Noise theory and application to physics: from fluctuations to information

This is a unique approach to noise theory and its application to physical measurements that will find its place among the graduate course books. In a very systematic way, the foundations are laid and applied in a way that the book will also be useful to those not focusing on optics. Exercises and solutions help students to deepen their knowledge. INDICE: 1. The Binomial No-Arbitrage Pricing Model.1.1. One-Period Binomial Model.1.2. Multiperiod Binomial Model.1.3. Computational Considerations.1.4.Summary.1.5. Notes.1.6. Exercises.2. Probability Theory on Coin Toss Space.2.1. Finite Probability Spaces.2.2. Random Variables, Distributions, and Expectations.2.3. Conditional Expectations.2.4. Martingales.2.5. Markov Processes.2.6. Summary.2.7. Notes.2.8. Exercises.3. State Prices.3.1. Change of Measure.3.2. Radon-Nikod'ym Derivative Process.3.3. Capital Asset Pricing Model.3.4. Summary.3.5. Notes.3.6. Exercises.4. American Derivative Securities.4.1. Introduction.4.2. Non-Path-Dependent American Derivatives.4.3. Stopping Times.4.4. General American Derivatives.4.5. American Call Options.4.6. Summary.4.7. Notes.4.8. Exercises.5. Random Walk.5.1. Introduction.5.2. First Passage Times.5.3. Reflection Principle.5.4. Perpetual American Put: An Example.5.5. Summary.5.6. Notes.5.7. Exercises.6. Interest-Rate-Dependent Assets.6.1. Introduction.6.2. Binomial Model for Interest Rates.6.3. Fixed-Income Derivatives.6.4. Forward Measures.6.5. Futures.6.6. Summary.6.7. Notes.6.8. Exercises.Proof of Fundamental Properties of Conditional Expectations.References.Index.

• ISBN: 978-1-4419-1896-3
• Editorial: Springer
• Encuadernacion: Rústica
• Fecha Publicación: 31/03/2012
• Nº Volúmenes: 1
• Idioma: Inglés