Continuous Time Processes for Finance

Name: Continuous Time Processes for Finance
Brand: Springer Nature
SKU: 9783031063619
Availability: InStock

Best Price:
Buy Continuous Time Processes for Finance for $119.00 at @ Link.springer.com
No coupon is required — this is the standard retail price.

Set a price drop alert to never miss an offer.

1 Offer Price Range: $119.00 - $119.00

BEST PRICE

Single Product Purchase

$119.00

@ Link.springer.com BUY Now

Price Comparison

Seller	Contact Seller	List Price	On Sale	Shipping	Best Promo	Final Price	Volume Discount	Financing	Availability	Seller's Page
BEST PRICE 1 Product Purchase @ Link.springer.com		$119.00	$119.00			$119.00		See Site	In stock	Visit Store

Product Details

Brand

Springer Nature

Manufacturer

N/A

Part Number

GTIN

9783031063619

Condition

New

Product Description

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.

Available Colors

N/A

Available Sizes

N/A