Bocconi & Springer Series – serie

Visar alla böcker i serien Bocconi & Springer Series. Handla med fri frakt och snabb leverans.

24 produkter

Kategorier

24 produkter

Del 9 - Bocconi & Springer Series
Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations
AvGrigorij Kulinich,Svitlana Kushnirenkom. fl.
Inbunden, Engelska, 2020
330 kr
Skickas inom 5-8 vardagar
This book is devoted to unstable solutions of stochastic differential equations (SDEs). Despite the huge interest in the theory of SDEs, this book is the first to present a systematic study of the instability and asymptotic behavior of the corresponding unstable stochastic systems. The limit theorems contained in the book are not merely of purely mathematical value; rather, they also have practical value. Instability or violations of stability are noted in many phenomena, and the authors attempt to apply mathematical and stochastic methods to deal with them. The main goals include exploration of Brownian motion in environments with anomalies and study of the motion of the Brownian particle in layered media. A fairly wide class of continuous Markov processes is obtained in the limit. It includes Markov processes with discontinuous transition densities, processes that are not solutions of any Itô's SDEs, and the Bessel diffusion process. The book is self-contained, with presentation of definitions and auxiliary results in an Appendix. It will be of value for specialists in stochastic analysis and SDEs, as well as for researchers in other fields who deal with unstable systems and practitioners who apply stochastic models to describe phenomena of instability.
Del 9 - Bocconi & Springer Series
Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations
AvGrigorij Kulinich,Svitlana Kushnirenkom. fl.
Häftad, Engelska, 2021
330 kr
Skickas inom 5-8 vardagar
This book is devoted to unstable solutions of stochastic differential equations (SDEs). Despite the huge interest in the theory of SDEs, this book is the first to present a systematic study of the instability and asymptotic behavior of the corresponding unstable stochastic systems. The limit theorems contained in the book are not merely of purely mathematical value; rather, they also have practical value. Instability or violations of stability are noted in many phenomena, and the authors attempt to apply mathematical and stochastic methods to deal with them. The main goals include exploration of Brownian motion in environments with anomalies and study of the motion of the Brownian particle in layered media. A fairly wide class of continuous Markov processes is obtained in the limit. It includes Markov processes with discontinuous transition densities, processes that are not solutions of any Itô's SDEs, and the Bessel diffusion process. The book is self-contained, with presentation of definitions and auxiliary results in an Appendix. It will be of value for specialists in stochastic analysis and SDEs, as well as for researchers in other fields who deal with unstable systems and practitioners who apply stochastic models to describe phenomena of instability.
Del 10 - Bocconi & Springer Series
Selected Topics in Malliavin Calculus
Chaos, Divergence and So Much More
AvLaurent Decreusefond
Inbunden, Engelska, 2022
492 kr
Skickas inom 10-15 vardagar
This book is not a research monograph about Malliavin calculus with the latest results and the most sophisticated proofs. It does not contain all the results which are known even for the basic subjects which are addressed here. The goal was to give the largest possible variety of proof techniques. For instance, we did not focus on the proof of concentration inequality for functionals of the Brownian motion, as it closely follows the lines of the analog result for Poisson functionals. This book grew from the graduate courses I gave at Paris-Sorbonne and Paris-Saclay universities, during the last few years. It is supposed to be as accessible as possible for students who have knowledge of Itô calculus and some rudiments of functional analysis.
Del 10 - Bocconi & Springer Series
Selected Topics in Malliavin Calculus
Chaos, Divergence and So Much More
AvLaurent Decreusefond
Häftad, Engelska, 2023
492 kr
Skickas inom 10-15 vardagar
This book is not a research monograph about Malliavin calculus with the latest results and the most sophisticated proofs. It does not contain all the results which are known even for the basic subjects which are addressed here. The goal was to give the largest possible variety of proof techniques. For instance, we did not focus on the proof of concentration inequality for functionals of the Brownian motion, as it closely follows the lines of the analog result for Poisson functionals. This book grew from the graduate courses I gave at Paris-Sorbonne and Paris-Saclay universities, during the last few years. It is supposed to be as accessible as possible for students who have knowledge of Itô calculus and some rudiments of functional analysis.
