Continuous Time Processes for Finance Switching, Self-exciting, Fractional and other Recent Dynamics
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 regi...
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| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2022, 2022
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| Edition: | 1st ed. 2022 |
| Series: | Bocconi & Springer Series, Mathematics, Statistics, Finance and Economics
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Preface
- Acknowledgements
- Notations
- 1. Switching Models: Properties and Estimation
- 2. Estimation of Continuous Time Processes by Markov Chain Monte Carlo
- 3. Particle Filtering and Estimation
- 4. Modeling of Spillover Effects in Stock Markets
- 5. Non-Markov Models for Contagion and Spillover
- 6. Fractional Brownian Motion
- 7. Gaussian Fields for Asset Prices
- 8. Lévy Interest Rate Models With a Long Memory
- 9. Affine Volterra Processes and Rough Models
- 10. Sub-Diffusion for Illiquid Markets
- 11. A Fractional Dupire Equation for Jump-Diffusions
- References