Probabilistic Modeling in Finance and Biology: Limit Theorems and Applications - Couverture souple

Guyon, Julien

 
9783838314464: Probabilistic Modeling in Finance and Biology: Limit Theorems and Applications
Couverture souple
ISBN 10 : 3838314468 ISBN 13 : 9783838314464
Editeur : LAP LAMBERT Academic Publishing, 2010

Synopsis

In this book, I strove to propose a both precise and handy probabilistic modeling in some areas of finance and biology. Both fields are made of complex random systems, described by huge and noisy data, and call for expertise in probability theory and statistics. My work is a contribution to modeling interactions in such systems, numerical analysis of the models, and statistical analysis of experimental data. In finance, I first focus on analysis of weak error of the density of the Euler scheme for stochastic differential equations, deriving new expansions in Gaussian-like functional spaces. Then I study ergodic properties of stochastic volatility models, with extended numerical experiments. In biology, I work on cellular aging, suggesting a bifurcating autoregressive model to describe growth rates of cells and building statistical procedures to estimate parameters and test biological hypothesis. To this end, I introduce the concept of bifurcating Markov chains and prove that such stochastic processes satisfy original limit theorems. This book should be useful to academic researchers or PhD students in applied mathematics, as well as to practitioners in finance or biology.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

In this book, I strove to propose a both precise and handy probabilistic modeling in some areas of finance and biology. Both fields are made of complex random systems, described by huge and noisy data, and call for expertise in probability theory and statistics. My work is a contribution to modeling interactions in such systems, numerical analysis of the models, and statistical analysis of experimental data. In finance, I first focus on analysis of weak error of the density of the Euler scheme for stochastic differential equations, deriving new expansions in Gaussian-like functional spaces. Then I study ergodic properties of stochastic volatility models, with extended numerical experiments. In biology, I work on cellular aging, suggesting a bifurcating autoregressive model to describe growth rates of cells and building statistical procedures to estimate parameters and test biological hypothesis. To this end, I introduce the concept of bifurcating Markov chains and prove that such stochastic processes satisfy original limit theorems. This book should be useful to academic researchers or PhD students in applied mathematics, as well as to practitioners in finance or biology.

Biographie de l'auteur

Julien Guyon works in the Global Markets Quantitative Research team at Société Générale. He holds a PhD in Probability Theory and Statistics from Ecole des ponts (Paris). He graduated from Ecole polytechnique (Paris) and Ecole des ponts. He is also a Professor at Ecole des ponts.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2010
Langue
anglais
ISBN 10 
3838314468
ISBN 13 
9783838314464
Reliure
Broché
Nombre de pages
172
Coordonnées du fabricant
non disponible
Personne responsable
KreGa Onlinehandel GmbH
4950000000000
info@krega-onlinehandel.de

Birkenweg 31
Brakel
33034
Allemagne