Del 12 - Bocconi & Springer Series
Continuous Time Processes for Finance
Switching, Self-exciting, Fractional and other Recent Dynamics
AvDonatien Hainaut
Inbunden, Engelska, 2022
1 516 kr
Skickas inom 10-15 vardagar
This 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 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 and interest rates, the estimation with the Hamilton filter and Markov Chain Monte-Carlo algorithm (MCMC) is detailed. A second part focuses on self-excited processes for modeling the clustering of shocks in financial markets. These processes recently receive a lot of attention from researchers and we focus here on its econometric estimation and its simulation. A chapter is dedicated to estimation of stochastic volatility models. Two chapters are dedicated to the fractional Brownian motion and Gaussian fields. After a summary of their features, we present applications for stock and interest rate modeling. Two chapters focuses on sub-diffusions that allows to replicate illiquidity in financial markets. This book targets undergraduate students who have followed a first course of stochastic finance and practitioners as quantitative analyst or actuaries working in risk management.
Del 12 - Bocconi & Springer Series
Continuous Time Processes for Finance
Switching, Self-exciting, Fractional and other Recent Dynamics
AvDonatien Hainaut
Häftad, Engelska, 2023
1 516 kr
Skickas inom 10-15 vardagar
This 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 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 and interest rates, the estimation with the Hamilton filter and Markov Chain Monte-Carlo algorithm (MCMC) is detailed. A second part focuses on self-excited processes for modeling the clustering of shocks in financial markets. These processes recently receive a lot of attention from researchers and we focus here on its econometric estimation and its simulation. A chapter is dedicated to estimation of stochastic volatility models. Two chapters are dedicated to the fractional Brownian motion and Gaussian fields. After a summary of their features, we present applications for stock and interest rate modeling. Two chapters focuses on sub-diffusions that allows to replicate illiquidity in financial markets. This book targets undergraduate students who have followed a first course of stochastic finance and practitioners as quantitative analyst or actuaries working in risk management.
Del 11 - Bocconi & Springer Series
Stochastic Calculus via Regularizations
AvFrancesco Russo,Pierre Vallois
Inbunden, Engelska, 2022
1 731 kr
Skickas inom 10-15 vardagar
The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors. The definitions relies on a smoothing procedure of the integrator process, they generalize the usual Itô and Stratonovich integrals for Brownian motion but the integrator could also not be a semimartingale and the integrand is allowed to be anticipating. The resulting calculus requires a simple formalism: nevertheless it entails pathwise techniques even though it takes into account randomness. It allows connecting different types of pathwise and non pathwise integrals such as Young, fractional, Skorohod integrals, enlargement of filtration and rough paths. The covariation, but also high order variations, play a fundamental role in the calculus via regularization, which can also be applied for irregularintegrators. A large class of Gaussian processes, various generalizations of semimartingales such that Dirichlet and weak Dirichlet processes are revisited. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence. The book is addressed to PhD students and researchers in stochastic analysis and applications to various fields.
Del 11 - Bocconi & Springer Series
Stochastic Calculus via Regularizations
AvFrancesco Russo,Pierre Vallois
Häftad, Engelska, 2023
1 731 kr
Skickas inom 10-15 vardagar
The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the other hand it focuses on the techniques of stochastic integration and calculus via regularization initiated by the authors. The definitions relies on a smoothing procedure of the integrator process, they generalize the usual Itô and Stratonovich integrals for Brownian motion but the integrator could also not be a semimartingale and the integrand is allowed to be anticipating. The resulting calculus requires a simple formalism: nevertheless it entails pathwise techniques even though it takes into account randomness. It allows connecting different types of pathwise and non pathwise integrals such as Young, fractional, Skorohod integrals, enlargement of filtration and rough paths. The covariation, but also high order variations, play a fundamental role in the calculus via regularization, which can also be applied for irregularintegrators. A large class of Gaussian processes, various generalizations of semimartingales such that Dirichlet and weak Dirichlet processes are revisited. Stochastic calculus via regularization has been successfully used in applications, for instance in robust finance and on modeling vortex filaments in turbulence. The book is addressed to PhD students and researchers in stochastic analysis and applications to various fields.
