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Das Buch bietet, begleitet von umfangreicher Analyse-Software, eine
sehr gut verständliche Einführung in die Grundkonzepte der
Finanzmathematik und des Financial Engineerings. Einen wesentlichen
Bestandteil des Buchs bilden viele Fallbeispiele aus dem Bereich
"Quantitative Finance" aus meiner konkreten Tätigkeit als
Fonds-Manager, Gutachter und Berater im Bereich "Quantitative
Finance". Das Buch soll Praktikern auf intuitiv sehr gut
nachvollziehbare Weise die Grundtechniken der modernen
Finanzmathematik nahebringen und es soll Finanzmathematikern die
realen Anforderungen in der konkreten Anwendung
finanzmathematischer Techniken in der Realität vermitteln. Für
alle Leserschichten soll das Buch - trotz Vermittlung vieler Fakten
- spannend und sehr gut lesbar sein und über die Vermittlung der
Grundkompetenzen hinaus immer wieder neue Einsichten und
überraschende Erkenntnisse bieten. Das Buch ist mit mathematischem
Wissen auf Abitur-Niveau lesbar (Abschnitte für die tieferes
mathematisches Wissen nötig ist, werden explizit gekennzeichnet).
This book is summarizing the results of the workshop "Uniform
Distribution and Quasi-Monte Carlo Methods" of the RICAM Special
Semester on "Applications of Algebra and Number Theory" in October
2013. The survey articles in this book focus on number theoretic
point constructions, uniform distribution theory, and quasi-Monte
Carlo methods. As deterministic versions of the Monte Carlo method,
quasi-Monte Carlo rules enjoy increasing popularity, with many
fruitful applications in mathematical practice, as for example in
finance, computer graphics, and biology. The goal of this book is
to give an overview of recent developments in uniform distribution
theory, quasi-Monte Carlo methods, and their applications,
presented by leading experts in these vivid fields of research.
This volume is a collection of survey papers on recent developments
in the fields of quasi-Monte Carlo methods and uniform random
number generation. We will cover a broad spectrum of questions,
from advanced metric number theory to pricing financial
derivatives. The Monte Carlo method is one of the most important
tools of system modeling. Deterministic algorithms, so-called
uniform random number gen erators, are used to produce the input
for the model systems on computers. Such generators are assessed by
theoretical ("a priori") and by empirical tests. In the a priori
analysis, we study figures of merit that measure the uniformity of
certain high-dimensional "random" point sets. The degree of
uniformity is strongly related to the degree of correlations within
the random numbers. The quasi-Monte Carlo approach aims at
improving the rate of conver gence in the Monte Carlo method by
number-theoretic techniques. It yields deterministic bounds for the
approximation error. The main mathematical tool here are so-called
low-discrepancy sequences. These "quasi-random" points are produced
by deterministic algorithms and should be as "super" uniformly
distributed as possible. Hence, both in uniform random number
generation and in quasi-Monte Carlo methods, we study the
uniformity of deterministically generated point sets in high
dimensions. By a (common) abuse oflanguage, one speaks of random
and quasi-random point sets. The central questions treated in this
book are (i) how to generate, (ii) how to analyze, and (iii) how to
apply such high-dimensional point sets."
Monte Carlo methods are numerical methods based on random sampling
and quasi-Monte Carlo methods are their deterministic versions.
This volume contains the refereed proceedings of the Second
International Conference on Monte Carlo and Quasi-Monte Carlo
Methods in Scientific Computing which was held at the University of
Salzburg (Austria) from July 9--12, 1996. The conference was a
forum for recent progress in the theory and the applications of
these methods. The topics covered in this volume range from
theoretical issues in Monte Carlo and simulation methods,
low-discrepancy point sets and sequences, lattice rules, and
pseudorandom number generation to applications such as numerical
integration, numerical linear algebra, integral equations, binary
search, global optimization, computational physics, mathematical
finance, and computer graphics. These proceedings will be of
interest to graduate students and researchers in Monte Carlo and
quasi-Monte Carlo methods, to numerical analysts, and to
practitioners of simulation methods.
This textbook provides the necessary techniques from financial
mathematics and stochastic analysis for the valuation of more
complex financial products and strategies. The author discusses how
to make use of mathematical methods to analyse volatilities in
capital markets. Furthermore, he illustrates how to apply and
extend the Black-Scholes theory to several fields in finance. In
the final section of the book, the author introduces the readers to
the fundamentals of stochastic analysis and presents examples of
applications. This book builds on the previous volume of the
author’s trilogy on quantitative finance. The aim of the second
volume is to present and discuss more complex and advanced
techniques of modern financial mathematics in a way that is
intuitive and easy to follow. As in the previous volume, the author
provides financial mathematicians with insights into practical
requirements when applying financial mathematical techniques in the
real world. Â
This textbook offers an easily understandable introduction to the
fundamental concepts of financial mathematics and financial
engineering. The author presents and discusses the basic concepts
of financial engineering and illustrates how to trade and to
analyze financial products with numerous examples. Special
attention is given to the valuation of basic financial derivatives.
In the final section of the book, the author introduces the Wiener
Stock Price Model and the basic principles of Black-Scholes theory.
The book’s aim is to introduce readers to the basic techniques of
modern financial mathematics in a way that is intuitive and easy to
follow, and to provide financial mathematicians with insights into
practical requirements when applying financial mathematical
techniques in the real world.Â
The textbook discusses risk management in capital markets and
presents various techniques of portfolio optimization. Special
attention is given to risk measurement and credit risk management.
Furthermore, the author discusses optimal investment problems and
presents various examples. In the last section, the book includes
numerous case studies based on the author's own work as a fund
manager, court-appointed expert and consultant in the field of
quantitative finance. This book is the third volume of the
quantitative finance trilogy by the author and builds on the
theoretical groundwork introduced in the previous books. The volume
presents real-life examples of the successful application of the
introduced techniques and methods in financial services and capital
markets.
Dieses Buch fuhrt auf allgemein verstandliche und spannende, aber
auch (im besten Sinn) "belehrende" Weise in die Welt der
Finanzderivate ein. In kompakter und anschaulicher Form prasentiert
es ihren Handel, ihre Funktion, ihre Moeglichkeiten sowie die Rolle
der Finanzmathematik und Spieltheorie in diesem Zusammenhang.
Gerhard Larcher orientiert sich dabei an folgenden Fragestellungen:
Wie gelangten Wirtschaftswissenschaftler wie Fisher Black, Myron
Scholes und Robert Merton ausgehend von einfachen
spieltheoretischen UEberlegungen (zum Beispiel zum Munzwurf) im
Jahr 1972 schliesslich zur weltberuhmten Black-Scholes-Theorie, die
die Finanzmarkte revolutionieren sollte, und fur die im Jahr 1997
an Scholes und Merton der Nobelpreis verliehen wurde? Kann man mit
der Hilfe von Derivaten eine ganz konkrete, leicht durchfuhrbare
Handelsstrategie entwerfen, mit deren Hilfe sich mit hoher
Wahrscheinlichkeit uberdurchschnittliche Gewinne erzielen lassen?
Harald Niederreiter's pioneering research in the field of applied
algebra and number theory has led to important and substantial
breakthroughs in many areas. This collection of survey articles has
been authored by close colleagues and leading experts to mark the
occasion of his 70th birthday. The book provides a modern overview
of different research areas, covering uniform distribution and
quasi-Monte Carlo methods as well as finite fields and their
applications, in particular, cryptography and pseudorandom number
generation. Many results are published here for the first time. The
book serves as a useful starting point for graduate students new to
these areas or as a refresher for researchers wanting to follow
recent trends.
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