Stochastic Simulation and Applications in Finance with MATLAB Programs

System Simulation Techniques with MATLAB and Simulink comprehensively explains how to use MATLAB and Simulink to perform dynamic systems simulation tasks for engineering and non-engineering applications. This book begins with covering the fundamentals of MATLAB programming and applications, and the solutions to different mathematical problems in simulation. The fundamentals of Simulink modelling and simulation are then presented, followed by coverage of intermediate level modelling skills and more advanced techniques in Simulink modelling and applications. Finally the modelling and simulation of engineering and non-engineering systems are presented. The areas covered include electrical, electronic systems, mechanical systems, pharmacokinetic systems, video and image processing systems and discrete event systems. Hardware-in-the-loop simulation and real-time application are also discussed. Key features: Progressive building of simulation skills using Simulink, from basics through to advanced levels, with illustrations and examples Wide coverage of simulation topics of applications from engineering to non-engineering systems Dedicated chapter on hardware-in-the-loop simulation and real time control End of chapter exercises A companion website hosting a solution manual and powerpoint slides System Simulation Techniques with MATLAB and Simulink is a suitable textbook for senior undergraduate/postgraduate courses covering modelling and simulation, and is also an ideal reference for researchers and practitioners in industry.

This book covers the principles of modeling and simulation of nonlinear distortion in wireless communication systems with MATLAB simulations and techniques In this book, the author describes the principles of modeling and simulation of nonlinear distortion in single and multichannel wireless communication systems using both deterministic and stochastic signals. Models and simulation methods of nonlinear amplifiers explain in detail how to analyze and evaluate the performance of data communication links under nonlinear amplification. The book addresses the analysis of nonlinear systems with stochastic inputs and establishes the performance metrics of communication systems with regard to nonlinearity. In addition, the author also discusses the problem of how to embed models of distortion in system-level simulators such as MATLAB and MATLAB Simulink and provides practical techniques that professionals can use on their own projects. Finally, the book explores simulation and programming issues and provides a comprehensive reference of simulation tools for nonlinearity in wireless communication systems. Key Features: Covers the theory, models and simulation tools needed for understanding nonlinearity and nonlinear distortion in wireless systems Presents simulation and modeling techniques for nonlinear distortion in wireless channels using MATLAB Uses random process theory to develop simulation tools for predicting nonlinear system performance with real-world wireless communication signals Focuses on simulation examples of real-world communication systems under nonlinearity Includes an accompanying website containing MATLAB code This book will be an invaluable reference for researchers, RF engineers, and communication system engineers working in the field. Graduate students and professors undertaking related courses will also find the book of interest.

Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic when applying these techniques to practical issues in finance. Problems and Solutions in Mathematical Finance Volume I: Stochastic Calculus is the first of a four-volume set of books focusing on problems and solutions in mathematical finance. This volume introduces the reader to the basic stochastic calculus concepts required for the study of this important subject, providing a large number of worked examples which enable the reader to build the necessary foundation for more practical orientated problems in the later volumes. Through this application and by working through the numerous examples, the reader will properly understand and appreciate the fundamentals that underpin mathematical finance. Written mainly for students, industry practitioners and those involved in teaching in this field of study, Stochastic Calculus provides a valuable reference book to complement one’s further understanding of mathematical finance.

