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Continuous Time Processes for Finance

Name: Continuous Time Processes for Finance
Brand: Springer, Berlin
SKU: 43844382
Price: 167.49 EUR
Availability: InStock
Author: Donatien Hainaut
ISBN: 9783031063633

Switching, Self-exciting, Fractional and other Recent Dynamics

Donatien Hainaut

Idioma

Inglés

Libro Tapa blanda

Código Libristo: 43844382

Editores Springer, Berlin, noviembre 2022

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

Código Libristo: 43844382

410 b

167.49 €

50% de probabilidad Buscaremos por todo el mundo ¿Cuándo recibiré mi libro?

Política de devolución de 30 días

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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.