Continuous Time Processes for Finance
indgår i Bocconi & Springer Series serien
- Indbinding:
- Paperback
- Sideantal:
- 364
- Udgivet:
- 27. august 2023
- Udgave:
- 23001
- Størrelse:
- 155x19x235 mm.
- Vægt:
- 618 g.
- Ukendt - mangler pt..
Normalpris
Abonnementspris
- Rabat på køb af fysiske bøger
- 1 valgfrit digitalt ugeblad
- 20 timers lytning og læsning
- Adgang til 70.000+ titler
- Ingen binding
Abonnementet koster 75 kr./md.
Ingen binding og kan opsiges når som helst.
- 1 valgfrit digitalt ugeblad
- 20 timers lytning og læsning
- Adgang til 70.000+ titler
- Ingen binding
Abonnementet koster 75 kr./md.
Ingen binding og kan opsiges når som helst.
Beskrivelse af Continuous Time Processes for Finance
This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in the existing mathematical finance literature while it is crucial for risk management. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets. After a presentation of their mathematical features and applications to stocks and interest rates, the estimation with the Hamilton filter and Markov Chain Monte-Carlo algorithm (MCMC) is detailed. A second part focuses on self-excited processes for modeling the clustering of shocks in financial markets. These processes recently receive a lot of attention from researchers and we focus here on its econometric estimation and its simulation. A chapter is dedicated to estimation of stochastic volatility models. Two chapters are dedicated to the fractional Brownian motion and Gaussian fields. After a summary of their features, we present applications for stock and interest rate modeling. Two chapters focuses on sub-diffusions that allows to replicate illiquidity in financial markets. This book targets undergraduate students who have followed a first course of stochastic finance and practitioners as quantitative analyst or actuaries working in risk management.
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Bogen Continuous Time Processes for Finance findes i følgende kategorier:
- Business og læring > Økonomi og finans
- Økonomi, finans, erhvervsliv og ledelse > Økonomi > Økonomisk teori og filosofi
- Økonomi, finans, erhvervsliv og ledelse > Økonomi > Økonometri og økonomisk statistik
- Økonomi, finans, erhvervsliv og ledelse > Finans og regnskab > Finans > Forsikring og aktuarstudier
- Matematik og naturvidenskab > Matematik > Sandsynlighedsregning og statistik
- Matematik og naturvidenskab > Matematik > Anvendt matematik > Stokastik
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