Point Processes and Jump Diffusions: An Introduction with Finance Applications
Autor Tomas Björken Limba Engleză Hardback – 16 iun 2021
Preț: 402.12 lei
Nou
Puncte Express: 603
Preț estimativ în valută:
76.95€ • 80.95$ • 63.87£
76.95€ • 80.95$ • 63.87£
Carte disponibilă
Livrare economică 26 decembrie 24 - 09 ianuarie 25
Preluare comenzi: 021 569.72.76
Specificații
ISBN-13: 9781316518670
ISBN-10: 1316518671
Pagini: 320
Dimensiuni: 174 x 250 x 21 mm
Greutate: 0.68 kg
Ediția:Nouă
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom
ISBN-10: 1316518671
Pagini: 320
Dimensiuni: 174 x 250 x 21 mm
Greutate: 0.68 kg
Ediția:Nouă
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom
Cuprins
Part I. Point Processes: 1. Counting processes; 2. Stochastic integrals and differentials; 3. More on Poisson processes; 4. Counting processes with stochastic intensities; 5. Martingale representations and Girsanov transformations; 6. Connections between stochastic differential equations and partial integro-differential equations; 7. Marked point processes; 8. The Itô formula; 9. Martingale representation, Girsanov and Kolmogorov; Part II. Optimal Control in Discrete Time: 10. Dynamic programming for Markov processes; Part III. Optimal Control in Continuous Time: 11. Continuous-time dynamic programming; Part IV. Non-Linear Filtering Theory: 12. Non-linear filtering with Wiener noise; 13. The conditional density; 14. Non-linear filtering with counting-process observations; 15. Filtering with k-variate counting-process observations; Part VI. Applications in Financial Economics: 16. Basic arbitrage theory; 17. Poisson-driven stock prices; 18. The simplest jump–diffusion model; 19. A general jump–diffusion model; 20. The Merton model; 21. Determining a unique Q; 22. Good-deal bounds; 23. Diversifiable risk; 24. Credit risk and Cox processes; 25. Interest-rate theory; 26. Equilibrium theory; References; Index of symbols; Subject index.
Recenzii
'essential for those who are interested in the theory of point processes, in both theoretical and applied aspects.' Ying Hui Dong, MathSciNet
Notă biografică
Descriere
Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.