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Discrete-time approximations and limit theorems : in applications to financial markets / / Yuliya Mishura, Kostiantyn Ralchenko
| Discrete-time approximations and limit theorems : in applications to financial markets / / Yuliya Mishura, Kostiantyn Ralchenko |
| Autore | Mishura I︠U︡lii︠a︡ S. |
| Pubbl/distr/stampa | Berlin, Germany : , : Walter de Gruyter GmbH, , [2022] |
| Descrizione fisica | 1 online resource (XVI, 374 p.) |
| Disciplina | 003 |
| Collana | De Gruyter series in probability and stochastics |
| Soggetto topico |
Discrete-time systems
Finance - Mathematical models |
| ISBN |
3-11-065299-4
3-11-065424-5 |
| Classificazione | SK 980 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Introduction -- Contents -- Abbreviations and notations -- 1 Financial markets. From discrete to continuous time -- 2 Rate of convergence of asset and option prices -- 3 Limit theorems for markets with non-random time-varying coefficients -- 4 Convergence of stochastic integrals in application to financial markets -- A Essentials of calculus, probability, and stochastic processes -- Bibliography -- Index |
| Record Nr. | UNINA-9910554262703321 |
Mishura I︠U︡lii︠a︡ S.
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| Berlin, Germany : , : Walter de Gruyter GmbH, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Fractional brownian motion : approximations and projections / / Oksana Banna, [and three others]
| Fractional brownian motion : approximations and projections / / Oksana Banna, [and three others] |
| Autore | Banna Oksana |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : ISTE : , : Wiley, , 2019 |
| Descrizione fisica | 1 online resource (293 pages) |
| Disciplina | 530.475 |
| Soggetto topico |
Brownian motion processes
Martingales (Mathematics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-47677-1
1-119-61033-8 1-119-61034-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910555094403321 |
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Banna Oksana
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| Hoboken, New Jersey : , : ISTE : , : Wiley, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Fractional brownian motion : approximations and projections / / Oksana Banna, [and three others]
| Fractional brownian motion : approximations and projections / / Oksana Banna, [and three others] |
| Autore | Banna Oksana |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : ISTE : , : Wiley, , 2019 |
| Descrizione fisica | 1 online resource (293 pages) |
| Disciplina | 530.475 |
| Soggetto topico |
Brownian motion processes
Martingales (Mathematics) |
| ISBN |
1-119-47677-1
1-119-61033-8 1-119-61034-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910830236503321 |
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Banna Oksana
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| Hoboken, New Jersey : , : ISTE : , : Wiley, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Parameter Estimation in Fractional Diffusion Models / / by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
| Parameter Estimation in Fractional Diffusion Models / / by Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko |
| Autore | Kubilius Kęstutis |
| Edizione | [1st ed. 2017.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 |
| Descrizione fisica | 1 online resource (XIX, 390 p. 17 illus., 2 illus. in color.) |
| Disciplina | 530.475 |
| Collana | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics |
| Soggetto topico |
Probabilities
Statistics Probability Theory Statistical Theory and Methods |
| ISBN |
9783319710303
3319710303 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1 Description and properties of the basic stochastic models -- 2 The Hurst index estimators for a fractional Brownian motion -- 3 Estimation of the Hurst index from the solution of a stochastic differential equation -- 4 Parameter estimation in the mixed models via power variations -- 5 Drift parameter estimation in diffusion and fractional diffusion models -- 6 The extended Orey index for Gaussian processes -- 7 Appendix A: Selected facts from mathematical and functional analysis -- 8 Appendix B: Selected facts from probability, stochastic processes and stochastic calculus. |
| Record Nr. | UNINA-9910255456703321 |
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Kubilius Kęstutis
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| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||