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Continuous Time Processes for Finance

Name: Continuous Time Processes for Finance
Brand: Springer International Publishing AG
SKU: 9783031063602
Price: 3759 CZK
Availability: InStock

Switching, Self-exciting, Fractional and other Recent Dynamics

Autor: Donatien Hainaut

Jazyk:

Vazba: Pevná

Vydavatel: Springer International Publishing AG

Dostupnost: Skladem u dodavatele v malém množství

Odesíláme za 9-15 dnů

3 759 Kč

This book explores recent topics in quantitative finance with an emphasis on applications and calibr...

Informace o knize

Autor

Donatien Hainaut

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2022

Stránek

345

EAN

9783031063602

Enbook ID

39121855

Vydavatel

Springer International Publishing AG

Hmotnost

798

Rozměry

155 x 235 x 24

Kompletní popis

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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Continuous Time Processes for Finance

Switching, Self-exciting, Fractional and other Recent Dynamics

Informace o knize

Kompletní popis

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