Stochastic Processes and Calculus An Elementary Introduction with Applications /

• Κύριος συγγραφέας: Hassler, Uwe (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Έκδοση: 1st ed. 2016.
• Σειρά: Springer Texts in Business and Economics,
• Θέματα: Game theory.; Economics, Mathematical.; Statistics.; Economic theory.; Econometrics.; Macroeconomics.; Economics.; Economic Theory/Quantitative Economics/Mathematical Methods.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.; Game Theory, Economics, Social and Behav. Sciences.

This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes have gained great importance, because they play a...

Πίνακας περιεχομένων:

• 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.