Bocconi & Springer Series – serie
Visar alla böcker i serien Bocconi & Springer Series. Handla med fri frakt och snabb leverans.
24 produkter
Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations
Av Grigorij Kulinich, Svitlana Kushnirenko m. fl.
Inbunden, 2020
341 kr
Lägg i varukorg
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 …
Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations
Av Grigorij Kulinich, Svitlana Kushnirenko m. fl.
Häftad, 2021
330 kr
Lägg i varukorg
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 …
Selected Topics in Malliavin Calculus
Chaos, Divergence and So Much More
Inbunden, 2022
498 kr
Lägg i varukorg
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. …
Selected Topics in Malliavin Calculus
Chaos, Divergence and So Much More
Häftad, 2023
498 kr
Lägg i varukorg
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. …
Continuous Time Processes for Finance
Switching, Self-exciting, Fractional and other Recent Dynamics
Inbunden, 2022
1534 kr
Lägg i varukorg
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 …
Continuous Time Processes for Finance
Switching, Self-exciting, Fractional and other Recent Dynamics
Häftad, 2023
1534 kr
Lägg i varukorg
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 …
Stochastic Calculus via Regularizations
Av Francesco Russo, Pierre Vallois
Inbunden, 2022
1752 kr
Lägg i varukorg
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 …
Stochastic Calculus via Regularizations
Av Francesco Russo, Pierre Vallois
Häftad, 2023
1752 kr
Lägg i varukorg
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 …
Functionals of Multidimensional Diffusions with Applications to Finance
Av Jan Baldeaux, Eckhard Platen
Inbunden, 2013
551 kr
Lägg i varukorg
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 …
Functionals of Multidimensional Diffusions with Applications to Finance
Av Jan Baldeaux, Eckhard Platen
Häftad, 2015
551 kr
Lägg i varukorg
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 …
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Inbunden, 2015
551 kr
Lägg i varukorg
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 …
Stochastic Analysis for Poisson Point Processes
Malliavin Calculus, Wiener-Itô Chaos Expansions and Stochastic Geometry
Av Giovanni Peccati, Matthias Reitzner
Inbunden, 2016
1425 kr
Lägg i varukorg
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 …
Affine Diffusions and Related Processes: Simulation, Theory and Applications
Häftad, 2016
551 kr
Lägg i varukorg
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 …
Parameter Estimation in Fractional Diffusion Models
Av Kęstutis Kubilius, Yuliya Mishura m. fl.
Inbunden, 2018
1316 kr
Lägg i varukorg
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 …
Stochastic Analysis for Poisson Point Processes
Malliavin Calculus, Wiener-Itô Chaos Expansions and Stochastic Geometry
Av Giovanni Peccati, Matthias Reitzner
Häftad, 2018
1425 kr
Lägg i varukorg
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 …
Parameter Estimation in Fractional Diffusion Models
Av Kęstutis Kubilius, Yuliya Mishura m. fl.
Häftad, 2019
1316 kr
Lägg i varukorg
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 …
Wiener Chaos: Moments, Cumulants and Diagrams
A survey with Computer Implementation
Av Giovanni Peccati, Murad S. Taqqu
Inbunden, 2010
551 kr
Lägg i varukorg
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 …
PDE and Martingale Methods in Option Pricing
Inbunden, 2010
1316 kr
Lägg i varukorg
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 …
Peacocks and Associated Martingales, with Explicit Constructions
Av Francis Hirsch, Christophe Profeta m. fl.
Inbunden, 2011
1098 kr
Lägg i varukorg
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 …
Peacocks and Associated Martingales, with Explicit Constructions
Av Francis Hirsch, Christophe Profeta m. fl.
Häftad, 2013
1098 kr
Lägg i varukorg
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 …
Selected Aspects of Fractional Brownian Motion
Av Ivan Nourdin
Inbunden, 2012
1534 kr
Lägg i varukorg
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 …
Wiener Chaos: Moments, Cumulants and Diagrams
A survey with Computer Implementation
Av Giovanni Peccati, Murad S. Taqqu
Häftad, 2014
551 kr
Lägg i varukorg
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 …
PDE and Martingale Methods in Option Pricing
Häftad, 2014
1316 kr
Lägg i varukorg
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 …
Selected Aspects of Fractional Brownian Motion
Av Ivan Nourdin
Häftad, 2016
1534 kr
Lägg i varukorg
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 …
