Continuous Time Processes for Finance: Switching, Self-exciting, Fractional and other Recent Dynamics: 12 (Bocconi & Springer Series, 12) - Image 1

£94.74

Springer Continuous Time Processes for Finance: Switching, Self-exciting, Fractional and other Recent Dynamics: 12 (Bocconi & Springer Series, 12)

Name: Continuous Time Processes for Finance: Switching, Self-exciting, Fractional and other Recent Dynamics: 12 (Bocconi & Springer Series, 12)
Brand: Springer
Price: 100.85 GBP
Availability: InStock

Econometrics

Price History & Forecast

Last 36 days • 36 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 36 days • 2 price levels

Days at Price

Current Price

Price Analysis

Most common price: £95 (26 days, 72.2%)

Price range: £95 - £101

Price levels: 2 different prices over 36 days

Description

This 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.

Product Specifications

Brand: Springer
Format: hardcover
ASIN: 3031063600
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 26 August 2022
Listed Since: 13 April 2022

Barcode

No barcode data available

Springer Continuous Time Processes for Finance: Switching, Self-exciting, Fractional and other Recent Dynamics: 12 (Bocconi & Springer Series, 12)

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

The Economics of Continuous–Time Finance (The MIT Press)

Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

Stochastic Processes and Financial Mathematics: 1 (Mathematics Study Resources, 1)

Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)

Springer Applied Stochastic Models and Control for Finance

Stochastic Processes and Calculus: An Elementary Introduction with Applications (Springer Texts in Business and Economics)

Springer Change of Time Methods in Quantitative Finance Book

Stochastic Volatility and Realized Stochastic Volatility Models (SpringerBriefs in Statistics)

Mathematical Finance (Springer Finance)

Springer Applied Stochastic Models and Control for Finance

Asset Pricing: Modeling and Estimation (Springer Finance)

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Deterministic And Stochastic Topics In Computational Finance

Derivative Security Pricing: Techniques, Methods and Applications: 21 (Dynamic Modeling and Econometrics in Economics and Finance, 21)

Derivative Security Pricing: Techniques, Methods and Applications: 21 (Dynamic Modeling and Econometrics in Economics and Finance, 21)

Stochastic Finance: An Introduction in Discrete Time (De Gruyter Textbook)

Machine Learning in Finance: From Theory to Practice

Machine Learning in Finance: From Theory to Practice

Essentials of Stochastic Processes (Springer Texts in Statistics)

Stochastic Calculus via Regularizations: 11 (Bocconi & Springer Series, 11)

Essentials of Stochastic Processes (Springer Texts in Statistics)

Stochastic Calculus via Regularizations: 11 (Bocconi & Springer Series, 11)

Springer - Discretization of Processes: 67 (Stochastic Modelling)

Discretization of Processes: 67 (Stochastic Modelling and Applied Probability, 67)