標題: Titlebook: Continuous Time Processes for Finance; Switching, Self-exci Donatien Hainaut Book 2022 The Editor(s) (if applicable) and The Author(s), und [打印本頁] 作者: 撒謊 時間: 2025-3-21 16:04
書目名稱Continuous Time Processes for Finance影響因子(影響力)
書目名稱Continuous Time Processes for Finance影響因子(影響力)學(xué)科排名
書目名稱Continuous Time Processes for Finance網(wǎng)絡(luò)公開度
書目名稱Continuous Time Processes for Finance網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Continuous Time Processes for Finance被引頻次
書目名稱Continuous Time Processes for Finance被引頻次學(xué)科排名
書目名稱Continuous Time Processes for Finance年度引用
書目名稱Continuous Time Processes for Finance年度引用學(xué)科排名
書目名稱Continuous Time Processes for Finance讀者反饋
書目名稱Continuous Time Processes for Finance讀者反饋學(xué)科排名
作者: 無可非議 時間: 2025-3-21 20:39
Volker Brühl,Wolfgang S. Singeralgorithm and apply it to fit a bivariate switching process to the S&P 500 and Nikkei indexes. This approach is combined with a particle filter in Chap. . and used in various contexts in subsequent chapters.作者: 懶鬼才會衰弱 時間: 2025-3-22 03:38
Vernetztes Denken in einer Werbeagentur. In statistical physics, this type of dynamic is modeled by a sub-diffusive Brownian motion. This process is obtained by observing a standard Brownian motion on a different scale of time. In this chapter, after introducing the detailed features of this stochastic clock, we show that the density of 作者: JAUNT 時間: 2025-3-22 08:23 作者: arboretum 時間: 2025-3-22 10:49 作者: lavish 時間: 2025-3-22 13:52
Switching Models: Properties and Estimation,s is a switching diffusion with a large number of regimes that are structured in order to limit the number of parameters. This chapter partly serves as introduction to Chap. . in which a multivariate extension is estimated by a Monte Carlo Markov Chain method.作者: lavish 時間: 2025-3-22 19:32 作者: 駁船 時間: 2025-3-23 00:06 作者: 把手 時間: 2025-3-23 02:11
Donatien HainautFocuses on the econometric estimation of continuous time processes.Contains original content on switching, self-excited processes.Gives an exhaustive presentation of sub-diffusions作者: regale 時間: 2025-3-23 06:59 作者: 表否定 時間: 2025-3-23 12:12 作者: 排斥 時間: 2025-3-23 14:26
Peter Gomez,Gilbert J. B. Probstand to replicate risks within the interest rates market. Three dominating frameworks coexist: short-term rate, forward rate, and the Libor market models. In this last approach, proposed by Brace et al., interest rates are driven by geometric diffusions.作者: Diskectomy 時間: 2025-3-23 19:28 作者: Cursory 時間: 2025-3-23 22:54
https://doi.org/10.1007/978-3-031-06361-9Quantitative Finance; Econometrics; switching processes; fractional Brownian motion; Sub-diffusions; Gaus作者: Asymptomatic 時間: 2025-3-24 03:25
978-3-031-06363-3The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerl作者: mastopexy 時間: 2025-3-24 08:13 作者: 貧窮地活 時間: 2025-3-24 12:48 作者: 無脊椎 時間: 2025-3-24 18:22 作者: Eeg332 時間: 2025-3-24 22:57 作者: 壓艙物 時間: 2025-3-25 01:17
https://doi.org/10.1007/978-3-322-88949-2 prices in nested models. Particle filtering is a simulation-based method approximating the likelihood of observations. This approach allows us to fit processes for which the probability density function does not admit any closed form expression. The first part of the chapter introduces particle fil作者: concentrate 時間: 2025-3-25 07:05 作者: NICE 時間: 2025-3-25 10:04 作者: Morphine 時間: 2025-3-25 13:52 作者: 相同 時間: 2025-3-25 16:58
Die Pipeline des Grobstrukturmodellsing securities. Assuming that asset returns are ruled by a Brownian motion with drift is convenient for mathematical developments. However, this model does not replicate the time dependence observed for some asset classes, as underlined by Willinger et al. (Finance Stoch 3:1–13, 1999). This point is作者: 信任 時間: 2025-3-25 21:15 作者: 錫箔紙 時間: 2025-3-26 03:52 作者: indecipherable 時間: 2025-3-26 08:18
Vernetztes Denken in einer Werbeagenturprocesses perfectly adapted for modeling illiquidity. In emerging or in small cap markets, the number of participants is often low, and thus transactions are sparse. The time series of stock prices in such conditions display characteristic periods in which they stay motionless. This phenomenon is al作者: 啜泣 時間: 2025-3-26 11:26
https://doi.org/10.1007/978-3-322-89072-6ns. Nevertheless, option pricing is a challenging task in this framework mainly because there is no analytical formula for options in the non-time-changed model. This chapter explores a new approach based on a fractional version of what is called Dupire’s equation (Dupire (Risk 7:18–20, 1994)), whic作者: 分離 時間: 2025-3-26 15:23 作者: 壯麗的去 時間: 2025-3-26 17:52 作者: hypnogram 時間: 2025-3-26 23:41 作者: 同步左右 時間: 2025-3-27 02:44
