| 书目名称 | Continuous Time Processes for Finance |
| 副标题 | Switching, Self-exci |
| 编辑 | Donatien Hainaut |
| 视频video | http://file.papertrans.cn/238/237025/237025.mp4 |
| 概述 | Focuses on the econometric estimation of continuous time processes.Contains original content on switching, self-excited processes.Gives an exhaustive presentation of sub-diffusions |
| 丛书名称 | Bocconi & Springer Series |
| 图书封面 |  |
| 描述 | 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 student |
| 出版日期 | Book 2022 |
| 关键词 | Quantitative Finance; Econometrics; switching processes; fractional Brownian motion; Sub-diffusions; Gaus |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-031-06361-9 |
| isbn_softcover | 978-3-031-06363-3 |
| isbn_ebook | 978-3-031-06361-9Series ISSN 2039-1471 Series E-ISSN 2039-148X |
| issn_series | 2039-1471 |
| copyright | The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerl |
|Archiver|手机版|小黑屋|
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