Thomas Mikosch - Böcker

A Lvy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the pas...

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Empirical process techniques for independent data have been used for many years in statistics and probability theory. These techniques have proved very useful for studying asymptotic properties of parametric as well as non-parametric statistical p...

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Empirical process techniques for independent data have been used for many years in statistics and probability theory. These techniques have proved very useful for studying asymptotic properties of parametric as well as non-parametric statistical p...

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A Levy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the pa...

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Empirical process techniques for independent data have been used for many years in statistics and probability theory. These techniques have proved very useful for studying asymptotic properties of parametric as well as non-parametric statistical p...

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A Lvy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the pas...

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This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and ...

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In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variable...

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In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random var...

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In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variable...

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Oriental Jazz Improvisation; Microtonality and Harmony is a comprehensive study on setting Arabic, Turkish, and Northern Indian scales and modes into context and on blending and employing them in improvisation. It contains about two dozens of the ...

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"e;Offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount,...

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Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data, stock market shocks, risk management, ...) play an increasingly important role. This book set...

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The Handbook of Financial Time Series, edited by Andersen, Davis, Kreiss and Mikosch, is an impressive collection of survey articles by many of the leading contributors to the ?eld. These articles are mostly very clearly wr- ten and present a swee...

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The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robe...

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The second edition of this book contains both basic and more advanced - terial on non-life insurance mathematics. Parts I and II of the book cover the basic course of the 1rst edition; this text has changed very little. It aims at the undergraduat...

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The second edition of this book contains both basic and more advanced - terial on non-life insurance mathematics. Parts I and II of the book cover the basic course of the 1rst edition; this text has changed very little. It aims at the undergraduat...

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Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data, stock market shocks, risk management, ...) play an increasingly important role. This book set...

Läs mer »

Both in insurance and in finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data, stock market shocks, risk management, ...) play an increasingly important role. This book set...

Läs mer »

The Handbook of Financial Time Series, edited by Andersen, Davis, Kreiss and Mikosch, is an impressive collection of survey articles by many of the leading contributors to the ?eld. These articles are mostly very clearly wr- ten and present a swee...

Läs mer »

Modelling with the It integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory...

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Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theor...

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