Continuous time processes for financ...
Hainaut, Donatien.

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  • Continuous time processes for finance = switching, self-exciting, fractional and other recent dynamics /
  • 紀錄類型: 書目-電子資源 : Monograph/item
    正題名/作者: Continuous time processes for finance/ by Donatien Hainaut.
    其他題名: switching, self-exciting, fractional and other recent dynamics /
    作者: Hainaut, Donatien.
    出版者: Cham :Springer International Publishing : : 2022.,
    面頁冊數: xviii, 345 p. :ill., digital ;24 cm.
    內容註: 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. Lévy 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.
    Contained By: Springer Nature eBook
    標題: Finance - Statistical methods. -
    電子資源: https://doi.org/10.1007/978-3-031-06361-9
    ISBN: 9783031063619
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W9444986 電子資源 11.線上閱覽_V 電子書 EB HG176.5 .H35 2022 一般使用(Normal) 在架 0
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