

By: Olivier Cappé,Eric Moulines,Tobias Ryden

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Inference in Hidden Markov Models

By: Olivier Cappé,Eric Moulines,Tobias Ryden

This book is a comprehensive treatment of inference for hidden Markov models, including both algorithms and statistical theory. Topics range from filtering and smoothing of the hidden Markov chain to parameter estimation, Bayesian methods and estimation of the number of states. In a unified way the book covers both models with finite state spaces and models with continuous state spaces (also called state-space models) requiring approximate simulation-based algorithms that are also described in detail. Many examples illustrate the algorithms and theory. This book builds on recent developments to present a self-contained view.

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Page Count

656

Publisher

Springer Science & Business Media

Published Date

ISBN 10

0387289828

ISBN 13

9780387289823

Financial Modeling Under Non-Gaussian Distributions

By: Eric Jondeau,Ser-Huang Poon,Michael Rockinger

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Financial Modeling Under Non-Gaussian Distributions

By: Eric Jondeau,Ser-Huang Poon,Michael Rockinger

This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

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Page Count

541

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1846286964

ISBN 13

9781846286964

Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations

By: Nawaf Bou-Rabee,Eric Vanden-Eijnden

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Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations

By: Nawaf Bou-Rabee,Eric Vanden-Eijnden

This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov equation associated with the SDE in such a way that the resulting semi-discrete equation generates a Markov jump process that can be realized exactly using a Monte Carlo method. In this construction the jump size of the approximation can be bounded uniformly in space, which often guarantees that the schemes are numerically stable for both finite and long time simulation of SDEs.

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Page Count

136

Publisher

American Mathematical Soc.

Published Date

ISBN 10

1470431815

ISBN 13

9781470431815

Book's by Eric Protter

Painters on Painting

Painters on Painting

Inference in Hidden Markov Models

Inference in Hidden Markov Models

Financial Modeling Under Non-Gaussian Distributions

Financial Modeling Under Non-Gaussian Distributions

Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations

Continuous-Time Random Walks for the Numerical Solution of Stochastic Differential Equations

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