Author: Seungmoon ChoiPublisher:
ISBN:
Category :
Languages : en
Pages : 216
Book Description
Three Essays on Continuous-time Diffusion Models
Author: Seungmoon ChoiThree Essays on Stock Market Volatility and Stock Return Predictability
Author: Shu YanPublisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 310
Book Description
Three Essays in the Theory of Credit Risk
Author: Clemens MuellerSurveys in Stochastic Processes
Author: Jochen BlathPublisher: European Mathematical Society
ISBN: 9783037190722
Category : Mathematics
Languages : en
Pages : 270
Book Description
The 33rd Bernoulli Society Conference on Stochastic Processes and Their Applications was held in Berlin from July 27 to July 31, 2009. It brought together more than 600 researchers from 49 countries to discuss recent progress in the mathematical research related to stochastic processes, with applications ranging from biology to statistical mechanics, finance and climatology. This book collects survey articles highlighting new trends and focal points in the area written by plenary speakers of the conference, all of them outstanding international experts. A particular aim of this collection is to inspire young scientists to pursue research goals in the wide range of fields represented in this volume.
Three Essays in Asset Pricing Theory
Author: Lionel MartelliniDissertation Abstracts International
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 584
Book Description
Stochastic Volatility in Financial Markets
Author: Antonio MelePublisher: Springer Science & Business Media
ISBN: 1461545331
Category : Business & Economics
Languages : en
Pages : 156
Book Description
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
Handbook of Economic Forecasting
Author: Graham ElliottPublisher: Elsevier
ISBN: 0444627405
Category : Business & Economics
Languages : en
Pages : 667
Book Description
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
Three Essays on Consumer Behavior and Asset Prices
Author: Jeon-Hyeok ChoStochastic Analysis And Applications To Finance: Essays In Honour Of Jia-an Yan
Author: Tusheng ZhangPublisher: World Scientific
ISBN: 9814489158
Category : Mathematics
Languages : en
Pages : 465
Book Description
This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory.It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance.