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William Shaw (born 14 May 1958) is a British mathematician, and formerly professor of the mathematics and computation of risk at University College London. [1] [2] He is a consultant on financial derivatives, an author of a primary book on using Mathematica to model financial derivatives, formerly co-Editor-in-Chief of the journal Applied Mathematical Finance.
In quantitative finance he is known in particular for his work on models based on jump processes, [15] the stochastic modelling of limit order books as queueing systems [16], [17] machine learning methods in finance [18] and the mathematical modelling of systemic risk. [19] [20] He was editor in chief of the Encyclopedia of Quantitative Finance ...
Fama–French three-factor model; Fama–MacBeth regression; Financial Modelers' Manifesto; Financial modeling; Financial models with long-tailed distributions and volatility clustering; Fuzzy pay-off method for real option valuation
Financial modeling is the task of building an abstract representation (a model) of a real world financial situation. [1] This is a mathematical model designed to represent (a simplified version of) the performance of a financial asset or portfolio of a business, project , or any other investment.
The Brownian motion models for financial markets are based on the work of Robert C. Merton and Paul A. Samuelson, as extensions to the one-period market models of Harold Markowitz and William F. Sharpe, and are concerned with defining the concepts of financial assets and markets, portfolios, gains and wealth in terms of continuous-time stochastic processes.
Steven Eugene Shreve is a mathematician and a University Professor Emeritus in the Department of Mathematical Sciences at Carnegie Mellon University.He was previously the Orion Hoch Professor of Mathematical Sciences, which he held from 2006 until his retirement. [1]