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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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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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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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Selfsimilar processes / / Paul Embrechts and Makoto Maejima
| Selfsimilar processes / / 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-9910821203803321 |
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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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Stochastic calculus for fractional Brownian motion and related processes / Yuliya S. Mishura
| Stochastic calculus for fractional Brownian motion and related processes / Yuliya S. Mishura |
| Autore | Mishura, Yuliya S. |
| Pubbl/distr/stampa | Berlin, : Springer, 2008 |
| Descrizione fisica | XVII, 393 p. ; 24 cm |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
60Gxx - Stochastic processes [MSC 2020] |
| Soggetto non controllato |
Financial markets
Fractional Brownian motion Maxima Probability Theory Statistical inference Stochastic Calculus Stochastic differential equations Stochastic integration |
| ISBN | 978-35-407-5872-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0065597 |
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Mishura, Yuliya S.
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| Berlin, : Springer, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Séminaire de Probabilités 38. / M. Émery, M. Ledoux, M. Yor (eds.)
| Séminaire de Probabilités 38. / M. Émery, M. Ledoux, M. Yor (eds.) |
| Pubbl/distr/stampa | Berlin, : Springer, 2005 |
| Descrizione fisica | IX, 392 p. ; 24 cm |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
60Jxx - Markov processes [MSC 2020] 60Gxx - Stochastic processes [MSC 2020] |
| Soggetto non controllato |
Brownian Motions
Fractional Brownian motion Gaussian processes Local time Lévy processes Markov Processes Martingales Ornstein-Uhlenbeck process Predictable process Probability Random Walks Random variables Stochastic processes Stochastic profiltration |
| ISBN | 978-35-402-3973-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0055777 |
| Berlin, : Springer, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Séminaire de probabilités 40. / Catherine Donati-Martin ... [et al.]
| Séminaire de probabilités 40. / Catherine Donati-Martin ... [et al.] |
| Pubbl/distr/stampa | Berlin, : Springer, 2007 |
| Descrizione fisica | XI, 481 p. ; 24 cm |
| Soggetto topico |
60Hxx - Stochastic analysis [MSC 2020]
60Jxx - Markov processes [MSC 2020] 60Gxx - Stochastic processes [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] |
| Soggetto non controllato |
Calculus
Fractional Brownian motion Local time-space Maxima Probability Stochastic Calculus Stochastic finance Stochastic processes |
| ISBN | 978-35-407-1188-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0061355 |
| Berlin, : Springer, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Séminaire de probabilités 41. / Catherine Donati-Martin ... [et al.]
| Séminaire de probabilités 41. / Catherine Donati-Martin ... [et al.] |
| Pubbl/distr/stampa | Berlin, : Springer, 2008 |
| Descrizione fisica | IX, 462 p. ; 24 cm |
| Soggetto topico | 60-XX - Probability theory and stochastic processes [MSC 2020] |
| Soggetto non controllato |
Brownian Motions
Càdlàg Financial probability Fractional Brownian motion Law of the iterated logarithm Local martingale Local time Lévy processes Markov Kernel Markov additive process Martingales Matrix theory Quadratic variation Random Walks Stochastic processes |
| ISBN | 978-35-407-7912-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0065634 |
| Berlin, : Springer, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Séminaire de Probabilités 43. / Catherine Donati-Martin, Antoine Lajay, Alain Rouault editors
| Séminaire de Probabilités 43. / Catherine Donati-Martin, Antoine Lajay, Alain Rouault editors |
| Autore | Seminaire de probabilites : 43. |
| Pubbl/distr/stampa | Berlin, : Springer, 2011 |
| Descrizione fisica | XI, 503 p. : ill. ; 24 cm |
| Soggetto topico | 60-XX - Probability theory and stochastic processes [MSC 2020] |
| Soggetto non controllato |
Fractional Brownian motion
Free probability Martingale theory Stochastic differential geometry Stochastic processes |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0086893 |
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Seminaire de probabilites : 43.
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| Berlin, : Springer, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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