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What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.The book presents continuous time models for financial markets, starting from classical models such as Black-Scholes and evolving towards the most popular models today such as Heston and VAR.A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.Topics covered:

This revised and updated version of a classic introduction to deterministic chaos views the field from a physicist's point of view. This edition contains new sections on sensitive parameter dependence, fat fractals, characterization of attractors by scaling indices, the Farey tree, and the notion of global universality. The book answers basic questions such as what is deterministic chaos, how is it generated, where does it occur, and what can one learn from a chaotic signal? It also explains advanced concepts such as bifurcations, intermittency, Liapunov exponents, functional renormalization groups, and strange attractors. The book requires no background beyond that possessed by a graduate student in physics.

This revised and updated version of a classic introduction to deterministic chaos views the field from a physicist's point of view. This edition contains new sections on sensitive parameter dependence, fat fractals, characterization of attractors by scaling indices, the Farey tree, and the notion of global universality. The book answers basic questions such as what is deterministic chaos, how is it generated, where does it occur, and what can one learn from a chaotic signal? It also explains advanced concepts such as bifurcations, intermittency, Liapunov exponents, functional renormalization groups, and strange attractors. The book requires no background beyond that possessed by a graduate student in physics.

The first part of this book presents the essential topics for an introduction to deterministic optimal control theory. The second part introduces stochastic optimal control for Markov diffusion processes. It also inlcudes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.

This book focuses on the computational analysis of nonlinear vibrations of structural members (beams, plates, panels, shells), where the studied dynamical problems can be reduced to the consideration of one spatial variable and time. The reduction is carried out based on a formal mathematical approach aimed at reducing the problems with infinite dimension to finite ones. The process also includes a transition from governing nonlinear partial differential equations to a set of finite number of ordinary differential equations.Beginning with an overview of the recent results devoted to the analysis and control of nonlinear dynamics of structural members, placing emphasis on stability, buckling, bifurcation and deterministic chaos, simple chaotic systems are briefly discussed. Next, bifurcation and chaotic dynamics of the Euler-Bernoulli and Timoshenko beams including the geometric and physical nonlinearity as well as the elastic-plastic deformations are illustrated. Despite the employed classical numerical analysis of nonlinear phenomena, the various wavelet transforms and the four Lyapunov exponents are used to detect, monitor and possibly control chaos, hyper-chaos, hyper-hyper-chaos and deep chaos exhibited by rectangular plate-strips and cylindrical panels.The book is intended for post-graduate and doctoral students, applied mathematicians, physicists, teachers and lecturers of universities and companies dealing with a nonlinear dynamical system, as well as theoretically inclined engineers of mechanical and civil engineering.

xxiii 220p hardback, from a Cambridge Research library, label to spine, stamps and labels to endpaper, clean pages, firm binding, a very useful copy, in good condition

This is the revised and updated 3rd edition of this highly regarded textbook. A new chapter on controlling chaos has been added. Translations into Japanese, Chinese, German, Russian and Polish demonstrate the international interest in this book. From reviews of former editions: In this book, Schuster gives a very useful summary of the main ideas of the subject as it now stands. Although a physist by training and style, he organizes his treatment by the logic of the mathematics, which is based on the concept of a dynamical system. Students about to begin research into chaos, and practising scientists new to the subject, will find this book well worth reading. Nature This text sets a standard which other authors and publishers in physics should strive to meet. Physics Bulletin

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What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.The book presents continuous time models for financial markets, starting from classical models such as Black-Scholes and evolving towards the most popular models today such as Heston and VAR.A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.Topics covered:

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Unified treatment of dynamic programming and stochastic control for advanced course in Control Engineering or for Dynamic Programming.

Unified treatment of dynamic programming and stochastic control for advanced course in Control Engineering or for Dynamic Programming.

Addresses the construction, analysis, and intepretation of mathematical models that shed light on significant problems in the physical sciences. The authors' case studies approach leads to excitement in teaching realistic problems. The exercises reinforce, test and extend the reader's understanding. This reprint volume may be used as an upper level undergraduate or graduate textbook as well as a reference for researchers working on fluid mechanics, elasticity, perturbation methods, dimensional analysis, numerical analysis, continuum mechanics and differential equations.

A thorough and rigorous analysis of electromagnetic fields in cavities This book offers a comprehensive analysis of electromagnetic fields in cavities of general shapes and properties. Part One covers classical deterministic methods to conclude resonant frequencies, modal fields, and cavity losses; quality factor; mode bandwidth; and the excitation of cavity fields from arbitrary current distributions for metal-wall cavities of simple shape. Part Two covers modern statistical methods to analyze electrically large cavities of complex shapes and properties. Electromagnetic Fields in Cavities combines rigorous solutions to Maxwell's equations with conservation of energy to solve for the statistics of many quantities of interest: penetration into cavities (and shielding effectiveness), field strengths far from and close to cavity walls, and power received by antennas within cavities. It includes all modes and shows you how to utilize fairly simple statistical formulae to apply to your particular problem, whether it's interference calculations, electromagnetic compatibility testing in reverberation chambers, measurement of shielding materials using multiple cavities, or efficiency of test antennas. Electromagnetic Fields in Cavities is a valuable resource for researchers, engineers, professors, and graduate students in electrical engineering.

