MARC details
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05497cam a22004218i 4500 |
| 001 - CONTROL NUMBER |
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on1264730485 |
| 003 - CONTROL NUMBER IDENTIFIER |
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OCoLC |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20240726104841.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
210816s2021 nyu ob 001 0 eng |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
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| LC control number |
2021038486 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
DLC |
| Language of cataloging |
eng |
| Description conventions |
rda |
| Transcribing agency |
DLC |
| Modifying agency |
OCLCO |
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EBLCP |
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OCLCF |
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NT |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781536198492 |
| Qualifying information |
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| 042 ## - AUTHENTICATION CODE |
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| Authentication code |
pcc |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
QA274 |
| Item number |
.A675 2021 |
| 049 ## - LOCAL HOLDINGS (OCLC) |
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| Holding library |
MAIN |
| 245 10 - TITLE STATEMENT |
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| Title |
Applications of Lévy processes /edited by Oleg Kudryavtsev, Southern Federal University, Rostov-on-Don, Russia; Rostov Branch of the Russian Customs Academy, Rostov-on-Don, Russia, Antonino Zanette, Department of Economics and Statistics, University of Udine, Udine, Italy. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource. |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
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| File type |
data file |
| Source |
rda |
| 490 0# - SERIES STATEMENT |
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| Series statement |
Mathematics research developments |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc. note |
Includes bibliographies and index. |
| 520 0# - SUMMARY, ETC. |
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| Summary, etc. |
"Lévy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance. The most famous Lévy process in finance is the Black-Scholes model. This book presents important financial applications of Lévy processes. The Editors consider jump-diffusion and pure non-Gaussian Lévy processes, the multi-dimensional Black-Scholes model, and regime-switching Lévy models. This book is comprised of seven chapters that focus on different approaches to solving applied problems under Lévy processes: Monte Carlo simulations, machine learning, the frame projection method, dynamic programming, the Fourier cosine series expansion, finite difference schemes, and the Wiener-Hopf factorization. Various numerical examples are carefully presented in tables and figures to illustrate the methods designed in the book"-- |
| Assigning source |
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| 505 00 - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Intro -- |
| Title |
APPLICATIONS OFLÉVY PROCESSES -- |
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APPLICATIONS OFLÉVY PROCESSES -- |
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CONTENTS -- |
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PREFACE -- |
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Chapter 1VARIANCE REDUCTION APPLIED TOMACHINE LEARNING FOR PRICINGBERMUDAN/AMERICAN OPTIONSIN HIGH DIMENSION -- |
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Abstract -- |
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1. INTRODUCTION -- |
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2. AMERICAN OPTIONS IN THE MULTI-DIMENSIONAL BLACK-SCHOLES MODEL -- |
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3. MACHINE LEARNING FOR AMERICAN OPTIONSIN THE MULTI-DIMENSIONAL BLACK-SCHOLESMODEL -- |
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3.1. Gaussian Process Regression -- |
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3.2. Machine Learning Exact Integration for European Options -- |
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3.3. Machine Learning Control Variate Algorithm for AmericanOptions -- |
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3.3.1. The GPR Monte CarloMethod |
| 505 00 - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
3.3.2. The GPR Monte Carlo Control Variate Method -- |
| Title |
3.3.3. The Control Variate for GPR-Tree and GRP-EI -- |
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4. NUMERICAL RESULTS -- |
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4.1. Geometric and Arithmetic Basket Put Options -- |
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4.2. Call on theMaximum Option -- |
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4.3. Variance Reduction -- |
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CONCLUSION -- |
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REFERENCES -- |
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Chapter 2A MACHINE LEARNING APPROACH TOOPTION PRICING UNDER LÉ VY PROCESSES -- |
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Abstract -- |
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1. INTRODUCTION -- |
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1.1. Machine Learning in Finance -- |
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advance.1.2. -- |
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2. OPTION PRICING -- |
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2.1. The Applications in Option Pricing -- |
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2.2. Lévy Processes -- |
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3. MACHINE LEARNING APPROACH -- |
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4. CGMY MODEL CALIBRATION WITH GPR |
| 505 00 - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
5. ARTIFICIAL NEURAL NETWORKS -- |
| Title |
5.1. Feedforward ANN -- |
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5.2. Recurrent NN -- |
