Gives greater rigor to numerical treatments of stochastic models. Contains Monte Carlo and quasi-Monte Carlo techniques, simulation of major stochastic procedures, deterministic methods adapted to Markovian problems and special problems related to stochastic integral and differential equations. Simulation methods are given throughout the text as well as numerous exercises.

Numerical Methods for Stochastic Processes

Science & Math

Bouleau, Nicolas

Lépingle, Dominique

Mathematics

Wiley-Interscience

Is it really possible to make money on the financial markets? This is just one of the questions posed in this practical and thought-provoking book, winner, in the original French version, of the "Best financial economics book" prize 1999 from the Institute de Haute Finance, and the "Prix FNAC-Arthur Anderson du meilleur livre d'entreprise 2000" Starting with games of chance, from which probability theory was born, Nicolas Bouleau explains how the financial markets operate, and demonstrates how the application of mathematics has turned finance into a high-tech business, as well as a formidable and efficient tool. The human side of finance is also considered, with a look at the influence of the trader and the working relationships that are woven into the market rooms. Concise and accessible, with no previous knowledge of finance or mathematics required, the aim of this book is simply to articulate the main ideas and put them into perspective, leading readers to a fresh understanding of this complex area.

Financial Markets and Martingales: Observations on Science and Speculation

Business & Money

Economics

Springer

Processus stochastiques et applications (French Edition)

Reference

Foreign Language Study & Reference

HERMANN

The Mathematics of Errors presents an original, rigorous and systematic approach to the calculus of errors, targeted at both the engineer and the mathematician. Starting from Gauss's original point of view, the book begins as an introduction suitable for graduate students, leading to recent developments in stochastic analysis and Malliavin calculus, including contributions by the author. Later chapters, aimed at a more mature audience, require some familiarity with stochastic calculus and Dirichlet forms. Sensitivity analysis, in particular, plays an important role in the book. Detailed applications in a range of fields, such as engineering, robotics, statistics, financial mathematics, climate science, or quantum mechanics are discussed through concrete examples. Throughout the book, error analysis is presented in a progressive manner, motivated by examples and appealing to the reader’s intuition.\nBy formalizing the intuitive concept of error and richly illustrating its scope for application, this book provides readers with a blueprint to apply advanced mathematics in practical settings. As such, it will be of immediate interest to engineers and scientists, whilst providing mathematicians with an original presentation. 
Nicolas Bouleau has directed the mathematics center of the Ecole des Ponts ParisTech for more than ten years. He is known for his theory of error propagation in complex models. After a degree in engineering and architecture, he decided to pursue a career in mathematics under the influence of Laurent Schwartz. He has also written on the production of knowledge, sustainable economics and mathematical models in finance. Nicolas Bouleau is a recipient of the Prix Montyon from the French Academy of Sciences.\nFrom the Back Cover\nThe Mathematics of Errors presents an original, rigorous and systematic approach to the calculus of errors, targeted at both the engineer and the mathematician. 
Starting from Gauss's original point of view, the book begins as an introduction suitable for graduate students, leading to recent developments in stochastic analysis and Malliavin calculus, including contributions by the author. Later chapters, aimed at a more mature audience, require some familiarity with stochastic calculus and Dirichlet forms. Sensitivity analysis, in particular, plays an important role in the book. Detailed applications in a range of fields, such as engineering, robotics, statistics, financial mathematics, climate science, or quantum mechanics are discussed through concrete examples. Throughout the book, error analysis is presented in a progressive manner, motivated by examples and appealing to the reader’s intuition.\nBy formalizing the intuitive concept of error and richly illustrating its scope for application, this book provides readers with a blueprint to apply advanced mathematics in practical settings. As such, it will be of immediate interest to engineers and scientists, whilst providing mathematicians with an original presentation.Nicolas Bouleau has directed the mathematics center of the Ecole des Ponts ParisTech for more than ten years. He is known for his theory of error propagation in complex models. After a degree in engineering and architecture, he decided to pursue a career in mathematics under the influence of Laurent Schwartz. He has also written on the production of knowledge, sustainable economics and mathematical models in finance. Nicolas Bouleau is a recipient of the Prix Montyon from the French Academy of Sciences.

The Mathematics of Errors

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.

Error Calculus for Finance and Physics: The Language of Dirichlet Forms (De Gruyter Expositions in Mathematics, 37)

de Gruyter

This richly illustrated book is an exploration of how chance and risk, on the one hand, and meaning or significance on the other, compete for the limelight in art, in philosophy, and in science. In modern society, prudence and probability calculation permeate our daily lives. Yet it is clear for all to see that neither cautious bank regulations nor mathematics have prevented economic crises from occurring time and again. Nicolas Bouleau argues that it is the meaning we assign to an event that determines the perceived risk, and that we generally turn a blind eye to this important fact, because the word "meaning" is itself awkward to explain. He tackles this fundamental question through examples taken from cultural fields ranging from painting, architecture, and music, to poetry, biology, and astronomy. This enables the reader to view overwhelming risks in a different light. Bouleau clarifies that the most important thing in a time of uncertainty is to think of prudence on a higher level, one that truly addresses the various subjective interpretations of the world.

Risk and Meaning: Adversaries in Art, Science and Philosophy

Arts & Photography

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