Author: Laura L.R. RifoPublisher:
ISBN:
Category :
Languages : en
Pages : 16
Book Description
Full Bayesian Analysis for Price Calculation in Jump-diffusion Models
Author: Laura L.R. RifoA Note on the Averaging Approach for the Random Linear Transport Equation
Author: Fábio A. DoriniPublisher:
ISBN:
Category : Averaging method (Differential equations)
Languages : en
Pages : 18
Book Description
Stochastic Models
Author: José González-BarriosPublisher: American Mathematical Soc.
ISBN: 0821834665
Category : Mathematics
Languages : en
Pages : 282
Book Description
The volume includes lecture notes and research papers by participants of the Seventh Symposium on Probability and Stochastic Processes held in Mexico City. The lecture notes introduce recent advances in stochastic calculus with respect to fractional Brownian motion, principles of large deviations and of minimum entropy concerning equilibrium prices in random economic systems, and give a complete and thorough survey of credit risk theory. The research papers cover areas such as financial markets, Gaussian processes, stochastic differential equations, stochastic integration, quantum dynamical semigroups, self-intersection local times, etc. Readers should have a basic background in probability theory, stochastic integration, and stochastic differential equations. The book is suitable for graduate students and research mathematicians interested in probability, stochastic processes, and risk theory.
An Optimal Path for an Autonomous Vehicle
Author: Ronaldo DiasSkew Scale Mixture of Normal Distributions
Author: Clécio da Silva FerreiraPublisher:
ISBN:
Category : Distribution (Probability theory)
Languages : en
Pages : 32
Book Description
HJM Interest Rate Models with Fractional Brownian Motions
Author: Alberto OhashiPublisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 32
Book Description
Lineability of Summing Sets of Homogenous Polynomials
Author: Gerardo BotelhoPublisher:
ISBN:
Category : Banach spaces
Languages : en
Pages : 24
Book Description
Statistical Moments of the Random Linear Transport Equation
Author: Fábio A. DoriniA Zero-inflated Poisson Model with Correlated Parameters and Application to Animal Breeding
Author: Mariana Rodrigues-MottaPublisher:
ISBN:
Category : Animal breeding
Languages : en
Pages : 34
Book Description
Analysis of Financial Time Series
Author: Ruey S. TsayPublisher: John Wiley & Sons
ISBN: 1118017099
Category : Mathematics
Languages : en
Pages : 724
Book Description
This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time series The return series of multiple assets Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.