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Continuous Time Processes for Finance : Switching, Self-exciting, Fractional and other Recent Dynamics / Donatien Hainaut
| Continuous Time Processes for Finance : Switching, Self-exciting, Fractional and other Recent Dynamics / Donatien Hainaut |
| Autore | Hainaut, Donatien |
| Pubbl/distr/stampa | Cham, : Bocconi university, : Springer, 2022 |
| Descrizione fisica | xviii, 345 p. : ill. ; 24 cm |
| Soggetto non controllato |
Econometrics
Fractional Brownian motion Gaussian fields Quantitative Finance Sub-diffusions Switching processes |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0276998 |
Hainaut, Donatien
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| Cham, : Bocconi university, : Springer, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Continuous Time Processes for Finance : Switching, Self-exciting, Fractional and other Recent Dynamics / Donatien Hainaut
| Continuous Time Processes for Finance : Switching, Self-exciting, Fractional and other Recent Dynamics / Donatien Hainaut |
| Autore | Hainaut, Donatien |
| Pubbl/distr/stampa | Cham, : Bocconi university, : Springer, 2022 |
| Descrizione fisica | xviii, 345 p. : ill. ; 24 cm |
| Soggetto non controllato |
Econometrics
Fractional Brownian motion Gaussian fields Quantitative Finance Sub-diffusions Switching processes |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN00276998 |
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Hainaut, Donatien
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| Cham, : Bocconi university, : Springer, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Fractional-in-Time Semilinear Parabolic Equations / Ciprian G. Gal, Mahamadi Warma
| Fractional-in-Time Semilinear Parabolic Equations / Ciprian G. Gal, Mahamadi Warma |
| Autore | Gal, Ciprian G. |
| Pubbl/distr/stampa | Cham, : Springer, 2020 |
| Descrizione fisica | xii, 184 p. : ill. ; 24 cm |
| Altri autori (Persone) | Warma, Mahamadi |
| Soggetto topico |
35-XX - Partial differential equations [MSC 2020]
35K90 - Abstract parabolic equations [MSC 2020] 35K20 - Initial-boundary value problems for second-order parabolic equations [MSC 2020] 35R11 - Fractional partial differential equations [MSC 2020] 35K58 - Semilinear parabolic equations [MSC 2020] 35K51 - Initial-boundary value problems for second-order parabolic systems [MSC 2020] |
| Soggetto non controllato |
Anomalous diffusion
Caputo fractional derivative Existence and regularity of solutions Fractional Brownian motion Fractional Laplace operator Fractional in time equations Lévy flight Partial differential equations Reaction-diffusion systems Schneider-Grey Brownian motion Semilinear parabolic equations |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0249178 |
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Gal, Ciprian G.
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| Cham, : Springer, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Fractional-in-Time Semilinear Parabolic Equations / Ciprian G. Gal, Mahamadi Warma
| Fractional-in-Time Semilinear Parabolic Equations / Ciprian G. Gal, Mahamadi Warma |
| Autore | Gal, Ciprian G. |
| Pubbl/distr/stampa | Cham, : Springer, 2020 |
| Descrizione fisica | xii, 184 p. : ill. ; 24 cm |
| Altri autori (Persone) | Warma, Mahamadi |
| Soggetto topico |
35-XX - Partial differential equations [MSC 2020]
35K20 - Initial-boundary value problems for second-order parabolic equations [MSC 2020] 35K51 - Initial-boundary value problems for second-order parabolic systems [MSC 2020] 35K58 - Semilinear parabolic equations [MSC 2020] 35K90 - Abstract parabolic equations [MSC 2020] 35R11 - Fractional partial differential equations [MSC 2020] |
| Soggetto non controllato |
Anomalous diffusion
Caputo fractional derivative Existence and regularity of solutions Fractional Brownian motion Fractional Laplace operator Fractional in time equations Lévy flight Partial differential equations Reaction-diffusion systems Schneider-Grey Brownian motion Semilinear parabolic equations |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN00249178 |
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Gal, Ciprian G.
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| Cham, : Springer, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Parameter Estimation in Stochastic Volatility Models / Jaya P. N. Bishwal
| Parameter Estimation in Stochastic Volatility Models / Jaya P. N. Bishwal |
| Autore | Bishwal, Jaya P. N. |
| Pubbl/distr/stampa | Cham, : Springer, 2022 |
| Descrizione fisica | xxx, 613 p. : ill. ; 24 cm |
| Soggetto non controllato |
Approximate maximum likelihood method
Asymptotic Theory Berry-Esseen bounds Discrete Observations Fractional Brownian motion Fractional Levy poses High-frequency data Ito stochastic differential equations Long memory Minimum contrast method Parameter Estimation Partially observed models Stochastic volatility models |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0277984 |
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Bishwal, Jaya P. N.
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| Cham, : Springer, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Parameter Estimation in Stochastic Volatility Models / Jaya P. N. Bishwal
| Parameter Estimation in Stochastic Volatility Models / Jaya P. N. Bishwal |
| Autore | Bishwal, Jaya P. N. |
| Pubbl/distr/stampa | Cham, : Springer, 2022 |
| Descrizione fisica | xxx, 613 p. : ill. ; 24 cm |
| Soggetto non controllato |
Approximate maximum likelihood method
Asymptotic Theory Berry-Esseen bounds Discrete Observations Fractional Brownian motion Fractional Levy poses High-frequency data Ito stochastic differential equations Long memory Minimum contrast method Parameter Estimation Partially observed models Stochastic volatility models |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN00277984 |
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Bishwal, Jaya P. N.
