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This text is a comprehensive treatment of the Asset Pricing Theory, based on the assumption that returns are distributed non-normally. More general models are also considered and the corresponding formulae are derived, and it describes estimation techniques and presents empirical applications.
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Written by the leading experts in computational materials science, this handy reference concisely reviews the most important aspects of plasticity modeling: constitutive laws, phase transformations, texture methods, continuum approaches and damage mechanisms. As a result, it provides the knowledge needed to avoid failures in critical systems udner mechanical load. With its various application examples to micro- and macrostructure mechanics, this is an invaluable resource for mechanical engineers as well as for researchers wanting to improve on this method and extend its outreach.
This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions. A tempered stable distribution is one which takes a stable distribution and modifies its tails to make them lighter. The motivation for this class comes from the fact that infinite variance stable distributions appear to provide a good fit to data in a variety of situations, but the extremely heavy tails of these models are not realistic for most real world applications. The idea of using distributions that modify the tails of stable models to make them lighter seems to have originated in the influential paper of Mantegna and Stanley (1994). Since then, these distributions have been extended and generalized in a variety of ways. They have been applied to a wide variety of areas including mathematical finance, biostatistics,computer science, and physics.
A systematic discussion of the fundamental principles, written by a leading contributor to the field.
This volume focuses on the modulation of biological membranes by specific biophysical properties. The readers are introduced to emerging biophysical approaches that mimick specific states (like membrane lipid asymmetry, membrane curvature, lipid flip-flop, lipid phase separation) that are relevant to the functioning of biological membranes. The first chapter describes innovative methods to mimic the prevailing asymmetry in biological membranes by forming asymmetrical membranes made of monolayers with different compositions. One of the chapters illustrates how physical parameters, like curvature and elasticity, can affect and modulate the interactions between lipids and proteins. This volume also describes the sensitivity of certain ion channels to mechanical forces and it presents an analysis of how cell shape is determined by both the cytoskeleton and the lipid domains in the membrane. The last chapter provides evidence that liposomes can be used as a minimal cellular model to reconstitute processes related to the origin of life. Each topic covered in this volume is presented by leading experts in the field who are able to present clear, authoritative and up-to-date reviews. The novelty of the methods proposed and their potential for a deeper molecular description of membrane functioning are particularly relevant experts in the areas of biochemistry, biophysics and cell biology, while also presenting clear and thorough introductions, making the material suitable for students in these fields as well.
During a century, from the Van der Waals mean field description (1874) of gases to the introduction of renormalization group (RG techniques 1970), thermodynamics and statistical physics were just unable to account for the incredible universality which was observed in numerous critical phenomena. The great success of RG techniques is not only to solve perfectly this challenge of critical behaviour in thermal transitions but to introduce extremely useful tools in a wide field of daily situations where a system exhibits scale invariance. The introduction of scaling, scale invariance and universality concepts has been a significant turn in modern physics and more generally in natural sciences. Since then, a new "physics of scaling laws and critical exponents", rooted in scaling approaches, allows quantitative descriptions of numerous phenomena, ranging from phase transitions to earthquakes, polymer conformations, heartbeat rhythm, diffusion, interface growth and roughening, DNA sequence, dynamical systems, chaos and turbulence. The chapters are jointly written by an experimentalist and a theorist. This book aims at a pedagogical overview, offering to the students and researchers a thorough conceptual background and a simple account of a wide range of applications. It presents a complete tour of both the formal advances and experimental results associated with the notion of scaling, in physics, chemistry and biology.
This book shows how quantitative central limit theorems can be deduced by combining two powerful probabilistic techniques: Stein's method and Malliavin calculus.