Stochastic Processes and Calculus
-15%
portes grátis
Stochastic Processes and Calculus
An Elementary Introduction with Applications
Hassler, Uwe
Springer International Publishing AG
03/2019
391
Mole
Inglês
9783319794822
15 a 20 dias
629
Descrição não disponível.
Introduction.- Part I Time Series Modeling.- Basic Concepts from Probability Theory.- Autoregressive Moving Average Processes (ARMA).- Spectra of Stationary Processes.- Long Memory and Fractional Integration.- Processes with Autoregressive Conditional Heteroskedasticity (ARCH).- Part II Stochastic Integrals.- Wiener Processes (WP).- Riemann Integrals.- Stieltjes Integrals.- Ito Integrals.- Ito's Lemma.- Part III Applications.- Stochastic Differential Equations (SDE).- Interest Rate Models.- Asymptotics of Integrated Processes.- Trends, Integration Tests and Nonsense Regressions.- Cointegration Analysis.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Asymptotic theory;Cointegration;Financial economics;Mathematical finance;Nonstationary processes;Quantitative finance;Stochastic calculus;Stochastic differential equations;Stochastic integrals;Stochastic processes;Time series modeling
Introduction.- Part I Time Series Modeling.- Basic Concepts from Probability Theory.- Autoregressive Moving Average Processes (ARMA).- Spectra of Stationary Processes.- Long Memory and Fractional Integration.- Processes with Autoregressive Conditional Heteroskedasticity (ARCH).- Part II Stochastic Integrals.- Wiener Processes (WP).- Riemann Integrals.- Stieltjes Integrals.- Ito Integrals.- Ito's Lemma.- Part III Applications.- Stochastic Differential Equations (SDE).- Interest Rate Models.- Asymptotics of Integrated Processes.- Trends, Integration Tests and Nonsense Regressions.- Cointegration Analysis.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