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| Cham, : Springer, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Selected Topics in Malliavin Calculus : Chaos, Divergence and So Much More / Laurent Decreusefond
| Selected Topics in Malliavin Calculus : Chaos, Divergence and So Much More / Laurent Decreusefond |
| Autore | Decreusefond, Laurent |
| Pubbl/distr/stampa | Cham, : Bocconi University, : Springer, 2022 |
| Descrizione fisica | xi, 172 p. : ill. ; 24 cm |
| Soggetto topico |
60-XX - Probability theory and stochastic processes [MSC 2020]
60Hxx - Stochastic analysis [MSC 2020] |
| Soggetto non controllato |
Brownian Motion
Fractional Brownian motion Malliavin Calculus Malliavin Gradient Poisson process Stein's method Wiener chaos Wiener space |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0278129 |
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Decreusefond, Laurent
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| Cham, : Bocconi University, : Springer, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Selected Topics in Malliavin Calculus : Chaos, Divergence and So Much More / Laurent Decreusefond
| Selected Topics in Malliavin Calculus : Chaos, Divergence and So Much More / Laurent Decreusefond |
| Autore | Decreusefond, Laurent |
| Pubbl/distr/stampa | Cham, : Bocconi University, : Springer, 2022 |
| Descrizione fisica | xi, 172 p. : ill. ; 24 cm |
| Soggetto topico |
60-XX - Probability theory and stochastic processes [MSC 2020]
60Hxx - Stochastic analysis [MSC 2020] |
| Soggetto non controllato |
Brownian Motion
Fractional Brownian motion Malliavin Calculus Malliavin Gradient Poisson process Stein's method Wiener chaos Wiener space |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN00278129 |
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Decreusefond, Laurent
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| Cham, : Bocconi University, : Springer, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Selfsimilar processes [[electronic resource] /] / Paul Embrechts and Makoto Maejima
| Selfsimilar processes [[electronic resource] /] / Paul Embrechts and Makoto Maejima |
| Autore | Embrechts Paul <1953-> |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, c2002 |
| Descrizione fisica | 1 online resource (123 p.) |
| Disciplina | 519.2/4 |
| Altri autori (Persone) | MaejimaMakoto |
| Collana | Princeton series in applied mathematics |
| Soggetto topico |
Distribution (Probability theory)
Self-similar processes |
| Soggetto non controllato |
Almost surely
Approximation Asymptotic analysis Autocorrelation Autoregressive conditional heteroskedasticity Autoregressive–moving-average model Availability Benoit Mandelbrot Brownian motion Central limit theorem Change of variables Computational problem Confidence interval Correlogram Covariance matrix Data analysis Data set Determination Fixed point (mathematics) Foreign exchange market Fractional Brownian motion Function (mathematics) Gaussian process Heavy-tailed distribution Heuristic method High frequency Inference Infimum and supremum Instance (computer science) Internet traffic Joint probability distribution Likelihood function Limit (mathematics) Linear regression Log–log plot Marginal distribution Mathematica Mathematical finance Mathematics Methodology Mixture model Model selection Normal distribution Parametric model Power law Probability theory Publication Random variable Regime Renormalization Result Riemann sum Self-similar process Self-similarity Simulation Smoothness Spectral density Square root Stable distribution Stable process Stationary process Stationary sequence Statistical inference Statistical physics Statistics Stochastic calculus Stochastic process Technology Telecommunication Textbook Theorem Time series Variance Wavelet Website |
| ISBN |
1-282-08759-2
9786612087592 1-4008-2510-5 1-4008-1424-3 |
| Classificazione | SK 820 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Contents -- Chapter 1. Introduction -- Chapter 2. Some Historical Background -- Chapter 3. Self similar Processes with Stationary Increments -- Chapter 4. Fractional Brownian Motion -- Chapter 5. Self similar Processes with Independent Increments -- Chapter 6. Sample Path Properties of Self similar Stable Processes with Stationary Increments -- Chapter 7. Simulation of Self similar Processes -- Chapter 8. Statistical Estimation -- Chapter 9. Extensions -- References -- Index |
| Record Nr. | UNINA-9910779907303321 |
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Embrechts Paul <1953->
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| Princeton, N.J., : Princeton University Press, c2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stochastic Analysis and Related Topics : A Festschrift in Honor of Rodrigo Bañuelos / Fabrice Baudoin, Jonathon Peterson editors
| Stochastic Analysis and Related Topics : A Festschrift in Honor of Rodrigo Bañuelos / Fabrice Baudoin, Jonathon Peterson editors |
| Pubbl/distr/stampa | Cham, : Birkhäuser, 2017 |
| Descrizione fisica | vii, 221 p. : ill. ; 24 cm |
| Soggetto topico |
60H07 - Stochastic calculus of variations and the Malliavin calculus [MSC 2020]
35K05 - Heat equation [MSC 2020] 60G51 - Processes with independent increments; Lévy processes [MSC 2020] 60H15 - Stochastic partial differential equations (aspects of stochastic analysis) [MSC 2020] 35K25 - Higher order parabolic equations [MSC 2020] 82-XX - Statistical mechanics, structure of matter [MSC 2020] 60G18 - Self-similar stochastic processes [MSC 2020] |
| Soggetto non controllato |
Brownian Motions
Fractional Brownian motion Heat Kernel estimates Lévy processes Partial differential equations Phase transitions Rough Paths |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0123988 |
| Cham, : Birkhäuser, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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