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1. Extreme Value Theory : An Introduction
by Laurens Haan, Ana Ferreira
出版情報: New York, NY : Springer Science+Business Media, LLC, 2006
シリーズ名: Springer Series in Operations Research and Financial Engineering ;
オンライン: http://dx.doi.org/10.1007/0-387-34471-3
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2. Point Process Theory and Applications : Marked Point and Piecewise Deterministic Processes
by Martin Jacobsen
出版情報: Boston, MA : Birkhäuser Boston, 2006
シリーズ名: Probability and its Applications ;
オンライン: http://dx.doi.org/10.1007/0-8176-4463-6
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3. Lagrangian Probability Distributions
by Prem C. Consul, Felix Famoye
出版情報: Boston, MA : Birkhäuser Boston, 2006
オンライン: http://dx.doi.org/10.1007/0-8176-4477-6
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4. Mathematical Analysis of Problems in the Natural Sciences
by Vladimir Zorich
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2011
オンライン: http://dx.doi.org/10.1007/978-3-642-14813-2
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5. Stochastic Differential Equations in Infinite Dimensions : with Applications to Stochastic Partial Differential Equations
by Leszek Gawarecki, Vidyadhar Mandrekar
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2011
シリーズ名: Probability and Its Applications ;
オンライン: http://dx.doi.org/10.1007/978-3-642-16194-0
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6. PDE and Martingale Methods in Option Pricing
by Andrea Pascucci
出版情報: Milano : Springer Milan, 2011
シリーズ名: Bocconi & Springer Series ;
オンライン: http://dx.doi.org/10.1007/978-88-470-1781-8
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7. Markov Decision Processes with Applications to Finance
by Nicole Bäuerle, Ulrich Rieder
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2011
シリーズ名: Universitext ;
オンライン: http://dx.doi.org/10.1007/978-3-642-18324-9
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8. A Beginner's Guide to Finite Mathematics : For Business, Management, and the Social Sciences. 2nd ed. 2012
by W.D. Wallis
出版情報: Boston : Birkhäuser Boston, 2012
オンライン: http://dx.doi.org/10.1007/978-0-8176-8319-1
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9. Stochastic Calculus for Fractional Brownian Motion and Applications
by Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang
出版情報: London : Springer-Verlag London Limited, 2008
シリーズ名: Probability and Its Applications ;
オンライン: http://dx.doi.org/10.1007/978-1-84628-797-8
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10. Mathematical Models of Financial Derivatives. 2
by Yue-Kuen Kwok ; edited by M. Avellaneda, G. Barone-Adesi, M. Broadie, M. H. A. Davis, E. Derman, C. Klüppelberg, E. Kopp, W. Schachermayer
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008
シリーズ名: Springer Finance ;
オンライン: http://dx.doi.org/10.1007/978-3-540-68688-0
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11. Stochastic Models, Information Theory, and Lie Groups, Volume 1 : Classical Results and Geometric Methods
by Gregory S. Chirikjian
出版情報: Boston : Birkhäuser Boston, 2009
シリーズ名: Applied and Numerical Harmonic Analysis ;
オンライン: http://dx.doi.org/10.1007/978-0-8176-4803-9
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12. Mathematical Biology : An Introduction with Maple and Matlab
by Ronald W. Shonkwiler, James Herod
出版情報: New York, NY : Springer-Verlag New York, 2009
シリーズ名: Undergraduate Texts in Mathematics ;
オンライン: http://dx.doi.org/10.1007/978-0-387-70984-0
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13. Stochastic Tools in Mathematics and Science. second
by Alexandre Chorin, Ole H. Hald
出版情報: New York, NY : Springer-Verlag New York, 2009
シリーズ名: Surveys and Tutorials in the Applied Mathematical Sciences ; 1
オンライン: http://dx.doi.org/10.1007/978-1-4419-1002-8
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14. Term-Structure Models : A Graduate Course
by Damir Filipovic
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2009
シリーズ名: Springer Finance ;
オンライン: http://dx.doi.org/10.1007/978-3-540-68015-4
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15. Mathématiques et Technologie
by Christiane Rousseau, Yvan Saint-Aubin
出版情報: New York, NY : Springer New York, 2009
シリーズ名: Springer Undergraduate Texts in Mathematics and Technology ;
オンライン: http://dx.doi.org/10.1007/978-0-387-69213-5
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16. Stochastic Models, Information Theory, and Lie Groups, Volume 2 : Analytic Methods and Modern Applications
by Gregory S. Chirikjian
出版情報: Boston : Springer Science+Business Media, LLC, 2012
シリーズ名: Applied and Numerical Harmonic Analysis ;
オンライン: http://dx.doi.org/10.1007/978-0-8176-4944-9
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17. Probability with Statistical Applications
by Rinaldo B. Schinazi
