This Festschrift is dedicated to Robert J Elliott on the occasion of his 70th birthday It brings together a collection of chapters by distinguished and eminent scholars in the fields of stochastic processes, filtering and control, as well as their applications to mathematical finance It presents cutting edge developments in these fields and is a valuable source of references for researchers, graduate students and market practitioners in mathematical finance and financial engineering Topics include the theory of stochastic processes, differential and stochastic games, mathematical finance, filtering and control.
This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.
This book deals with many topics in modern financial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. The book is aimed at undergraduate students, MBA students, and executives who wish to understand and apply financial models in the spreadsheet computing environment. The basic building block is the one-step binomial model where a known price today can take one of two possible values at the next time. In this simple situation, risk neutral pricing can be defined and the model can be applied to price forward contracts, exchange rate contracts, and interest rate derivatives. The simple one-period framework can then be extended to multi-period models. The authors show how binomial tree models can be constructed for several applications to bring about valuations consistent with market prices. The book closes with a novel discussion of real options. John van der Hoek is Senior Lecturer in Applied Mathematics at the University of Adelaide. He has developed courses in finance for a number of years at various levels and is a regular plenary speaker at major conferences on Quantitative Finance. Robert J. Elliott is RBC Financial Group Professor of Finance at the Haskayne School of Business at the University of Calgary. He is the author of over 300 research papers and several books, including Mathematics of Financial Markets, Second Edition (with P. Ekkehard Kopp), Stochastic Calculus and Applications, Hidden Markov Models (with Lahkdar Aggoun and John Moore) and Measure Theory and Filtering: Theory and Applications (with Lakhdar Aggoun). He is an Associate Editor of Mathematical Finance, Stochastics and Stochastics Reports, Stochastic Analysis and Applications, and the Canadian Applied Mathematics Quarterly.
As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics. In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the Kalman filter are derived as special cases of the authors’ general results and new expressions for a Kalman smoother are given. The Chapters on the control of Hidden Markov Chains are expanded and clarified. The revised Chapter 4 includes state estimation for discrete time Markov processes and Chapter 12 has a new section on robust control.
This book explores the mathematics that underpins pricing models for derivative securities such as options, futures and swaps in modern markets. Models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory.
This Festschrift is dedicated to Robert J Elliott on the occasion of his 70th birthday It brings together a collection of chapters by distinguished and eminent scholars in the fields of stochastic processes, filtering and control, as well as their applications to mathematical finance It presents cutting edge developments in these fields and is a valuable source of references for researchers, graduate students and market practitioners in mathematical finance and financial engineering Topics include the theory of stochastic processes, differential and stochastic games, mathematical finance, filtering and control.
Nominated as an outstanding thesis by the Department of Physics and Astronomy of the University of New Mexico, this thesis seeks to identify the gamma-ray burst (GRB) progenitor. GRBs are extragalactic explosions that briefly outshine entire galaxies, but the mechanism that can release that much energy over a 100 second burst is still a mystery. The leading candidate for the GRB progenitor is currently a massive star which collapses to form a black hole–accretion disk system that powers the GRB. GRB afterglows, however, do not always show the expected behavior of a relativistic blast wave interacting with the stellar wind that such a progenitor should have produced before its collapse./pppIn this book, the author uses the Zeus-MP astrophysical hydrodynamics code to model the environment around a stellar progenitor prior to the burst. He then develops a new semi-analytic MHD and emission model to produce light curves for GRBs encountering these realistic density profiles. The work ultimately shows that the circumburst medium surrounding a GRB at the time of the explosion is much more complex than a pure wind, and that observed afterglows are entirely consistent with a large subset of proposed stellar progenitors.
Markov chains and hidden Markov chains have applications in many areas of engineering and genomics. This book provides a basic introduction to the subject by first developing the theory of Markov processes in an elementary discrete time, finite state framework suitable for senior undergraduates and graduates. The authors then introduce semi-Markov chains and hidden semi-Markov chains, before developing related estimation and filtering results. Genomics applications are modelled by discrete observations of these hidden semi-Markov chains. This book contains new results and previously unpublished material not available elsewhere. The approach is rigorous and focused on applications.
Markov chains and hidden Markov chains have applications in many areas of engineering and genomics. This book provides a basic introduction to the subject by first developing the theory of Markov processes in an elementary discrete time, finite state framework suitable for senior undergraduates and graduates. The authors then introduce semi-Markov chains and hidden semi-Markov chains, before developing related estimation and filtering results. Genomics applications are modelled by discrete observations of these hidden semi-Markov chains. This book contains new results and previously unpublished material not available elsewhere. The approach is rigorous and focused on applications
This is the first book for the new Series Contemporary Issues in Physical Therapy and Rehabilitation Medicine. This textbook will assess both clinical and research aspects of the diagnosis and management of two highly prevalent headache disorders: tension-type and cervicogenic headaches. This textbook will cover both physical therapy and physical medicine approaches to the management of these headache disorders.
Detailed, self-contained treatment examines modern abstract methods in partial differential equations, especially abstract evolution equations. Suitable for graduate students with some previous exposure to classical partial differential equations. 1969 edition.
This twenty-two volume set presents the appearance and behavior of thousands of species of animals along with species population and prospects for survival in a arranged alphabetically and easy-to-read format.
