00870cam0-2200313---450-99000419367040332120141013104909.084-7826-872-3000419367FED01000419367(Aleph)000419367FED0100041936719990604d1997----km-y0itay50------bacatES--------001ydAusiás Marchtextos i contextosedició a cura de Rafael Alemany FerrerBarcelonaPublicacions de l'Abadia de Montserrat1997408 p.20 cmMarch, Ausiàs849.912Alemany,RafaelITUNINARICAUNIMARCBK990004193670403321849.912 MARCH/S 9Bibl.27392FLFBCFLFBCAusiás March484158UNINA01338nam2-2200397---450 99000557237020331620200521184351.0000557237USA01000557237(ALEPH)000557237USA0100055723719981214d1976----|||y0itaa50------baitait0 00|||<<Vol. 27: >> Esposizioni sui Salmi. 3testo latino dell'edizione maurina ripresa sostanzialmente dal Corpus christianorumtraduzione, revisione e note illustrative a cura di Tommaso Mariucci, Vincenzo TarulliRomaCittà nuova19761472 p., 5 c. di tav.ill. col.24 cm0010005572312001<<Parte 3: >> Discorsi5ROMA230AUGUSTINUS,Aurelius<santo>152280TARULLI,VincenzoMARIUCCI,TommasoITSA20111219990005572370203316Dipar.to di Filosofia - SalernoDFAA 230 AUG3997 FILAA 230 AUG3997 FILBKFIL20121027USA01152520121027USA011614PATRY9020160519USA011517PATRY9020160519USA011517Esposizioni sui Salmi. 31132330UNISA04676nam 22007815 450 99648566130331620240221131905.09783031063619(electronic bk.)978303106360210.1007/978-3-031-06361-9(MiAaPQ)EBC7077617(Au-PeEL)EBL7077617(CKB)24739763000041(DE-He213)978-3-031-06361-9(PPN)26419277X(EXLCZ)992473976300004120220824d2022 u| 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierContinuous Time Processes for Finance[electronic resource] Switching, Self-exciting, Fractional and other Recent Dynamics /by Donatien Hainaut1st ed. 2022.Cham :Springer International Publishing :Imprint: Springer,2022.1 online resource (359 pages)Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,2039-148X ;12Print version: Hainaut, Donatien Continuous Time Processes for Finance Cham : Springer International Publishing AG,c2022 9783031063602 Preface -- Acknowledgements -- Notations -- 1. Switching Models: Properties and Estimation -- 2. Estimation of Continuous Time Processes by Markov Chain Monte Carlo -- 3. Particle Filtering and Estimation -- 4. Modeling of Spillover Effects in Stock Markets -- 5. Non-Markov Models for Contagion and Spillover -- 6. Fractional Brownian Motion -- 7. Gaussian Fields for Asset Prices -- 8. Lévy Interest Rate Models With a Long Memory -- 9. Affine Volterra Processes and Rough Models -- 10. Sub-Diffusion for Illiquid Markets -- 11. A Fractional Dupire Equation for Jump-Diffusions -- References.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.Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics,2039-148X ;12ProbabilitiesSocial sciencesMathematicsEconometricsActuarial scienceProbability TheoryMathematics in Business, Economics and FinanceEconometricsActuarial MathematicsQuantitative EconomicsFinancesthubModels matemàticsthubEstadística matemàticathubProcessos estocàsticsthubAnàlisi de sèries temporalsthubLlibres electrònicsthubProbabilities.Social sciencesMathematics.Econometrics.Actuarial science.Probability Theory.Mathematics in Business, Economics and Finance.Econometrics.Actuarial Mathematics.Quantitative Economics.FinancesModels matemàticsEstadística matemàticaProcessos estocàsticsAnàlisi de sèries temporals332.015195Hainaut Donatien781289MiAaPQMiAaPQMiAaPQ996485661303316Continuous Time Processes for Finance2908313UNISA