標(biāo)題: Titlebook: Ambit Stochastics; Ole E. Barndorff-Nielsen,Fred Espen Benth,Almut E. Book 2018 Springer Nature Switzerland AG 2018 60G60, 60F05, 60H05, 6 [打印本頁] 作者: MOTE 時(shí)間: 2025-3-21 19:09
書目名稱Ambit Stochastics影響因子(影響力)
書目名稱Ambit Stochastics影響因子(影響力)學(xué)科排名
書目名稱Ambit Stochastics網(wǎng)絡(luò)公開度
書目名稱Ambit Stochastics網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Ambit Stochastics被引頻次
書目名稱Ambit Stochastics被引頻次學(xué)科排名
書目名稱Ambit Stochastics年度引用
書目名稱Ambit Stochastics年度引用學(xué)科排名
書目名稱Ambit Stochastics讀者反饋
書目名稱Ambit Stochastics讀者反饋學(xué)科排名
作者: 彎曲道理 時(shí)間: 2025-3-22 00:02 作者: Trochlea 時(shí)間: 2025-3-22 01:21
Die Rohstoffe der Emailfabrikationiavin calculus. We present the key results in the semimartingale and the nonsemimartingale case. The latter, particularly in the context of LSS rather than BSS processes, is still a relatively open area.作者: Gustatory 時(shí)間: 2025-3-22 07:06 作者: 誘騙 時(shí)間: 2025-3-22 09:49
H. Hortling,K. Malmio,L. Hiisi-Brummerrice dynamics. The chapter ends with a detailed study of spread option pricing, where we show that in the Gaussian case we recover a general version of the classical Margrabe formula, while in the Lévy case we can provide a Fourier-based expression for the price.作者: urethritis 時(shí)間: 2025-3-22 13:32 作者: cogent 時(shí)間: 2025-3-22 21:07
Integration with Respect to Volatility Modulated Volterra Processesm, the Malliavin derivative occurs. We derive a series of basic properties of the integral, before applying it to, among other things, volatility modulated Volterra process-driven Ornstein-Uhlenbeck processes, which again become of volatility modulated Volterra type.作者: abolish 時(shí)間: 2025-3-22 23:21 作者: SHOCK 時(shí)間: 2025-3-23 02:01
Die Rohstoffe der Emailfabrikation solve for the solution of this stochastic partial differential equation, where we can read off the simulated path of the volatility modulated Volterra process. Also for this scheme we can develop convergence results.作者: 草本植物 時(shí)間: 2025-3-23 06:58
Simulation solve for the solution of this stochastic partial differential equation, where we can read off the simulated path of the volatility modulated Volterra process. Also for this scheme we can develop convergence results.作者: EXTOL 時(shí)間: 2025-3-23 13:29
Book 2018f ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context...Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling..作者: Pituitary-Gland 時(shí)間: 2025-3-23 17:10 作者: 發(fā)微光 時(shí)間: 2025-3-23 21:34
Thorsten Kuthe,Madeleine Zipperlethod is based on a particular series expansion of the ambit field along a set of basis functions. We expand on this idea and view ambit fields as stochastic processes in a separable Hilbert space, where we establish a series representation of the fields as a countable sum of volatility modulated Volterra processes scaled by basis functions.作者: 設(shè)想 時(shí)間: 2025-3-24 00:39 作者: photophobia 時(shí)間: 2025-3-24 05:13 作者: Aids209 時(shí)間: 2025-3-24 08:58 作者: HEAVY 時(shí)間: 2025-3-24 10:49
Trawl Processesic processes in time, where the temporal dependence structure is specified through the ambit sets. An application to high-frequency financial time series data demonstrates the flexibility and attractiveness of trawl processes.作者: 檔案 時(shí)間: 2025-3-24 16:30 作者: Vldl379 時(shí)間: 2025-3-24 22:26
Simulation transform, where we express the kernel function in the volatility modulated Volterra process along a basis so that the simulation task essentially becomes a summation of a weighted series of complex-valued Ornstein-Uhlenbeck processes. In some cases we can use the Laplace transform instead, providi作者: attenuate 時(shí)間: 2025-3-25 01:57
Asymptotic Theory for Power Variation of LSS Processesiation techniques are used to draw inference on the integrated variance process. The theory is rather well-developed for semimartingales, in particular for the Brownian case, but some theory can also be developed for Lévy-driven models. Beyond the semimartingale framework, the asymptotic theory for 作者: 榨取 時(shí)間: 2025-3-25 05:02
