Téléchargez le livre : Continuous Time Processes for Finance

Continuous Time Processes for Finance

Switching, Self-exciting, Fractional and other Recent Dynamics
de

Éditeur :

Springer

Collection : Bocconi & Springer Series

Paru le : 2022-08-25

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 regi...
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Description du livre

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.

À propos

Auteur
Donatien Hainaut
Éditeur
Springer
Collection
Bocconi & Springer Series
Parution
2022-08-25
Pages
345 pages
EAN papier
9783031063602

Auteur(s) du livre


Defaut-Illustration Donatien Hainaut

Caractéristiques détaillées - droits

EAN PDF
9783031063619
Prix
147,69 €
Nombre pages copiables
3
Nombre pages imprimables
34
Taille du fichier
7598 Ko
Ce livre est accessible aux handicaps informations d'accessibilité
EAN EPUB
9783031063619
Prix
147,69 €
Nombre pages copiables
3
Nombre pages imprimables
34
Taille du fichier
39895 Ko
Ce livre est accessible aux handicaps informations d'accessibilité

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