The first comprehensive account of the theory of mass transportation problems and its applications. In Volume I, the authors systematically develop the theory with emphasis on the Monge-Kantorovich mass transportation and the Kantorovich-Rubinstein mass transshipment problems. They then discuss a variety of different approaches towards solving these problems and exploit the rich interrelations to several mathematical sciences - from functional analysis to probability theory and mathematical economics. The second volume is devoted to applications of the above problems to topics in applied probability, theory of moments and distributions with given marginals, queuing theory, risk theory of probability metrics and its applications to various fields, among them general limit theorems for Gaussian and non-Gaussian limiting laws, stochastic differential equations and algorithms, and rounding problems. Useful to graduates and researchers in theoretical and applied probability, operations research, computer science, and mathematical economics, the prerequisites for this book are graduate level probability theory and real and functional analysis.

Mass Transportation Problems: Volume 1: Theory (Probability and Its Applications)

Science & Math

Svetlozar T. Rachev

Mathematics

Springer

Financial Econometrics: From Basics to Advanced Modeling Techniques

FraNK j. fABOZZI

Sergio M. Focardi

Stefan Mittnik

Teo Jašić

wiley

Probability and Statistics for Finance

Sergio Focardi

Markus Hoechstoetter

While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.

Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing

Business & Money

Christian Menn

Economics

This book consists of two parts, the first dealing with dissipative structures and the second with the structure and physics of chaos. The first part was written by Y. Kuramoto and the second part by H. Mori. Throughout the book, emphasis is laid on fundamental concepts and methods rather than applications, which are too numerous to be treated here. Typical physical examples, however, including nonlinear forced oscilla tors, chemical reactions with diffusion, and Benard convection in horizontal fluid layers, are discussed explicitly. Our consideration of dissipative structures is based on a phenomenolog ical reduction theory in which universal aspects of the phenomena under consideration are emphasized, while the theory of chaos is developed to treat transport phenomena, such as the mixing and diffusion of chaotic orbits, from the viewpoint of the geometrical phase space structure of chaos. The title of the original, Japanese version of the book is Sanitsu Kozo to Kaosu (Dissipative Structures and Chaos). It is part of the Iwanami Koza Gendai no Butsurigaku (Iwanami Series on Modern Physics). The first Japanese edition was published in March 1994 and the second in August 1997. We are pleased that this book has been translated into English and that it can now have an audience outside of Japan. We would like to express our gratitude to Glenn Paquette for his English translation, which has made this book more understandable than the original in many respects.

Chemistry

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Books by Svetlozar T. Rachev