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Error Calculus for Finance and Physics: The Language of Dirichlet Forms (De Gruyter Expositions in Mathematics, 37) - Hardcover
The book deals with propagation of errors on data through mathematical models with applications in finance and physics. It is interesting for scientists and practitioners when studying the sensitivity of their models to small changes in the hypotheses. The book differs from what is usually done in sensitivity analysis because it yields powerful new tools allowing to manage errors in stochastic models as those used in modern finance.
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Nicolas Bouleau is Scientific Director at the École Nationale des Ponts, Champs-sur-Marne, France.
"[...] interesting book [...]"
Alexander Schied in: Zentralblatt MATH 12/2007
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- PublisherDe Gruyter
- Publication date2003
- ISBN 10 3110180367
- ISBN 13 9783110180367
- BindingHardcover
- Number of pages244
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Error Calculus for Finance and Physics (de Gruyter Expositions in Mathematics) by Bouleau, Nicolas [Hardcover ]
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Error Calculus for Finance and Physics The Language of Dirichlet Forms De Gruyter Expositions in Mathematics 37
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ISBN 13: 9783110180367
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Error Calculus for Finance and Physics
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Error Calculus for Finance and Physics
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Book Description Gebunden. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. [.] interesting book [.] Alexander Schied in: Zentralblatt MATH 12/2007. Seller Inventory # 4453924
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Error Calculus for Finance and Physics
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Book Description Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Many recent advances in modelling within the applied sciences and engineering have focused on the increasing importance of sensitivity analyses. For a given physical, financial or environmental model, increased emphasis is now placed on assessing the consequences of changes in model outputs that result from small changes or errors in both the hypotheses and parameters. The approach proposed in this book is entirely new and features two main characteristics. Even when extremely small, errors possess biases and variances. The methods presented here are able, thanks to a specific differential calculus, to provide information about the correlation between errors in different parameters of the model, as well as information about the biases introduced by non-linearity. The approach makes use of very powerful mathematical tools (Dirichlet forms), which allow one to deal with errors in infinite dimensional spaces, such as spaces of functions or stochastic processes. The method is therefore applicable to non-elementary models along the lines of those encountered in modern physics and finance. This text has been drawn from presentations of research done over the past ten years and that is still ongoing. The work was presented in conjunction with a course taught jointly at the Universities of Paris 1 and Paris 6. The book is intended for students, researchers and engineers with good knowledge in probability theory. 244 pp. Englisch. Seller Inventory # 9783110180367
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Book Description Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - Many recent advances in modelling within the applied sciences and engineering have focused on the increasing importance of sensitivity analyses. For a given physical, financial or environmental model, increased emphasis is now placed on assessing the consequences of changes in model outputs that result from small changes or errors in both the hypotheses and parameters. The approach proposed in this book is entirely new and features two main characteristics. Even when extremely small, errors possess biases and variances. The methods presented here are able, thanks to a specific differential calculus, to provide information about the correlation between errors in different parameters of the model, as well as information about the biases introduced by non-linearity. The approach makes use of very powerful mathematical tools (Dirichlet forms), which allow one to deal with errors in infinite dimensional spaces, such as spaces of functions or stochastic processes. The method is therefore applicable to non-elementary models along the lines of those encountered in modern physics and finance. This text has been drawn from presentations of research done over the past ten years and that is still ongoing. The work was presented in conjunction with a course taught jointly at the Universities of Paris 1 and Paris 6. The book is intended for students, researchers and engineers with good knowledge in probability theory. Seller Inventory # 9783110180367
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Error Calculus for Finance and Physics The Language of Dirichlet Forms De Gruyter Expositions in Mathematics 37
Published by
De Gruyter
(2003)
ISBN 10: 3110180367
ISBN 13: 9783110180367
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Hardcover
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Book Description HRD. Condition: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # L1-9783110180367
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