A unique guide to the design and implementation of simulation software This book offers a concise introduction to the art of building simulation software, collecting the most important concepts and algorithms in one place. Written for both individuals new to the field of modeling and simulation as well as experienced practitioners, this guide explains the design and implementation of simulation software used in the engineering of large systems while presenting the relevant mathematical elements, concept discussions, and code development. The book approaches the topic from the perspective of Zeigler's theory of modeling and simulation, introducing the theory's fundamental concepts and showing how to apply them to engineering problems. Readers will learn five necessary skills for building simulations of complicated systems: Working with fundamental abstractions for simulating dynamic systems Developing basic simulation algorithms for continuous and discrete event models Combining continuous and discrete event simulations into a coherent whole Applying strategies for testing a simulation Understanding the theoretical foundations of the modeling constructs and simulation algorithms The central chapters of the book introduce, explain, and demonstrate the elements of the theory that are most important for building simulation tools. They are bracketed by applications to robotics, control and communications, and electric power systems; these comprehensive examples clearly illustrate how the concepts and algorithms are put to use. Readers will explore the design of object-oriented simulation programs, simulation using multi-core processors, and the integration of simulators into larger software systems. The focus on software makes this book particularly useful for computer science and computer engineering courses in simulation that focus on building simulators. It is indispensable reading for undergraduate and graduate students studying modeling and simulation, as well as for practicing scientists and engineers involved in the development of simulation tools.

An extensive update to a classic text Stochastic geometry and spatial statistics play a fundamental role in many modern branches of physics, materials sciences, engineering, biology and environmental sciences. They offer successful models for the description of random two- and three-dimensional micro and macro structures and statistical methods for their analysis. The previous edition of this book has served as the key reference in its field for over 18 years and is regarded as the best treatment of the subject of stochastic geometry, both as a subject with vital applications to spatial statistics and as a very interesting field of mathematics in its own right. This edition: Presents a wealth of models for spatial patterns and related statistical methods. Provides a great survey of the modern theory of random tessellations, including many new models that became tractable only in the last few years. Includes new sections on random networks and random graphs to review the recent ever growing interest in these areas. Provides an excellent introduction to theory and modelling of point processes, which covers some very latest developments. Illustrate the forefront theory of random sets, with many applications. Adds new results to the discussion of fibre and surface processes. Offers an updated collection of useful stereological methods. Includes 700 new references. Is written in an accessible style enabling non-mathematicians to benefit from this book. Provides a companion website hosting information on recent developments in the field www.wiley.com/go/cskm Stochastic Geometry and its Applications is ideally suited for researchers in physics, materials science, biology and ecological sciences as well as mathematicians and statisticians. It should also serve as a valuable introduction to the subject for students of mathematics and statistics.

Quantitative Finance is expanding rapidly. One of the aspects of the recent financial crisis is that, given the complexity of financial products, the demand for people with high numeracy skills is likely to grow and this means more recognition will be given to Quantitative Finance in existing and new course structures worldwide. Evidence has suggested that many holders of complex financial securities before the financial crisis did not have in-house experts or rely on a third-party in order to assess the risk exposure of their investments. Therefore, this experience shows the need for better understanding of risk associate with complex financial securities in the future. The Mathematics of Derivative Securities with Applications in MATLAB provides readers with an introduction to probability theory, stochastic calculus and stochastic processes, followed by discussion on the application of that knowledge to solve complex financial problems such as pricing and hedging exotic options, pricing American derivatives, pricing and hedging under stochastic volatility and an introduction to interest rates modelling. The book begins with an overview of MATLAB and the various components that will be used alongside it throughout the textbook. Following this, the first part of the book is an in depth introduction to Probability theory, Stochastic Processes and Ito Calculus and Ito Integral. This is essential to fully understand some of the mathematical concepts used in the following part of the book. The second part focuses on financial engineering and guides the reader through the fundamental theorem of asset pricing using the Black and Scholes Economy and Formula, Options Pricing through European and American style options, summaries of Exotic Options, Stochastic Volatility Models and Interest rate Modelling. Topics covered in this part are explained using MATLAB codes showing how the theoretical models are used practically. Authored from an academic’s perspective, the book discusses complex analytical issues and intricate financial instruments in a way that it is accessible to postgraduate students with or without a previous background in probability theory and finance. It is written to be the ideal primary reference book or a perfect companion to other related works. The book uses clear and detailed mathematical explanation accompanied by examples involving real case scenarios throughout and provides MATLAB codes for a variety of topics.