Del 5 - Bocconi & Springer Series
Functionals of Multidimensional Diffusions with Applications to Finance
AvJan Baldeaux,Eckhard Platen
Inbunden, Engelska, 2013
546 kr
Skickas inom 10-15 vardagar
This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions.
Del 5 - Bocconi & Springer Series
Functionals of Multidimensional Diffusions with Applications to Finance
AvJan Baldeaux,Eckhard Platen
Häftad, Engelska, 2015
546 kr
Skickas inom 10-15 vardagar
This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions.
Del 6 - Bocconi & Springer Series
Affine Diffusions and Related Processes: Simulation, Theory and Applications
AvAurélien Alfonsi
Inbunden, Engelska, 2015
546 kr
Skickas inom 10-15 vardagar
This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error. It also presents some models, mostly in the field of finance, where these methods are relevant and provides some numerical experiments. The book explains the mathematical background to understand affine diffusions and analyze the accuracy of the schemes.
Del 7 - Bocconi & Springer Series
Stochastic Analysis for Poisson Point Processes
Malliavin Calculus, Wiener-Itô Chaos Expansions and Stochastic Geometry
AvGiovanni Peccati,Matthias Reitzner
Inbunden, Engelska, 2016
1 408 kr
Skickas inom 10-15 vardagar
Stochastic geometry is the branch of mathematics that studies geometric structures associated with random configurations, such as random graphs, tilings and mosaics. Due to its close ties with stereology and spatial statistics, the results in this area are relevant for a large number of important applications, e.g. to the mathematical modeling and statistical analysis of telecommunication networks, geostatistics and image analysis. In recent years – due mainly to the impetus of the authors and their collaborators – a powerful connection has been established between stochastic geometry and the Malliavin calculus of variations, which is a collection of probabilistic techniques based on the properties of infinite-dimensional differential operators. This has led in particular to the discovery of a large number of new quantitative limit theorems for high-dimensional geometric objects. This unique book presents an organic collection of authoritative surveys written bythe principal actors in this rapidly evolving field, offering a rigorous yet lively presentation of its many facets.
Del 6 - Bocconi & Springer Series
Affine Diffusions and Related Processes: Simulation, Theory and Applications
AvAurélien Alfonsi
Häftad, Engelska, 2016
546 kr
Skickas inom 10-15 vardagar
This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak error. It also presents some models, mostly in the field of finance, where these methods are relevant and provides some numerical experiments. The book explains the mathematical background to understand affine diffusions and analyze the accuracy of the schemes.
Parameter Estimation in Fractional Diffusion Models
AvKęstutis Kubilius,Yuliya Mishuram. fl.
Inbunden, Engelska, 2018
1 300 kr
Skickas inom 10-15 vardagar
This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation in the use of stochastic diffusion models with Brownian motion is due to the fact that the motion has independent increments, and, therefore, the random noise it generates is “white,” i.e., uncorrelated. However, many processes in the natural sciences, computer networks and financial markets have long-term or short-term dependences, i.e., the correlations of random noise in these processes are non-zero, and slowly or rapidly decrease with time. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion. Therefore, the book constructs diffusion models with memory and provides simple and suitable parameter estimation methods in these models, making it a valuable resource for all researchers in this field. The book is addressed to specialists and researchers in the theory and statistics of stochastic processes, practitioners who apply statistical methods of parameter estimation, graduate and post-graduate students who study mathematical modeling and statistics.
Del 7 - Bocconi & Springer Series
Stochastic Analysis for Poisson Point Processes
Malliavin Calculus, Wiener-Itô Chaos Expansions and Stochastic Geometry
AvGiovanni Peccati,Matthias Reitzner
