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An introduction to continuous-time stochastic processes : theory, models, and applications to finance, biology, and medicine par Capasso, Vincenzo. Publication : [S.l.] Birkhauser . 447 p. ; , Expanding on the first edition of An Introduction to Continuous-Time Stochastic Processes, this concisely written book is a rigorous and self-contained introduction to the theory of continuous-time stochastic processes. A balance of theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required. 24 cm. Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Exactes et Naturelles (1),

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Heavy-tail phenomena : probabilistic and statistical modeling / par Resnick, Sidney I. Publication : [S.l.] : Springer, 2006 . 406 p. ; , This comprehensive text  gives an interesting  and useful blend  of the mathematical, probabilistic and statistical tools used in heavy-tail analysis.  Heavy tails are characteristic of many  phenomena where the probability of a single huge value impacts heavily.  Record-breaking insurance losses,  financial-log returns, files sizes stored on a server, transmission rates of files are all examples of  heavy-tailed phenomena. Key features: * Unique  text devoted to heavy-tails * Emphasizes both probability modeling and statistical methods for fitting models.   Most  treatments focus on one or the other but not both * Presents broad applicability  of heavy-tails to the fields of data networks, finance (e.g., value-at- risk), insurance, and hydrology * Clear, efficient and coherent exposition, balancing  theory and actual data to show the applicability and limitations of certain methods * Examines in detail the mathematical properties of the methodologies as well as their implementation in  Splus or R statistical languages * Exposition driven by numerous examples and exercises Prerequisites for the reader include a prior course in stochastic processes and probability, some statistical background, some familiarity with time series analysis, and ability to use (or at least to learn) a statistics package such as R or Splus. This work will serve second-year graduate students and researchers in the areas of applied mathematics, statistics, operations research, electrical engineering, and economics. 24 cm. Date : 2006 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Exactes et Naturelles (1),

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The mathematics of arbitrage par Delbaen, Freddy. Publication : Berlin ; New York Springer 2006 . 387 p. , Proof of the "Fundamental Theorem of Asset Pricing" in its general form by Delbaen and Schachermayer was a milestone in the history of modern mathematical finance and now forms the cornerstone of this book. Puts into book format a series of major results due mostly to the authors of this book. Embeds highest-level research results into a treatment amenable to graduate students, with introductory, explanatory background. Awaited in the quantitative finance community. 25 cm. Date : 2006 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Juridiques, Economiques et de Gestion (1),

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Theory of random sets / par Molchanov,, Ilya. Publication : [berne.] : Springer, 2005 . 504 p. , This is the first systematic exposition of random sets theory since Matheron (1975), with full proofs, exhaustive bibliographies and literature notes Interdisciplinary connections and applications of random sets are emphasized throughout the book An extensive bibliography in the book is available on the Web at http://liinwww.ira.uka.de/bibliography/math/random.closed.sets.html, and is accompanied by a search engine. 24 cm. Date : 2005 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Exactes et Naturelles (1),

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An introduction to heavy-tailed and subexponential distributions / par Foss, Serguei. Publication : New York, NY : Springer, 2013 . 1 online resource. Date : 2013 Disponibilité : Exemplaires disponibles: La bibliothèque des Sciences Exactes et Naturelles (1),

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