An introduction to technical details related to the Physical Layer of the LTE standard with MATLAB® The LTE (Long Term Evolution) and LTE-Advanced are among the latest mobile communications standards, designed to realize the dream of a truly global, fast, all-IP-based, secure broadband mobile access technology. This book examines the Physical Layer (PHY) of the LTE standards by incorporating three conceptual elements: an overview of the theory behind key enabling technologies; a concise discussion regarding standard specifications; and the MATLAB® algorithms needed to simulate the standard. The use of MATLAB®, a widely used technical computing language, is one of the distinguishing features of this book. Through a series of MATLAB® programs, the author explores each of the enabling technologies, pedagogically synthesizes an LTE PHY system model, and evaluates system performance at each stage. Following this step-by-step process, readers will achieve deeper understanding of LTE concepts and specifications through simulations. Key Features: • Accessible, intuitive, and progressive; one of the few books to focus primarily on the modeling, simulation, and implementation of the LTE PHY standard • Includes case studies and testbenches in MATLAB®, which build knowledge gradually and incrementally until a functional specification for the LTE PHY is attained • Accompanying Web site includes all MATLAB® programs, together with PowerPoint slides and other illustrative examples Dr Houman Zarrinkoub has served as a development manager and now as a senior product manager with MathWorks, based in Massachusetts, USA. Within his 12 years at MathWorks, he has been responsible for multiple signal processing and communications software tools. Prior to MathWorks, he was a research scientist in the Wireless Group at Nortel Networks, where he contributed to multiple standardization projects for 3G mobile technologies. He has been awarded multiple patents on topics related to computer simulations. He holds a BSc degree in Electrical Engineering from McGill University and MSc and PhD degrees in Telecommunications from the Institut Nationale de la Recherche Scientifique, in Canada. www.wiley.com/go/zarrinkoub

Essential guidance for the corporate finance professional – advisor, Board Director, CFO, Treasurer, business development executive, or M&A expert—to ask the right questions and make the critical decisions. Strategic Corporate Finance is a practical guide to the key issues, their context, and their solutions. From performance measurement and capital planning to risk management and capital structure, Strategic Corporate Finance, translates principles of corporate finance theory into practical methods for implementing them. Filled with in-depth insights, expert advice, and detailed case studies, Strategic Corporate Finance will prepare you for the issues involved in raising, allocating and managing capital, and its associated risks. Justin Pettit (New York, NY) draws on his 15 years of senior advisory experience as an investment banker and management consultant. He advises corporate boards and executives on matters of capital structure, financial policy, valuation, and strategy. He also lectures on topics in advanced corporate finance to graduate and undergraduate students at universities in the New York area.

A ground-breaking and practical treatment of probability and stochastic processes A Modern Theory of Random Variation is a new and radical re-formulation of the mathematical underpinnings of subjects as diverse as investment, communication engineering, and quantum mechanics. Setting aside the classical theory of probability measure spaces, the book utilizes a mathematically rigorous version of the theory of random variation that bases itself exclusively on finitely additive probability distribution functions. In place of twentieth century Lebesgue integration and measure theory, the author uses the simpler concept of Riemann sums, and the non-absolute Riemann-type integration of Henstock. Readers are supplied with an accessible approach to standard elements of probability theory such as the central limmit theorem and Brownian motion as well as remarkable, new results on Feynman diagrams and stochastic integrals. Throughout the book, detailed numerical demonstrations accompany the discussions of abstract mathematical theory, from the simplest elements of the subject to the most complex. In addition, an array of numerical examples and vivid illustrations showcase how the presented methods and applications can be undertaken at various levels of complexity. A Modern Theory of Random Variation is a suitable book for courses on mathematical analysis, probability theory, and mathematical finance at the upper-undergraduate and graduate levels. The book is also an indispensible resource for researchers and practitioners who are seeking new concepts, techniques and methodologies in data analysis, numerical calculation, and financial asset valuation. Patrick Muldowney, PhD, served as lecturer at the Magee Business School of the UNiversity of Ulster for over twenty years. Dr. Muldowney has published extensively in his areas of research, including integration theory, financial mathematics, and random variation.