Häftad, Engelska, 2018
1 408 kr
Skickas inom 10-15 vardagar
Stochastic geometry is the branch of mathematics that studies geometric structures associated with random configurations, such as random graphs, tilings and mosaics. Due to its close ties with stereology and spatial statistics, the results in this area are relevant for a large number of important applications, e.g. to the mathematical modeling and statistical analysis of telecommunication networks, geostatistics and image analysis. In recent years – due mainly to the impetus of the authors and their collaborators – a powerful connection has been established between stochastic geometry and the Malliavin calculus of variations, which is a collection of probabilistic techniques based on the properties of infinite-dimensional differential operators. This has led in particular to the discovery of a large number of new quantitative limit theorems for high-dimensional geometric objects. This unique book presents an organic collection of authoritative surveys written bythe principal actors in this rapidly evolving field, offering a rigorous yet lively presentation of its many facets.
Parameter Estimation in Fractional Diffusion Models
AvKęstutis Kubilius,Yuliya Mishuram. fl.
Häftad, Engelska, 2019
1 300 kr
Skickas inom 10-15 vardagar
This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Brownian motion has been (and still remains) a popular model of randomness used to investigate processes in the natural sciences, financial markets, and the economy. The substantial limitation in the use of stochastic diffusion models with Brownian motion is due to the fact that the motion has independent increments, and, therefore, the random noise it generates is “white,” i.e., uncorrelated. However, many processes in the natural sciences, computer networks and financial markets have long-term or short-term dependences, i.e., the correlations of random noise in these processes are non-zero, and slowly or rapidly decrease with time. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion. Therefore, the book constructs diffusion models with memory and provides simple and suitable parameter estimation methods in these models, making it a valuable resource for all researchers in this field. The book is addressed to specialists and researchers in the theory and statistics of stochastic processes, practitioners who apply statistical methods of parameter estimation, graduate and post-graduate students who study mathematical modeling and statistics.
Del 1 - Bocconi & Springer Series
Wiener Chaos: Moments, Cumulants and Diagrams
A survey with Computer Implementation
AvGiovanni Peccati,Murad S. Taqqu
Inbunden, Engelska, 2010
546 kr
Skickas inom 10-15 vardagar
The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogonal polynomials associated with probability distributions on the real line. It plays a crucial role in modern probability theory, with applicationsranging from Malliavin calculus to stochastic differential equations and fromprobabilistic approximations to mathematical finance.This book is concerned with combinatorial structures arising from the studyof chaotic random variables related to infinitely divisible random measures. The combinatorial structures involved are those of partitions of finite sets, over which Möbius functions and related inversion formulae are defined. This combinatorial standpoint (which is originally due to Rota and Wallstrom) provides an ideal framework for diagrams, which are graphical devices used to compute moments and cumulants of random variables.Several applications are described, in particular, recent limit theorems for chaotic random variables. An Appendix presents a computer implementation in MATHEMATICA for many of the formulae.
PDE and Martingale Methods in Option Pricing
AvAndrea Pascucci
Inbunden, Engelska, 2010
1 300 kr
Skickas inom 10-15 vardagar
This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling.The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.
Peacocks and Associated Martingales, with Explicit Constructions
AvFrancis Hirsch,Christophe Profetam. fl.
Inbunden, Engelska, 2011
1 085 kr
Skickas inom 10-15 vardagar
We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock.In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.
Peacocks and Associated Martingales, with Explicit Constructions
AvFrancis Hirsch,Christophe Profetam. fl.
Häftad, Engelska, 2013
1 085 kr
Skickas inom 10-15 vardagar
We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock.In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.
Selected Aspects of Fractional Brownian Motion
AvIvan Nourdin
Inbunden, Engelska, 2012
1 516 kr
Skickas inom 10-15 vardagar
Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory property which is in sharp contrast with martingales and Markov processes. FBm has become a popular choice for applications where classical processes cannot model these non-trivial properties; for instance long memory, which is also known as persistence, is of fundamental importance for financial data and in internet traffic. The mathematical theory of fBm is currently being developed vigorously by a number of stochastic analysts, in various directions, using complementary and sometimes competing tools. This book is concerned with several aspects of fBm, including the stochastic integration with respect to it, the study of its supremum and its appearance as limit of partial sums involving stationary sequences, to name but a few. The book is addressed to researchers and graduate students in probability and mathematical statistics. With very few exceptions (where precise references are given), every stated result is proved.
Del 1 - Bocconi & Springer Series
Wiener Chaos: Moments, Cumulants and Diagrams
A survey with Computer Implementation
AvGiovanni Peccati,Murad S. Taqqu
Häftad, Engelska, 2014
546 kr
Skickas inom 10-15 vardagar
The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogonal polynomials associated with probability distributions on the real line. It plays a crucial role in modern probability theory, with applicationsranging from Malliavin calculus to stochastic differential equations and fromprobabilistic approximations to mathematical finance.This book is concerned with combinatorial structures arising from the studyof chaotic random variables related to infinitely divisible random measures. The combinatorial structures involved are those of partitions of finite sets, over which Möbius functions and related inversion formulae are defined. This combinatorial standpoint (which is originally due to Rota and Wallstrom) provides an ideal framework for diagrams, which are graphical devices used to compute moments and cumulants of random variables.Several applications are described, in particular, recent limit theorems for chaotic random variables. An Appendix presents a computer implementation in MATHEMATICA for many of the formulae.
PDE and Martingale Methods in Option Pricing
AvAndrea Pascucci
Häftad, Engelska, 2014
1 300 kr
Skickas inom 10-15 vardagar
This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling.The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.
Selected Aspects of Fractional Brownian Motion
AvIvan Nourdin
Häftad, Engelska, 2016
1 516 kr
Skickas inom 10-15 vardagar
Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory property which is in sharp contrast with martingales and Markov processes. FBm has become a popular choice for applications where classical processes cannot model these non-trivial properties; for instance long memory, which is also known as persistence, is of fundamental importance for financial data and in internet traffic. The mathematical theory of fBm is currently being developed vigorously by a number of stochastic analysts, in various directions, using complementary and sometimes competing tools. This book is concerned with several aspects of fBm, including the stochastic integration with respect to it, the study of its supremum and its appearance as limit of partial sums involving stationary sequences, to name but a few. The book is addressed to researchers and graduate students in probability and mathematical statistics. With very few exceptions (where precise references are given), every stated result is proved.

Företag, bibliotek eller offentlig verksamhet?

Bocconi & Springer Series – serie

Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations

Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations

Selected Topics in Malliavin Calculus

Selected Topics in Malliavin Calculus

Continuous Time Processes for Finance

Continuous Time Processes for Finance

Stochastic Calculus via Regularizations

Stochastic Calculus via Regularizations

Functionals of Multidimensional Diffusions with Applications to Finance

Functionals of Multidimensional Diffusions with Applications to Finance

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Stochastic Analysis for Poisson Point Processes

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Parameter Estimation in Fractional Diffusion Models

Stochastic Analysis for Poisson Point Processes

Parameter Estimation in Fractional Diffusion Models

Wiener Chaos: Moments, Cumulants and Diagrams

PDE and Martingale Methods in Option Pricing

Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions

Selected Aspects of Fractional Brownian Motion

Wiener Chaos: Moments, Cumulants and Diagrams

PDE and Martingale Methods in Option Pricing

Selected Aspects of Fractional Brownian Motion

Mina sidor

Mina sidor

Hjälp

Hjälp

Om Bokus

Om Bokus

Populärt

Populärt

Inspiration

Inspiration