東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁 到查詢結果 [ author_sort:"hainaut, donatien." ]

切換: 標籤 | MARC模式 | ISBD

Continuous time processes for financ...

Hainaut, Donatien.

FindBook

Google Book

Amazon

博客來

Continuous time processes for finance = switching, self-exciting, fractional and other recent dynamics /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Continuous time processes for finance/ by Donatien Hainaut.
其他題名:	switching, self-exciting, fractional and other recent dynamics /
作者:	Hainaut, Donatien.
出版者:	Cham :Springer International Publishing : : 2022.,
面頁冊數:	xviii, 345 p. :ill., digital ;24 cm.
內容註:	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.
Contained By:	Springer Nature eBook
標題:	Finance - Statistical methods. -
電子資源:	https://doi.org/10.1007/978-3-031-06361-9
ISBN:	9783031063619

Continuous time processes for finance = switching, self-exciting, fractional and other recent dynamics /
Hainaut, Donatien.

Continuous time processes for financeswitching, self-exciting, fractional and other recent dynamics /[electronic resource] :by Donatien Hainaut. - Cham :Springer International Publishing :2022. - xviii, 345 p. :ill., digital ;24 cm. - Bocconi & Springer series, mathematics, statistics, finance and economics,v. 122039-148X ;. - Bocconi & Springer series, mathematics, statistics, finance and economics ;v. 12..

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.

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.

ISBN: 9783031063619

Standard No.: 10.1007/978-3-031-06361-9doiSubjects--Topical Terms:

578739
Finance
--Statistical methods.

LC Class. No.: HG176.5 / .H35 2022

Dewey Class. No.: 332.015195

Continuous time processes for finance = switching, self-exciting, fractional and other recent dynamics /
LDR:03112nmm a2200349 a 4500 001 2303437
003 DE-He213
005 20220824233153.0
007 cr nn 008maaau
008 230409s2022 sz s 0 eng d
020 $a 9783031063619 $q (electronic bk.)
020 $a 9783031063602 $q (paper)
024 7 $a 10.1007/978-3-031-06361-9 $2 doi
035 $a 978-3-031-06361-9
040 $a GP $c GP
041 0 $a eng
050 4 $a HG176.5 $b .H35 2022
072 7 $a PBT $2 bicssc
072 7 $a PBWL $2 bicssc
072 7 $a MAT029000 $2 bisacsh
072 7 $a PBT $2 thema
072 7 $a PBWL $2 thema
082 0 4 $a 332.015195 $2 23
090 $a HG176.5 $b .H152 2022
100 1 $a Hainaut, Donatien. $3 3453991
245 1 0 $a Continuous time processes for finance $h [electronic resource] : $b switching, self-exciting, fractional and other recent dynamics / $c by Donatien Hainaut.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2022.
300 $a xviii, 345 p. : $b ill., digital ; $c 24 cm.
490 1 $a Bocconi & Springer series, mathematics, statistics, finance and economics, $x 2039-148X ; $v v. 12
505 0 $a 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.
520 $a 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.
650 0 $a Finance $x Statistical methods. $3 578739
650 0 $a Finance $x Mathematical models. $3 578740
650 0 $a Time-series analysis. $3 532530
650 0 $a Stochastic processes. $3 520663
650 1 4 $a Probability Theory. $3 3538789
650 2 4 $a Mathematics in Business, Economics and Finance. $3 3538573
650 2 4 $a Econometrics. $3 542934
650 2 4 $a Actuarial Mathematics. $3 3599397
650 2 4 $a Quantitative Economics. $3 3538570
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer Nature eBook
830 0 $a Bocconi & Springer series, mathematics, statistics, finance and economics ; $v v. 12. $3 3604722
856 4 0 $u https://doi.org/10.1007/978-3-031-06361-9
950 $a Mathematics and Statistics (SpringerNature-11649)