2039-1471 xhaustive presentation of sub-diffusionsThis 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 par作者: insincerity 時間: 2025-3-27 05:58
https://doi.org/10.1007/978-3-322-88949-2f a shock, increases as soon as a jump in price occurs. The influence of this jump on the intensity then decays exponentially over time. This chapter reviews the features of self-exciting jump-diffusions and provides the theoretical background to read Chap. . about non-Markov extensions of such processes.作者: Guileless 時間: 2025-3-27 10:41 作者: Albinism 時間: 2025-3-27 14:24
https://doi.org/10.1007/978-3-322-88949-2ith the Metropolis–Hastings procedure of Chap. . to estimate parameters. This approach, called the Particle Markov Chain Monte Carlo (PMCMC) algorithm, will be used in Chap. . to quantify illiquidity and in Chap. . to fit Volterra processes. The particle filter serves in Chap. . to estimate the sample path of jump intensity.作者: 宣誓書 時間: 2025-3-27 19:58
Test, Testbarkeit, Testautomat und Testboard the analytical tractability offered by stochastic calculus. This chapter fills a gap in the literature by providing a closed form expression of the moment generating function (mgf) of non-Markov self-exciting jump processes.作者: 寬敞 時間: 2025-3-27 23:39
Particle Filtering and Estimation,ith the Metropolis–Hastings procedure of Chap. . to estimate parameters. This approach, called the Particle Markov Chain Monte Carlo (PMCMC) algorithm, will be used in Chap. . to quantify illiquidity and in Chap. . to fit Volterra processes. The particle filter serves in Chap. . to estimate the sample path of jump intensity.作者: 不可比擬 時間: 2025-3-28 04:43
Non-Markov Models for Contagion and Spillover, the analytical tractability offered by stochastic calculus. This chapter fills a gap in the literature by providing a closed form expression of the moment generating function (mgf) of non-Markov self-exciting jump processes.作者: 欲望 時間: 2025-3-28 10:06
Book 2022glected 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 作者: 撫育 時間: 2025-3-28 13:50 作者: OATH 時間: 2025-3-28 16:08
Gaussian Fields for Asset Prices, one of the main motivations justifying the study of fractional Brownian motion (fBm) seen in Chap. .. Gaussian fields offer a natural extension of fBm in which the marginal distribution is Gaussian with various covariance structures.作者: 說明 時間: 2025-3-28 20:02 作者: 名字的誤用 時間: 2025-3-28 23:28
Switching Models: Properties and Estimation,hat this model fails to account for economic cycles because increments are independent and identically distributed. A reliable solution for modeling economic cycles consists in modulating the parameters of a basis process, e.g., a Brownian motion by a hidden Markov chain. This approach has received 作者: 短程旅游 時間: 2025-3-29 03:37
Estimation of Continuous Time Processes by Markov Chain Monte Carlo,carry out when the calculation of the likelihood is computationally intensive, as for instance in the multivariate extension of switching models of Chap. .. This chapter presents an alternative to maximum likelihood estimation based on a Bayesian learning paradigm. This estimation procedure, called 作者: Brocas-Area 時間: 2025-3-29 08:32 作者: ATRIA 時間: 2025-3-29 11:32 作者: Stress-Fracture 時間: 2025-3-29 16:17
Non-Markov Models for Contagion and Spillover,the occurrence of a shock depends on previous ones. In the most common specification, the intensity of jumps, that is akin to the instantaneous probability of a shock, increases as soon as a jump is observed. The influence of this jump on the intensity next decays with time according to a memory fun作者: 多山 時間: 2025-3-29 21:47
Fractional Brownian Motion,ltifractal process competes with GARCH models, whereas the Heston model of Chap. . achieves a better likelihood than the Black and Scholes model. On the other hand, models based on fractional Brownian motion (fBm) have emerged in recent years. For instance, in the rough Heston model, the volatility 作者: Ondines-curse 時間: 2025-3-30 00:19
Gaussian Fields for Asset Prices,ing securities. Assuming that asset returns are ruled by a Brownian motion with drift is convenient for mathematical developments. However, this model does not replicate the time dependence observed for some asset classes, as underlined by Willinger et al. (Finance Stoch 3:1–13, 1999). This point is
