Error Calculus for Finance and Physics (eBook)

The Language of Dirichlet Forms

Nicolas Bouleau (Autor)

eBook Download: PDF

2003
244 Seiten
De Gruyter (Verlag)
978-3-11-019929-1 (ISBN)

Infos

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.

Nicolas Bouleau is Scientific Director at the École Nationale des Ponts, Champs-sur-Marne, France.

Autor

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Nicolas Bouleau is Scientific Director at the École Nationale des Ponts, Champs-sur-Marne, France.

Inhalt

Frontmatter 1
Contents 9
Chapter I Intuitive introduction to error structures 11
Chapter II Strongly-continuous semigroups and Dirichlet forms 27
Chapter III Error structures 42
Chapter IV Images and products of error structures 61
Chapter V Sensitivity analysis and error calculus 77
Chapter VI Error structures on fundamental spaces space 103
Chapter VII Application to financial models 147
Chapter VIII Applications in the field of physics 197
Backmatter 241

Rezensionen

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"[...] interesting book [...]"
Alexander Schied in: Zentralblatt MATH 12/2007

Produkt-Details

• Erscheint lt. Verlag: 22.8.2008
• Reihe/Serie: De Gruyter Expositions in Mathematics
• Reihe/Serie: De Gruyter Expositions in Mathematics
• Reihe/Serie: ISSN
• Reihe/Serie: ISSN
• Verlagsort: Berlin/Boston
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Allgemeines / Lexika
• Themenwelt: Technik
• Schlagworte: Fehlerrechnung • Sensitivitätsanalyse • Wahrscheinlichkeitstheorie
• ISBN-10: 3-11-019929-7 / 3110199297
• ISBN-13: 978-3-11-019929-1 / 9783110199291