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Continuous Time Processes for Finance [[electronic resource] ] : Switching, Self-exciting, Fractional and other Recent Dynamics / / by Donatien Hainaut
| Continuous Time Processes for Finance [[electronic resource] ] : Switching, Self-exciting, Fractional and other Recent Dynamics / / by Donatien Hainaut |
| Autore | Hainaut Donatien |
| Edizione | [1st ed. 2022.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2022 |
| Descrizione fisica | 1 online resource (359 pages) |
| Disciplina | 332.015195 |
| Collana | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics |
| Soggetto topico |
Probabilities
Social sciences - Mathematics Econometrics Actuarial science Probability Theory Mathematics in Business, Economics and Finance Actuarial Mathematics Quantitative Economics Finances Models matemàtics Estadística matemàtica Processos estocàstics Anàlisi de sèries temporals |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
9783031063619
9783031063602 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNISA-996485661303316 |
Hainaut Donatien
|
||
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Continuous Time Processes for Finance : Switching, Self-exciting, Fractional and other Recent Dynamics / / by Donatien Hainaut
| Continuous Time Processes for Finance : Switching, Self-exciting, Fractional and other Recent Dynamics / / by Donatien Hainaut |
| Autore | Hainaut Donatien |
| Edizione | [1st ed. 2022.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2022 |
| Descrizione fisica | 1 online resource (359 pages) |
| Disciplina | 332.015195 |
| Collana | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics |
| Soggetto topico |
Probabilities
Social sciences - Mathematics Econometrics Actuarial science Probability Theory Mathematics in Business, Economics and Finance Actuarial Mathematics Quantitative Economics Finances Models matemàtics Estadística matemàtica Processos estocàstics Anàlisi de sèries temporals |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
9783031063619
9783031063602 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910590077503321 |
|
Hainaut Donatien
|
||
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||