Continuous Time Processes for Finance

Name: Continuous Time Processes for Finance
Brand: Springer, Berlin
SKU: 9783031063633
Price: 592.82 PLN
Availability: InStock

Switching, Self-exciting, Fractional and other Recent Dynamics

Autor: Donatien Hainaut

Język:

Oprawa: Miękka

Wydawca: Springer, Berlin

Dostępność: Dostępna u dostawcy

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This book explores recent topics in quantitative finance with an emphasis on applications and calibr...

Informacje o książce

Autor

Donatien Hainaut

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2023

strony

345

EAN

9783031063633

Enbook ID

43844382

Wydawca

Springer, Berlin

Waga

618

Wymiary

155 x 235

Pełny opis

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.

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Continuous Time Processes for Finance

Switching, Self-exciting, Fractional and other Recent Dynamics

Informacje o książce

Pełny opis

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