東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Linked to FindBook

Google Book

Amazon

博客來

Urn models and their applications in finance

Record Type:	Electronic resources : Monograph/item
Title/Author:	Urn models and their applications in finance/ by Masato Hisakado.
Author:	Hisakado, Masato.
Published:	Singapore :Springer Nature Singapore : : 2025.,
Description:	xxiii, 269 p. :ill., digital ;24 cm.
[NT 15003449]:	Introduction -- Urn processes -- Urn process and Merton model in finance -- From urn process and Merton model to Poisson process.
Contained By:	Springer Nature eBook
Subject:	Distribution (Probability theory) -
Online resource:	https://doi.org/10.1007/978-981-96-3825-3
ISBN:	9789819638253

Urn models and their applications in finance
Hisakado, Masato.

Urn models and their applications in finance[electronic resource] /by Masato Hisakado. - Singapore :Springer Nature Singapore :2025. - xxiii, 269 p. :ill., digital ;24 cm.

Introduction -- Urn processes -- Urn process and Merton model in finance -- From urn process and Merton model to Poisson process.

This fascinating book begins with fundamental definitions and notations of urn models before moving on to stochastic processes and applications of urn models in the field of finance. The Pólya urn model is simple but has rich content and diverse applications because it includes correlations. Applications of Pólya models such as phase transitions in nonlinear Pólya models are studied here, and the relation between temporal correlation and phase transition is also discussed. In a continuous limit, the self-exciting negative binomial distribution model and Hawkes model, which has Poisson noise, can be obtained. In these models, it is possible to observe phase transition as a branching process, which is one of the absorption phase transitions. If connected urns are considered, the process can be extended to represent correlations between several urns, corresponding to complex networks among the urns and leading to consideration of how the network affects the urn processes. In this book, the method is applied to default portfolios, including correlations. In finance, correlation is an important issue in the clustering of a default, and several topics involving applications of urn models to risk assessment for default portfolios in finance are explained. Especially in default portfolios, some sectors affect many other sectors while other sectors do not; thus the origin of default contagion, a phenomenon to which urn models with networks are applied here.

ISBN: 9789819638253

Standard No.: 10.1007/978-981-96-3825-3doiSubjects--Topical Terms:

533179
Distribution (Probability theory)

LC Class. No.: QA273.6

Dewey Class. No.: 519.24

Urn models and their applications in finance
LDR:02576nmm a2200325 a 4500 001 2411460
003 DE-He213
005 20250604125755.0
006 m d
007 cr nn 008maaau
008 260204s2025 si s 0 eng d
020 $a 9789819638253 $q (electronic bk.)
020 $a 9789819638246 $q (paper)
024 7 $a 10.1007/978-981-96-3825-3 $2 doi
035 $a 978-981-96-3825-3
040 $a GP $c GP
041 0 $a eng
050 4 $a QA273.6
072 7 $a KFFM $2 bicssc
072 7 $a BUS027010 $2 bisacsh
072 7 $a KFFM $2 thema
082 0 4 $a 519.24 $2 23
090 $a QA273.6 $b .H673 2025
100 1 $a Hisakado, Masato. $3 3785968
245 1 0 $a Urn models and their applications in finance $h [electronic resource] / $c by Masato Hisakado.
260 $a Singapore : $b Springer Nature Singapore : $b Imprint: Springer, $c 2025.
300 $a xxiii, 269 p. : $b ill., digital ; $c 24 cm.
505 0 $a Introduction -- Urn processes -- Urn process and Merton model in finance -- From urn process and Merton model to Poisson process.
520 $a This fascinating book begins with fundamental definitions and notations of urn models before moving on to stochastic processes and applications of urn models in the field of finance. The Pólya urn model is simple but has rich content and diverse applications because it includes correlations. Applications of Pólya models such as phase transitions in nonlinear Pólya models are studied here, and the relation between temporal correlation and phase transition is also discussed. In a continuous limit, the self-exciting negative binomial distribution model and Hawkes model, which has Poisson noise, can be obtained. In these models, it is possible to observe phase transition as a branching process, which is one of the absorption phase transitions. If connected urns are considered, the process can be extended to represent correlations between several urns, corresponding to complex networks among the urns and leading to consideration of how the network affects the urn processes. In this book, the method is applied to default portfolios, including correlations. In finance, correlation is an important issue in the clustering of a default, and several topics involving applications of urn models to risk assessment for default portfolios in finance are explained. Especially in default portfolios, some sectors affect many other sectors while other sectors do not; thus the origin of default contagion, a phenomenon to which urn models with networks are applied here.
650 0 $a Distribution (Probability theory) $3 533179
650 0 $a Finance $x Statistical methods. $3 578739
650 1 4 $a Financial Engineering. $3 2191344
650 2 4 $a Stochastic Processes. $3 906873
650 2 4 $a Phase Transition and Critical Phenomena. $3 3606560
650 2 4 $a Network Research. $3 3595885
650 2 4 $a Financial Technology and Innovation. $3 3591723
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer Nature eBook
856 4 0 $u https://doi.org/10.1007/978-981-96-3825-3
950 $a Business and Management (SpringerNature-41169)