出版情報: Boston : Springer Science+Business Media, LLC, 2012
オンライン: http://dx.doi.org/10.1007/978-0-8176-8250-7
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18. An Introduction to Continuous-Time Stochastic Processes : Theory, Models, and Applications to Finance, Biology, and Medicine. 2nd ed. 2012
by Vincenzo Capasso, David Bakstein
出版情報: Boston : Birkhäuser Boston : Imprint: Birkhäuser, 2012
シリーズ名: Modeling and Simulation in Science, Engineering and Technology ;
オンライン: http://dx.doi.org/10.1007/978-0-8176-8346-7
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目次情報: 続きを見る
Part I. The Theory of Stochastic Processes
Fundamentals of Probability
Stochastic Processes
The Itô Integral
Stochastic Differential Equations
Part II. The Applications of Stochastic Processes
Applications to Finance and Insurance
Applications to Biology and Medicine
Part III. Appendices
Measure and Integration
Convergence of Probability Measures on Metric Spaces
Elliptic and Parabolic Operators
D Semigroups and Linear Operators.- E Stability of Ordinary Differential Equations
References
Part I. The Theory of Stochastic Processes
Fundamentals of Probability
Stochastic Processes
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19. Analytically Tractable Stochastic Stock Price Models
by Archil Gulisashvili
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2012
シリーズ名: Springer Finance ;
オンライン: http://dx.doi.org/10.1007/978-3-642-31214-4
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目次情報: 続きを見る
Preface
Aknowledgements
1.Volatility Processes
2.Stock Price Models with Stochastic Volatility
3.Realized Volatility and Mixing Distributions
4.Integral Transforms of Distribution Densities
5.Asymptotic Analysis of Mixing Distributions
6.Asymptotic Analysis of Stock Price Distributions
7.Regularly Varying Functions and Pareto Type Distributions
8.Asymptotic Analysis of Option Pricing Functions
9.Asymptotic Analysis of Implied Volatility
10.More Formulas for Implied Volatility
11.Implied Volatility in Models Without Moment Explosions
Bibliography
Index
Preface
Aknowledgements
1.Volatility Processes
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20. Risk Measures and Attitudes
edited by Francesca Biagini, Andreas Richter, Harris Schlesinger
出版情報: London : Springer London : Imprint: Springer, 2013
シリーズ名: EAA Series ;
オンライン: http://dx.doi.org/10.1007/978-1-4471-4926-2
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目次情報: 続きを見る
Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
Multivariate Concave and Convex Stochastic Dominance
Reliable Quantification and Efficient Estimation of Credit Risk
Diffusion-based models for financial markets without martingale measures
Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
Multivariate Concave and Convex Stochastic Dominance
Reliable Quantification and Efficient Estimation of Credit Risk
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21. Malliavin Calculus and Stochastic Analysis : A Festschrift in Honor of David Nualart
edited by Frederi Viens, Jin Feng, Yaozhong Hu, Eulalia Nualart
出版情報: Boston, MA : Springer US : Imprint: Springer, 2013
シリーズ名: Springer Proceedings in Mathematics & Statistics ; 34
オンライン: http://dx.doi.org/10.1007/978-1-4614-5906-4
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An Application of Gaussian Measures to Functional Analysis
Stochastic Taylor Formulas and Riemannian Geometry
Local invertibility of adapted shifts on Wiener Space and related topics
Dilation vector field on Wiener space
The calculus of differentials for the weak Stratonovich integral
Large deviations for Hilbert space valued Wiener processes: a sequence space approach
Stationary distributions for jump processes with inert drift
An Ornstein-Uhlenbeck type process which satisfies sufficient conditions for a simulation based filtering procedure
Escape probability for stochastic dynamical systems with jumps
On Stochastic Navier-Stokes Equation Driven by Stationary White Noise
Intermittency and chaos for a non-linear stochastic wave equation in dimension 1
Generalized stochastic heat equations
Gaussian Upper Density estimates for spatially homogeneous Stochastic PDEs
Stationarity of the solution for the semilinear stochastic integral equation on the whole real line
A strong approximation of sub-fractional Brownian motion by means of transport processes
Malliavin calculus for fractional heat equation
Parameter estimation for alpha-fractional bridges
Gradient bounds for solutions of stochastic differential equations driven by fractional Brownian motion
Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
The effect of competition on the height and length of the forest of genealogical trees of a large population
Linking progressive and initial filtration expansions
A Malliavin calculus approach to general stochastic differential games with partial information
