Error Calculus for Finance and Physics - The Language of Dirichlet Forms
von: Nicolas Bouleau
Walter de Gruyter GmbH & Co.KG, 2003
ISBN: 9783110199291
Sprache: Englisch
244 Seiten, Download: 1131 KB
Format: PDF, auch als Online-Lesen
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.
Nicolas Bouleau is Scientific Director at the École Nationale des Ponts, Champs-sur-Marne, France.