Sergio Focardi – författare
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6 produkter
6 produkter
Inbunden, Engelska, 2016
668 kr
Skickas inom 10-15 vardagar
Fractional Calculus and Fractional Processes with Applications to Financial Economics presents the theory and application of fractional calculus and fractional processes to financial data. Fractional calculus dates back to 1695 when Gottfried Wilhelm Leibniz first suggested the possibility of fractional derivatives. Research on fractional calculus started in full earnest in the second half of the twentieth century. The fractional paradigm applies not only to calculus, but also to stochastic processes, used in many applications in financial economics such as modelling volatility, interest rates, and modelling high-frequency data. The key features of fractional processes that make them interesting are long-range memory, path-dependence, non-Markovian properties, self-similarity, fractal paths, and anomalous diffusion behaviour. In this book, the authors discuss how fractional calculus and fractional processes are used in financial modelling and finance economic theory. It provides a practical guide that can be useful for students, researchers, and quantitative asset and risk managers interested in applying fractional calculus and fractional processes to asset pricing, financial time-series analysis, stochastic volatility modelling, and portfolio optimization.
Provides the necessary background for the book's content as applied to financial economics Analyzes the application of fractional calculus and fractional processes from deterministic and stochastic perspectives
E-bok
Engelska, 2016790 kr
Läs direkt efter köp
Fractional Calculus and Fractional Processes with Applications to Financial Economics presents the theory and application of fractional calculus and fractional processes to financial data. Fractional calculus dates back to 1695 when Gottfried Wilhelm Leibniz first suggested the possibility of fractional derivatives. Research on fractional calculus started in full earnest in the second half of the twentieth century. The fractional paradigm applies not only to calculus, but also to stochastic processes, used in many applications in financial economics such as modelling volatility, interest rates, and modelling high-frequency data. The key features of fractional processes that make them interesting are long-range memory, path-dependence, non-Markovian properties, self-similarity, fractal paths, and anomalous diffusion behaviour. In this book, the authors discuss how fractional calculus and fractional processes are used in financial modelling and finance economic theory. It provides a practical guide that can be useful for students, researchers, and quantitative asset and risk managers interested in applying fractional calculus and fractional processes to asset pricing, financial time-series analysis, stochastic volatility modelling, and portfolio optimization.- Provides the necessary background for the book''s content as applied to financial economics- Analyzes the application of fractional calculus and fractional processes from deterministic and stochastic perspectives
Häftad, Engelska, 2026
668 kr
Skickas inom 7-10 vardagar
Häftad, Engelska, 2026
580 kr
Kommande
A comprehensive look at causality’s theoretical and practical aspects in economics and finance.In Causal Modeling for Finance and Business, Frank Fabozzi and Sergio Focardi offer a foundation for understanding causal relationships and their importance in complex systems. Topics include the theory of graphs, probabilistic frameworks, structural causal models, algorithms for learning causal structures, and the empirical testing of these models.The book emphasizes applying and deploying causal models in real-world business and investment scenarios. However, it also offers a novel theoretical perspective on causal modeling. Fabozzi and Focardi argue that causation is not a law of nature, but a characteristic of causal systems. If we accept the modern idea of causation as manipulability, causal systems are characterized by causal relationships as well as purely descriptive functional relationships.With these arguments in mind, the book addresses a critical gap in understanding and applying causal reasoning in complex systems. While correlations have often been relied upon in data analysis, decision-making in business and economics demands a deeper understanding of causation and functional relationships to drive actionable outcomes.The book’s objective is to provide a comprehensive resource that bridges foundational theories and practical applications of causal models. By integrating recent advancements in artificial intelligence, probabilistic logic, and graph theory, the authors offer a robust framework for researchers, practitioners, and decision-makers to harness the power of causality in solving intricate problems.
Del 7 - World Scientific Handbook in Financial Economics Series
Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management
Inbunden, Engelska, 2019
2 559 kr
Skickas inom 3-6 vardagar
The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
E-bok
PDF, Engelska, 20231 494 kr
Läs direkt efter köp
This book develops the theory of qualitative growth. This theory provides a major overhaul of economic theory. Modern economies are evolutionary complex systems subject to a process of rapid innovation that makes aggregation very difficult. Mainstream economics is based on aggregating variables. When aggregation is impossible, mainstream economics creates idealized economies without any empirical basis. Our theory of qualitative growth is based on the principles of modern empirical science where models might include terms and variables that acquire meaning through global theory and its measurement processes. That is, in modern empirical sciences, variables are ultimately defined by the process of observation. However, the observation process might include the entire theory. For example, we do not observe temperature directly but only through instruments that exploit how temperature is linked to other variables such as the elongation of a column of mercury. We develop an integrated monetary economic model where the real economy is represented by hidden abstract variables that include quantity, quality, and generalized inflation. These variables do not have a direct observation process but are in relationship with observables such as the Economic Complexity Index. In this way, we develop an economic theory able to support decision making for qualitative growth while in contrast mainstream economics would label qualitative growth as a recession. The idea of qualitative growth, put forward by Capra and Henderson in 2009, is the basic notion that growth is a good and essential feature of human societies, but it must be understood as organic development of qualitative aspects of life. Qualitative growth responds to the basic need of “decoupling” growth from the use of natural resources which is now recognized as a pillar of the green transition.