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5.3. Long/Short Term -- |
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5.4. Gated Recurrent Units -- |
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5.5. Bidirectional Recurrent Neural Networks -- |
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5.6. BoltzmannMachines -- |
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5.7. Restricted BoltzmannMachines -- |
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5.8. Convolutional Networks -- |
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6. ACTIVATION FUNCTIONS -- |
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6.1. Step Function -- |
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6.2. Linear Activation Function -- |
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6.3. Sigmoid Activation Function -- |
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6.4. Hyperbolic Tangent Activation Function -- |
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6.5. Softsign Activation Function -- |
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6.6. Basic Rectified Linear Unit (ReLU)The -- |
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6.7. Leaky ( -- |
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6.8. Modified Rectifiers (MELU)Numerous attempts have |
| 505 00 - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
6.9. Softplus Activation Function -- |
| Title |
7. APPLYING A FF ANN TO SOLVE THE MODELCALIBRATION PROBLEM -- |
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7.1. Historical Data Preparation -- |
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7.2. Synthetic Data -- |
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7.3. Training the Network -- |
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7.4. Market States ClassificationFinancial markets -- |
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8. PRICING OPTIONS IN THE CGMY MODEL VIA AFF ANN -- |
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CONCLUSION -- |
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ACKNOWLEDGMENT -- |
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REFERENCES -- |
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Chapter 3ON SWING OPTION PRICINGUNDER LÉ VY PROCESS DYNAMICS -- |
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Abstract -- |
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1. INTRODUCTION -- |
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2. SWING OPTIONS -- |
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2.1. Policy Constraints -- |
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2.1.1. Volume Penalties -- |
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2.1.2. Ramping Constraints -- |
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2.2. Cash Flows -- |
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2.2.1. The Locally Constrained Case |
| 505 00 - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
2.3. Swing Rights and Recovery -- |
| Title |
3. MODELS FOR THE UNDERLYING -- |
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3.1. Exponential Lévy Dynamics -- |
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3.2. Mean-Reverting -- |
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4. PRICING METHODS -- |
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4.1. A Discrete Time Formulation -- |
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4.1.1. Value Functions -- |
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4.1.2. Optimal Swing Policies -- |
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4.2. Trees and Grids -- |
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4.3. Monte Carlo -- |
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4.4. PROJ Method -- |
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4.4.1. Value Functions -- |
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4.4.2. Pure Fixed Rights -- |
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4.4.3. Numerical Examples: Fixed Rights -- |
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4.5. A Continuous Time Formulation -- |
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4.5.1. Variational Inequalities -- |
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4.6. COSMethod -- |
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4.7. PROJ: American Contracts -- |
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4.7.1. Algorithm Structure -- |
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4.7.2. Numerical Example: Constant Recovery |
| 530 ## - COPYRIGHT INFORMATION: |
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| COPYRIGHT INFORMATION |
COPYRIGHT NOT covered - Click this link to request copyright permission: |
| Uniform Resource Identifier |
<a href="b">b</a> |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Lévy processes. |
| 655 #1 - INDEX TERM--GENRE/FORM |
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| Genre/form data or focus term |
Electronic Books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Kudryavtsev, Oleg, |
| Relator term |
|
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| -- |
Click to access digital title | log in using your CIU ID number and my.ciu.edu password. |
| Uniform Resource Identifier |
<a href="httpss://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=2987252&site=eds-live&custid=s3260518">httpss://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=2987252&site=eds-live&custid=s3260518</a> |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Koha item type |
Online Book (LOGIN USING YOUR MY CIU LOGIN AND PASSWORD) |
| DONATED BY: |
|
| VENDOR |
EBSCO |
| Classification part |
QA. |
| PUBLICATION YEAR |
2021 |
| LOCATION |
ONLINE |
| REQUESTED BY: |
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NFIC |
| Source of classification or shelving scheme |
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| 994 ## - |
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92 |
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NT |
| 902 ## - LOCAL DATA ELEMENT B, LDB (RLIN) |
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| a |
1 |
| b |
Cynthia Snell |
| c |
1 |
| d |
Cynthia Snell |