Continuous Time Processes for Finance
portes grátis
Continuous Time Processes for Finance
Switching, Self-exciting, Fractional and other Recent Dynamics
Hainaut, Donatien
Springer International Publishing AG
08/2022
345
Dura
Inglês
9783031063602
15 a 20 dias
798
Descrição não disponível.
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. Levy 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.
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Quantitative Finance;Econometrics;switching processes;fractional Brownian motion;Sub-diffusions;Gaussian fields
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. Levy 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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
