LEADER 04678nam 22007935 450 001 9910590077503321 005 20240221131905.0 010 $a9783031063619$b(electronic bk.) 010 $z9783031063602 024 7 $a10.1007/978-3-031-06361-9 035 $a(MiAaPQ)EBC7077617 035 $a(Au-PeEL)EBL7077617 035 $a(CKB)24739763000041 035 $a(DE-He213)978-3-031-06361-9 035 $a(PPN)26419277X 035 $a(EXLCZ)9924739763000041 100 $a20220824d2022 u| 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aContinuous Time Processes for Finance $eSwitching, Self-exciting, Fractional and other Recent Dynamics /$fby Donatien Hainaut 205 $a1st ed. 2022. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2022. 215 $a1 online resource (359 pages) 225 1 $aBocconi & Springer Series, Mathematics, Statistics, Finance and Economics,$x2039-148X ;$v12 311 08$aPrint version: Hainaut, Donatien Continuous Time Processes for Finance Cham : Springer International Publishing AG,c2022 9783031063602 327 $aPreface -- 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. 330 $aThis book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in the existing mathematical finance literature while it is crucial for risk management. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets. After a presentation of their mathematical features and applications to stocks and interest rates, the estimation with the Hamilton filter and Markov Chain Monte-Carlo algorithm (MCMC) is detailed. A second part focuses on self-excited processes for modeling the clustering of shocks in financial markets. These processes recently receive a lot of attention from researchers and we focus here on its econometric estimation and its simulation. A chapter is dedicated to estimation of stochastic volatility models. Two chapters are dedicated to the fractional Brownian motion and Gaussian fields. After a summary of their features, we present applications for stock and interest rate modeling. Two chapters focuses on sub-diffusions that allows to replicate illiquidity in financial markets. This book targets undergraduate students who have followed a first course of stochastic finance and practitioners as quantitative analyst or actuaries working in risk management. 410 0$aBocconi & Springer Series, Mathematics, Statistics, Finance and Economics,$x2039-148X ;$v12 606 $aProbabilities 606 $aSocial sciences$xMathematics 606 $aEconometrics 606 $aActuarial science 606 $aProbability Theory 606 $aMathematics in Business, Economics and Finance 606 $aEconometrics 606 $aActuarial Mathematics 606 $aQuantitative Economics 606 $aFinances$2thub 606 $aModels matemātics$2thub 606 $aEstadística matemātica$2thub 606 $aProcessos estocāstics$2thub 606 $aAnālisi de sčries temporals$2thub 608 $aLlibres electrōnics$2thub 615 0$aProbabilities. 615 0$aSocial sciences$xMathematics. 615 0$aEconometrics. 615 0$aActuarial science. 615 14$aProbability Theory. 615 24$aMathematics in Business, Economics and Finance. 615 24$aEconometrics. 615 24$aActuarial Mathematics. 615 24$aQuantitative Economics. 615 7$aFinances 615 7$aModels matemātics 615 7$aEstadística matemātica 615 7$aProcessos estocāstics 615 7$aAnālisi de sčries temporals 676 $a332.015195 676 $a332.015195 700 $aHainaut$b Donatien$0781289 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 912 $a9910590077503321 996 $aContinuous Time Processes for Finance$92908313 997 $aUNINA