An Introduction to the Mathematics of Finance: A Deterministic Approach, Second edition, offers a highly illustrated introduction to mathematical finance, with a special emphasis on interest rates. This revision of the McCutcheon-Scott classic follows the core subjects covered by the first professional exam required of UK actuaries, the CT1 exam. It realigns the table of contents with the CT1 exam and includes sample questions from past exams of both The Actuarial Profession and the CFA Institute. With a wealth of solved problems and interesting applications, An Introduction to the Mathematics of Finance stands alone in its ability to address the needs of its primary target audience, the actuarial student.Closely follows the syllabus for the CT1 exam of The Institute and Faculty of ActuariesFeatures new content and more examplesOnline supplements available: http://booksite.elsevier.com/9780080982403/Includes past exam questions from The Institute and Faculty of Actuaries and the CFA Institute

A course in mechanics is of primary importance in any physics teaching program. Scheck's book integrates the various aspects of classical mechanics, relativistic mechanics, and modern topics such as deterministic chaos. Both the physical approach to mechanics and its mathematical foundations are emphasised. With elementary Newtonian mechanics as a starting point, the principles of canonical mechanics in Hamiltonian and Lagrangian formulations are outlined. Rigid bodies are treated in detail, and the basic concepts of special relativity are given. Particular emphasis is put on the geometrical aspects of mechanics, such as geometrical objects on manifolds. A chapter on stability and chaos concludes the book, introducing topics such as the long-time behavior of dynamical flows, deterministic chaos, and chaotic motion in celestial mechanics.

A thorough and rigorous analysis of electromagnetic fields in cavities This book offers a comprehensive analysis of electromagnetic fields in cavities of general shapes and properties. Part One covers classical deterministic methods to conclude resonant frequencies, modal fields, and cavity losses; quality factor; mode bandwidth; and the excitation of cavity fields from arbitrary current distributions for metal-wall cavities of simple shape. Part Two covers modern statistical methods to analyze electrically large cavities of complex shapes and properties. Electromagnetic Fields in Cavities combines rigorous solutions to Maxwell's equations with conservation of energy to solve for the statistics of many quantities of interest: penetration into cavities (and shielding effectiveness), field strengths far from and close to cavity walls, and power received by antennas within cavities. It includes all modes and shows you how to utilize fairly simple statistical formulae to apply to your particular problem, whether it's interference calculations, electromagnetic compatibility testing in reverberation chambers, measurement of shielding materials using multiple cavities, or efficiency of test antennas. Electromagnetic Fields in Cavities is a valuable resource for researchers, engineers, professors, and graduate students in electrical engineering.

This book develops deterministic chaos and fractals from the standpoint of iterated maps, but the method of analysis and choice of emphasis make it very different from all other books in the field. It is written to provide the reader with an introduction to more recent developments, such as weak universality, multifractals, and shadowing, as well as to older subjects such as universal critical exponents, devil's staircases, and the Farey tree. Throughout the book the author uses a fully discrete method, a "theoretical computer arithmetic," because finite (but not fixed) precision is a fact of life that cannot be avoided in computation or in experiment. This approach leads to a more general formulation in terms of symbolic dynamics and to the idea of weak universality. The author explains why continuum analysis, computer simulations, and experiments form three entirely distinct approaches to chaos theory. In the end, the connection is made with Turing's ideas of computable numbers. It is explained why the continuum approach leads to predictions that are not necessarily realized in computations or in nature, whereas the discrete approach yields all possible histograms that can be observed or computed.

Addresses the construction, analysis, and intepretation of mathematical models that shed light on significant problems in the physical sciences. The authors' case studies approach leads to excitement in teaching realistic problems. The exercises reinforce, test and extend the reader's understanding. This reprint volume may be used as an upper level undergraduate or graduate textbook as well as a reference for researchers working on fluid mechanics, elasticity, perturbation methods, dimensional analysis, numerical analysis, continuum mechanics and differential equations.

Addresses the construction, analysis, and intepretation of mathematical models that shed light on significant problems in the physical sciences. The authors' case studies approach leads to excitement in teaching realistic problems. The exercises reinforce, test and extend the reader's understanding. This reprint volume may be used as an upper level undergraduate or graduate textbook as well as a reference for researchers working on fluid mechanics, elasticity, perturbation methods, dimensional analysis, numerical analysis, continuum mechanics and differential equations.