Asymptotics for the Length of Longest Increasing Subsequences of Binary Markovian Words
A short rate model using ambit processes
Parametric regularity of the conditional expectations via the Malliavin calculus and applications
An Application of Gaussian Measures to Functional Analysis
Stochastic Taylor Formulas and Riemannian Geometry
Local invertibility of adapted shifts on Wiener Space and related topics
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22. Stochastic Tools in Mathematics and Science. 3rd ed. 2013
by Alexandre J. Chorin, Ole H. Hald
出版情報: New York, NY : Springer New York : Imprint: Springer, 2013
シリーズ名: Texts in Applied Mathematics ; 58
オンライン: http://dx.doi.org/10.1007/978-1-4614-6980-3
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目次情報: 続きを見る
Preliminary
Probability
Brownian Motion
Stationary Stochastic Processes
Statistical Mechanics
Index
Time-Dependent Statistical Mechanics
Preliminary
Probability
Brownian Motion
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23. Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios
by Ludger Rüschendorf
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013
シリーズ名: Springer Series in Operations Research and Financial Engineering ;
オンライン: http://dx.doi.org/10.1007/978-3-642-33590-7
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目次情報: 続きを見る
Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform
2 Fréchet Classes, Risk Bounds, and Duality Theory
3 Convex Order, Excess of Loss, and Comonotonicity
4 Bounds for the Distribution Function and Value at Risk of the Joint Portfolio
5 Restrictions on the Dependence Structure
6 Dependence Orderings of Risk Vectors and Portfolios
Part II: Risk Measures and Worst Case Portfolios
7 Risk Measures for Real Risks
8 Risk Measures for Portfolio Vectors
9 Law Invariant Convex Risk Measures on L_d^p and Optimal Mass Transportation
Part III: Optimal Risk Allocation
10 Optimal Allocations and Pareto Equilibrium
11 Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals
12 Optimal Contingent Claims and (Re)Insurance Contracts
Part IV: Optimal Portfolios and Extreme Risks
13 Optimal Portfolio Diversification w.r.t. Extreme Risks
14 Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses
References
List of Symbols
Index
Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform
2 Fréchet Classes, Risk Bounds, and Duality Theory
3 Convex Order, Excess of Loss, and Comonotonicity
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24. Advances in Mathematical Economics Volume 17
edited by Shigeo Kusuoka, Toru Maruyama
出版情報: Tokyo : Springer Japan : Imprint: Springer, 2013
シリーズ名: Advances in Mathematical Economics ; 17
オンライン: http://dx.doi.org/10.1007/978-4-431-54324-4
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25. Advances in Mathematical Economics Volume 18
edited by Shigeo Kusuoka, Toru Maruyama
出版情報: Tokyo : Springer Japan : Imprint: Springer, 2014
シリーズ名: Advances in Mathematical Economics ; 18
オンライン: http://dx.doi.org/10.1007/978-4-431-54834-8
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目次情報: 続きを見る
Optimal Control Problems Governed By A Second Order Ordinary Differential Equation With M-Point Boundary Condition (Charles Castaing, C. Godet-Thobie, Le Xuan Truongz, Bianca Satco)
Stochastic Mesh Methods For H¨Ormander Type Diffusion Processes (Shigeo Kusuoka and Yusuke Morimoto)
Turnpike Properties For Nonconcave Problems (Alexander J. Zaslavski)
A Characterization of Quasi-Concave Function in View of the Integrability Theory (Yuhki Hosoya)
Optimal Control Problems Governed By A Second Order Ordinary Differential Equation With M-Point Boundary Condition (Charles Castaing, C. Godet-Thobie, Le Xuan Truongz, Bianca Satco)
Stochastic Mesh Methods For H¨Ormander Type Diffusion Processes (Shigeo Kusuoka and Yusuke Morimoto)
Turnpike Properties For Nonconcave Problems (Alexander J. Zaslavski)
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26. Stochastic Processes - Inference Theory. 2nd ed. 2014
by Malempati M. Rao
出版情報: Cham : Springer International Publishing : Imprint: Springer, 2014
シリーズ名: Springer Monographs in Mathematics ;
オンライン: http://dx.doi.org/10.1007/978-3-319-12172-7
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目次情報: 続きを見る
1.Introduction and Preliminaries
2.Some Principles of Hypothesis Testing
3.Parameter Estimation and Asymptotics
4.Inferences for Classes of Processes
5.Likelihood Ratios for Processes
6.Sampling Methods for Processes
7.More on Stochastic Inference
8.Prediction and Filtering of Processes
9.Nonparametric Estimation for Processes
Bibliography
Index
1.Introduction and Preliminaries
2.Some Principles of Hypothesis Testing
3.Parameter Estimation and Asymptotics
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27. Queues and Lévy Fluctuation Theory. 1st ed. 2015
by Krzysztof Dębicki, Michel Mandjes
出版情報: Cham : Springer International Publishing : Imprint: Springer, 2015