Integration with Respect to Volatility Modulated Volterra Processeslculus. Indeed, the stochastic integral with respect to a volatility modulated Volterra process can be defined for a reasonably large class of (anticipative) stochastic integrand processes by a Skorohod stochastic integral and a classical Lebesgue integral over time. In both the integrals, an operat作者: 厭惡 時(shí)間: 2025-3-25 11:18 作者: 假裝是你 時(shí)間: 2025-3-25 14:10 作者: 混合,攙雜 時(shí)間: 2025-3-25 16:53 作者: 終止 時(shí)間: 2025-3-25 20:58 作者: BABY 時(shí)間: 2025-3-26 02:38
Turbulence Modellingal theory of homogeneous turbulence in view of volatility modulated Volterra processes and ambit fields. After a review of the statistical theory due to Kolmogorov-Obukhov, with a particular emphasis on scaling laws, we discuss ambit fields and various subclasses and their relevance to turbulence. I作者: Constitution 時(shí)間: 2025-3-26 05:38 作者: 沉積物 時(shí)間: 2025-3-26 09:22
Forward Curve Modelling by Ambit Fieldsrward price modelling. Indeed, we state general ambit field models with drift, where the spatial dimension is the delivery time of the forward contract. The ambit sets will have a simple form in our setting, and we derive explicit no-arbitrage conditions for the drift in both arithmetic and geometri作者: 整體 時(shí)間: 2025-3-26 12:58
Ambit Stochastics978-3-319-94129-5Series ISSN 2199-3130 Series E-ISSN 2199-3149 作者: 構(gòu)成 時(shí)間: 2025-3-26 18:47
Erratum to: Die Herstellung der Emailsh focus on the temporal dependency structure. Several examples are introduced, with particular emphasis on Brownian semistationary processes having generalised hyperbolic marginal distribution. Apart from examples of stochastic volatility processes, we also discuss time change as a tool for volatility modulation.作者: encomiast 時(shí)間: 2025-3-26 23:31 作者: Foam-Cells 時(shí)間: 2025-3-27 04:18
https://doi.org/10.1007/978-3-319-94129-560G60, 60F05, 60H05, 60H07, 60H15, 60H20, 60J75, 62F12; 62H11, 62M10, 62M30, 62P20, 62P35, 65C30, 76F作者: FELON 時(shí)間: 2025-3-27 06:56 作者: CHOIR 時(shí)間: 2025-3-27 13:14
Volatility Modulated Volterra Processesh focus on the temporal dependency structure. Several examples are introduced, with particular emphasis on Brownian semistationary processes having generalised hyperbolic marginal distribution. Apart from examples of stochastic volatility processes, we also discuss time change as a tool for volatility modulation.作者: 下級 時(shí)間: 2025-3-27 14:07 作者: 警告 時(shí)間: 2025-3-27 19:14
Erratum to: Die Herstellung der Emailsh focus on the temporal dependency structure. Several examples are introduced, with particular emphasis on Brownian semistationary processes having generalised hyperbolic marginal distribution. Apart from examples of stochastic volatility processes, we also discuss time change as a tool for volatili作者: Pigeon 時(shí)間: 2025-3-28 01:07 作者: 寬度 時(shí)間: 2025-3-28 04:27 作者: 尊嚴(yán) 時(shí)間: 2025-3-28 07:54 作者: 變化 時(shí)間: 2025-3-28 14:15 作者: ingestion 時(shí)間: 2025-3-28 14:37
Thorsten Kuthe,Madeleine Zipperlerinciple the approach is analogous to the simulation of volatility modulated Volterra processes, however, becoming much more technical due to the additional spatial dimension. In this technical chapter, we provide a full-blown theory for simulation using Fourier expansion with proofs. The Fourier me作者: 發(fā)酵劑 時(shí)間: 2025-3-28 21:25 作者: 比賽用背帶 時(shí)間: 2025-3-29 00:50
,Zusammenfassende Schlu?bemerkungen,evaluating a Lévy basis over stationary ambit sets. Trawl processes, although very simplistic, provide an amazingly rich family of stationary stochastic processes in time, where the temporal dependence structure is specified through the ambit sets. An application to high-frequency financial time ser作者: Spangle 時(shí)間: 2025-3-29 05:53 作者: 貞潔 時(shí)間: 2025-3-29 08:19 作者: 細(xì)胞學(xué) 時(shí)間: 2025-3-29 12:48 作者: COM 時(shí)間: 2025-3-29 16:51
Ole E. Barndorff-Nielsen,Fred Espen Benth,Almut E.Written by the leading experts in the field.Presents current state of the art.Provides theoretical foundations and presents applications in great detail作者: biopsy 時(shí)間: 2025-3-29 22:38
