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In various scientific and industrial fields, stochastic
simulations are taking on a new importance. This is due to the
increasing power of computers and practitioners aim to simulate
more and more complex systems, and thus use random parameters as
well as random noises to model the parametric uncertainties and the
lack of knowledge on the physics of these systems. The error
analysis of these computations is a highly complex mathematical
undertaking. Approaching these issues, the authors present
stochastic numerical methods and prove accurate convergence rate
estimates in terms of their numerical parameters (number of
simulations, time discretization steps). As a result, the book is a
self-contained and rigorous study of the numerical methods within a
theoretical framework. After briefly reviewing the basics, the
authors first introduce fundamental notions in stochastic calculus
and continuous-time martingale theory, then develop the analysis of
pure-jump Markov processes, Poisson processes, and stochastic
differential equations. In particular, they review the essential
properties of Ito integrals and prove fundamental results on the
probabilistic analysis of parabolic partial differential equations.
These results in turn provide the basis for developing stochastic
numerical methods, both from an algorithmic and theoretical point
of view.
This volume represents the refereed proceedings of the Sixth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scienti?c Computing which was held in conjunction with the Second International C- ference on Monte Carlo and Probabilistic Methods for Partial Di?erential Equations at Juan-les-Pins, France, from 7-10 June 2004. The programme of this conference was arranged by a committee consisting of Henri Faure (U- versit' edeMarseille),PaulGlasserman(ColumbiaUniversity),StefanHeinrich (Universit. at Kaiserslautern), Fred J. Hickernell (Hong Kong Baptist Univ- sity), Damien Lamberton (Universit' e de Marne la Vall' ee), Bernard Lapeyre (ENPC-CERMICS), Pierre L'Ecuyer (Universit'edeMontr' eal), Pierre-Louis Lions (Coll' ege de France), Harald Niederreiter (National University of S- gapore, co-chair), Erich Novak (Universit. at Jena), Art B. Owen (Stanford University), Gilles Pag' es (Universit' e Paris 6), Philip Protter (Cornell U- versity), Ian H. Sloan (University of New South Wales), Denis Talay (INRIA Sophia Antipolis, co-chair), Simon Tavar' e (University of Southern California) and Henryk Wo' zniakowski (Columbia University and University of Warsaw). The organization of the conference was arranged by a committee consisting of Mireille Bossy and Etienne Tanr' e (INRIA Sophia Antipolis), and Madalina Deaconu(INRIALorraine). LocalarrangementswereinthehandsofMonique Simonetti and Marie-Line Ramfos (INRIA Sophia Antipolis).
The lecture courses of the CIME Summer School on Probabilistic Models for Nonlinear PDE's and their Numerical Applications (April 1995) had a three-fold emphasis: first, on the weak convergence of stochastic integrals; second, on the probabilistic interpretation and the particle approximation of equations coming from Physics (conservation laws, Boltzmann-like and Navier-Stokes equations); third, on the modelling of networks by interacting particle systems. This book, collecting the notes of these courses, will be useful to probabilists working on stochastic particle methods and on the approximation of SPDEs, in particular, to PhD students and young researchers.
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives. The authors offer a unifying framework in which most continuous-time term structure models can be viewed and compared in terms of their similarities, their idiosyncratic features, and their main contributions and limitations. Modeling the Term Structure of Interest Rates is organized as follows: Section 1 presents the main objectives and basic definitions and notation; Section 2 proposes an interest rate models' taxonomy; and Section 3 introduces the mathematical framework used throughout the survey. Section 4 presents the main economic theories of the term structure of interest rates. Section 5 provides a unifying framework to present the family of short-term rate-based term structure models, which encompasses some of the most popular one and multi-factor short-term rate models developed at earlier stages of the term structure modeling literature. Section 6 reviews the second family of forward rate-based models grouped under the name the Heath, Jarrow and Morton (1992) family of term structure models. Section 7 presents the recently developed Libor or market models while preserving the same unifying mathematical framework. Section 8 surveys the empirical evidence on interest rate models' estimation and calibration issues and list selected empirical references which are useful for practitioners interested in the validity and performance of these models. Section 9 introduces a novel approach to characterize and quantify the degree of model misspecification associated with interest rate models. Section 10 discusses some of the challenges posed by running simulations of continuous-time term structure models. Section 11 concludes the survey. Finally, some useful mathematical results can be found in the Appendices.
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