シリーズ名: Universitext ;
オンライン: http://dx.doi.org/10.1007/978-3-319-20693-6
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目次情報: 続きを見る
Introduction
Lévy processes and Lévy-driven queues
Steady-state workload
Transient workload
Heavy traffic
Busy period
Workload correlation function
Stationary workload asymptotics
Transient asymptotics
Simulation of Lévy-driven queues
Variants of the standard queue
Lévy-driven tandem queues
Lévy-driven queueing networks
Applications in communication networks
Applications in mathematical finance
Computational aspects: inversion techniques
Concluding remarks
Bibliography
Introduction
Lévy processes and Lévy-driven queues
Steady-state workload
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28. Advances in Dynamic Games : Applications to Economics, Management Science, Engineering, and Environmental Management
edited by Alain Haurie, Shigeo Muto, Leon A. Petrosjan, T. E. S. Raghavan
出版情報: Boston, MA : Birkhäuser Boston, 2006
シリーズ名: Annals of the International Society of Dynamic Games ; 8
オンライン: http://dx.doi.org/10.1007/0-8176-4501-2
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29. Analysis and Probability Wavelets, Signals, Fractals
by Palle E.T. Jorgensen
出版情報: New York, NY : Springer Science+Business Media, LLC, 2006
シリーズ名: Graduate Texts in Mathematics ; 234
オンライン: http://dx.doi.org/10.1007/978-0-387-33082-2
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30. Heavy-Tail Phenomena : Probabilistic and Statistical Modeling
by Sidney I. Resnick
出版情報: New York, NY : Springer Science+Business Media, LLC, 2007
シリーズ名: Springer Series in Operations Research and Financial Engineering ;
オンライン: http://dx.doi.org/10.1007/978-0-387-45024-7
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31. Wave Propagation and Time Reversal in Randomly Layered Media
edited by Jean-Pierre Fouque, Josselin Garnier, George Papanicolaou, Knut Solna
出版情報: New York : Springer Science+Business Media, LLC, 2007
シリーズ名: Stochastic Modelling and Applied Probability ; 56
オンライン: http://dx.doi.org/10.1007/978-0-387-49808-9
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32. Modeling with Itô Stochastic Differential Equations
by E. Allen
出版情報: Dordrecht : Springer, 2007
シリーズ名: Mathematical Modelling: Theory and Applications ; 22
オンライン: http://dx.doi.org/10.1007/978-1-4020-5953-7
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33. Introduction to Mathematical Systems Theory : Linear Systems, Identification and Control
by Christiaan Heij, André Ran, Freek Schagen
出版情報: Basel : Birkhäuser Verlag, 2007
オンライン: http://dx.doi.org/10.1007/978-3-7643-7549-2
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34. Planar Ising Correlations
by John Palmer
出版情報: Boston, MA : Birkhäuser Boston, 2007
シリーズ名: Progress in Mathematical Physics ; 49
オンライン: http://dx.doi.org/10.1007/978-0-8176-4620-2
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35. Advances in Dynamic Game Theory : Numerical Methods, Algorithms, and Applications to Ecology and Economics
edited by Steffen Jørgensen, Marc Quincampoix, Thomas L. Vincent
出版情報: Boston, MA : Birkhäuser Boston, 2007
シリーズ名: Annals of the International Society of Dynamic Games ; 9
オンライン: http://dx.doi.org/10.1007/978-0-8176-4553-3
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36. Introduction to Probability with Statistical Applications
by Géza Schay
出版情報: Boston, MA : Birkhäuser Boston, 2007
オンライン: http://dx.doi.org/10.1007/978-0-8176-4591-5
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37. Topics in Stochastic Analysis and Nonparametric Estimation
edited by Pao-Liu Chow, George Yin, Boris Mordukhovich
出版情報: New York, NY : Springer-Verlag New York, 2008
シリーズ名: The IMA Volumes in Mathematics and its Applications ; 145
オンライン: http://dx.doi.org/10.1007/978-0-387-75111-5
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38. Mathematics and Technology
by Yvan Saint-Aubin, Christiane Rousseau
出版情報: New York, NY : Springer-Verlag New York, 2008
シリーズ名: Springer Undergraduate Texts in Mathematics and Technology ;
オンライン: http://dx.doi.org/10.1007/978-0-387-69216-6
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39. Quantum Independent Increment Processes II : Structure of Quantum Lévy Processes, Classical Probability, and Physics
edited by Ole E. Barndorff-NielsenUwe Franz, Rolf Gohm, Burkhard Kümmerer et al
出版情報: Berlin Heidelberg : Springer-Verlag GmbH., 2006
シリーズ名: Lecture Notes in Mathematics ; 1866
オンライン: http://dx.doi.org/10.1007/11376637
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40. Disorder and Critical Phenomena Through Basic Probability Models : École d’Été de Probabilités de Saint-Flour XL – 2010
by Giambattista Giacomin
出版情報: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2011
シリーズ名: Lecture Notes in Mathematics ; 2025
オンライン: http://dx.doi.org/10.1007/978-3-642-21156-0
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