Stochastic processes and calculus : an elementary introduction with applications

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 decisive role in the modeling of financial markets and as a basis for modern time series econome…

Ekonometrika keuangan menggunakan software R : (open source software statisti…

Buku ini membahas penerapan teknik-teknik ekonometrika pada data keuangan dengan menggunakan open source software R, sebuah software statistika, komputasi dan grafis. Teknik-teknik ekonometrika yang dibahas pada buku ini mencakup sekilas pasar keuangan (financial market), software R, statistika deskriptif dan statistika inferensial, regresi linear beserta diagnosa regresi, bentuk alternatif mod…

Stochastic proccesses for insurance and finance

Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference for researchers and practitioners of insurance mathematics. Building on recent and rapid developments in applied probability, the authors describe in general terms models based on Markov processes, martingales and various types of point processes. Discussing frequently asked insurance questions, the autho…

Introduction to stochastic calculus with applications

This book aims at providing a concise presentation of Stochastic Calculus with some of its applications in Finance, Engineering and Science. During the past twenty years, there has been an increasing demand for tools and methods of Stochastic Calculus in various disciplines. One of the greatest demands has come from the growing area of Mathematical Finance, where Stochastic Calculus is used for…

Stochastic processes with applications to finance

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ISBN/ISSN

9781584882244

Deskripsi Fisik

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Judul Seri

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No. Panggil

Tan 519. 2 Kij s

Tails, fears, and risk premia

We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The index reveals large time-varying compensation for fears of disasters. Our empirical investigations involve new extreme value theory approxim…

A Second course in Stochastic processes

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ISBN/ISSN

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Deskripsi Fisik

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Judul Seri

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No. Panggil

Tan 519. 2 Kar a