A tool for students, educators, and clinicians, Foundations of Orthopedic Physical Therapy contains the latest literature in orthopedic physical therapy and guides readers through all elements of orthopedic assessment and treatment. Drs. Harvey Wallmann and Robert Donatelli offer a contemporary, evidence-based approach, working to address the topics that influence clinical decisions when developing rehabilitation and exercise programs. The text is consistent with the concepts and terminology presented in the APTA Guide to Physical Therapist Practice 3.0 and reviews the clinical practice guidelines for different conditions and body regions with an explanation of different levels of evidence. Foundations of Orthopedic Physical Therapy emphasizes a comprehensive method to assessment that produces treatment guidelines instead of rigid protocols and incorporates basic principles of evaluation, examination, and clinical reasoning. Each chapter contains author comments focusing on their perception of an effective patient intervention, evidence-based support for their decisions, and illustrative client case studies featuring unique and diverse patients who require specific interventions related to their orthopedic issues. Five main areas are addressed: • Foundations of orthopedic rehabilitation • Upper extremity • Lower extremity • Spinal column • Special topics in orthopedic rehabilitation Foundations of Orthopedic Physical Therapy is the perfect guide for students intending to work with the orthopedic population in the treatment and intervention of injuries, pathologies, and disorders, or practicing physical therapists who want to expand their knowledge.
BIOLOGY: HOW LIFE WORKS has been a revolutionary force for both instructors and students in the majors biology course. It was the first truly comprehensive set of integrated tools for introductory biology, seamlessly incorporating powerful text, media, and assessment to create the best pedagogical experience for students. THE VISUAL PROGRAM The already impressive visual program has been greatly improved and expanded. The powerful Visual Synthesis tools have been reimagined, allowing for more flexibility for both students and instructors. A new Tour Mode allows for learning objective-driven tours of the material and deep linking from the eText allow the student to jump straight from the text into a rich visual representation of the content. Instructors can also create customized tours to use for engaging in-class presentations. And finally, new animations have been added to the library, including a new 3D animation to support the animal physiology content. A FOCUS ON SCIENTIFIC SKILLS The third edition does even more to teach students the skills they need to think like a scientist, along with the content they need to move beyond the introductory course. New Skills Primers are self-paced tutorials that guide students to learn, practice, and use skills like data visualization, experimental design, working with numbers, and more. New How Do We Know? activities accompany the feature in the text and teach students to understand scientific inquiry. THE HUB The best teaching resources in the world aren’t of use if instructors can’t find them. The HUB provides a one-stop destination for valuable teaching and learning resources, including all of our well-vetted in-class activities. IMPROVED ORGANIZATION OF TOPICS We implemented several organizational changes based on extensive user feedback with the goal of creating an improved narrative for students and a more flexible teaching framework for instructors. A new chapter on Animal Form, Function, and Evolutionary History leads off the animal anatomy and physiology chapters to provide a whole-body view of structure and function and to provide better context for the more specific systems in following chapters. The ecology coverage has been enriched and reorganized for a more seamless flow. A new chapter on Ecosystem Ecology combines ecosystem concepts formerly housed in separate chapters to present a more cohesive view of the flow of matter and energy in ecosystems. All of these changes and improvements represent the next step in the life of Biology: How Life Works. We think we have created the best learning resource for introductory biology students, and we think instructors will find joy in the improvements they can make in their classes with these materials.
The Logan Guards and Chatham Grays were in the 53rd Virginia Infantry, one of the five regiments under Brigadier General Lewis Armistead at Pickett's Charge at Gettysburg on July 3, 1863. This book gives the storyline of the 53rd Virginia, including order of battles, prison camps endured, and casualties per battle. The book centers on finding the genealogy of the men of Pittsylvania County. Prior works by the author are two books which extensively covered the genealogy of Pittsylvania County soldiers: ""38th Virginia Infantry: Finding the Men in the 1860 Census"" and ""57th Virginia Infantry: Finding the Men in the 1860 Census"".
Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to work with stochastic calculus as well as with its applications."–Zentralblatt (from review of the First Edition)
As patients live longer and need to be treated over the long term and the management of pediatric cardiology problems and congenital heart disease moves more into the mainstream, turn to Pediatric Cardiology for current clinical guidance. Trust Dr. Robert Anderson, godfather of cardiac morphology, to bring you coverage of potential cardiovascular anomalies, all potential diseases related to anomalies or developmental problems, and methods for management and treatment. New contributors from all over the world-including 70% new to this edition-present the latest challenges in the field and emphasize the adolescent and post-operative outcomes for management. Now, in full color, this leading reference offers you everything you need to treat and manage pediatric heart conditions. A comprehensive and exhaustive reference of fundamental and clinical aspects of heart disease in infancy and childhood. The contributors are well-known experts in the field and the editors are a world class group who have published extensively in the field. Emphasizes the treatment of corrected congenital heart disease for coverage of the clinical management of cardiac problems in the adolescent and young adult. Integrates development in chapters on lesions to make physiology clinically relevant for the specific cardiac lesions. Provides the latest clinical perspectives on neonate cardiac development management issues so you can offer the best long-term care. Presents the contributions of 70% new authors, from all over the world, in a consistent format to make referencing global perspectives quick and easy. Captures the nuances of the anatomical structure of lesions through full-color illustrations depicting morphologic, congenital, and surgically corrected examples for exceptional visual guidance.
Since the publication of the first edition in 1977, Blaustein's Pathology of the Female Genital Tract has consolidated its position as the leading textbook of gynecological pathology. An essential reference for all pathologists and residents, this thoroughly updated fifth edition includes more than 350 new illustrations and 28 revised chapters. Discussion of each specific entity is organized to include general information, etiology, and epidemiology, followed by clinical features, pathologic findings, differential diagnosis, clinical behavior, and treatment. This clear organization is applied throughout the book and allows the reader to quickly access expert information in every chapter.
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