Numerical Simulation of the Term Structure of Interest Rates Using a Random Field
Author : Stuart McDonald
Publisher :
Page : 32 pages
File Size : 28,64 MB
Release : 2002
Category : Interest rates
ISBN :
Author : Stuart McDonald
Publisher :
Page : 32 pages
File Size : 28,64 MB
Release : 2002
Category : Interest rates
ISBN :
Author : Stuart McDonald
Publisher :
Page : 36 pages
File Size : 12,10 MB
Release : 2002
Category : Equilibrium (Economics)
ISBN :
Author : Howard E. Doran
Publisher :
Page : 38 pages
File Size : 14,69 MB
Release : 2003
Category : Econometric models
ISBN :
Solves the problem of Restricted Least Squares by developing a new estimator that collapses RLS in cases where the restrictions are observation invariant.
Author : Jiro Akahori
Publisher : World Scientific
Page : 410 pages
File Size : 28,24 MB
Release : 2004-07-06
Category : Mathematics
ISBN : 9814483095
This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Lévy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences
Author : Ole E. Barndorff-Nielsen
Publisher : Springer
Page : 418 pages
File Size : 11,78 MB
Release : 2018-11-01
Category : Mathematics
ISBN : 3319941291
Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context. Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.
Author :
Publisher : World Scientific
Page : 410 pages
File Size : 23,5 MB
Release : 2004
Category : Business & Economics
ISBN : 9812702857
This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and L(r)vy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in: OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings)OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)OCo CC Proceedings OCo Engineering & Physical Sciences"
Author : Jiro Akahori
Publisher : World Scientific
Page : 410 pages
File Size : 12,8 MB
Release : 2004
Category : Mathematics
ISBN : 9812387781
This book contains articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Levy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance. Examples of topics are applications of Malliavin calculus and numerical analysis to a new simulation scheme for calculating the price of financial derivatives, applications of the asymptotic expansion method in Malliavin calculus to financial problems, semimartingale decompositions under an enlargement of filtrations in connection with insider problems, and the problem of transaction costs in connection with stochastic control and optimization problems.
Author : Guy R. West
Publisher :
Page : 66 pages
File Size : 41,2 MB
Release : 2003
Category : Economic development
ISBN :
Author : Erwin Bolthausen
Publisher : Birkhäuser
Page : 392 pages
File Size : 43,42 MB
Release : 2012-12-06
Category : Mathematics
ISBN : 3034870264
Pure and applied stochastic analysis and random fields form the subject of this book. The collection of articles on these topics represent the state of the art of the research in the field, with particular attention being devoted to stochastic models in finance. Some are review articles, others are original papers; taken together, they will apprise the reader of much of the current activity in the area.
Author : Peter D. Congdon
Publisher : CRC Press
Page : 487 pages
File Size : 44,23 MB
Release : 2019-09-16
Category : Mathematics
ISBN : 0429532903
An intermediate-level treatment of Bayesian hierarchical models and their applications, this book demonstrates the advantages of a Bayesian approach to data sets involving inferences for collections of related units or variables, and in methods where parameters can be treated as random collections. Through illustrative data analysis and attention to statistical computing, this book facilitates practical implementation of Bayesian hierarchical methods. The new edition is a revision of the book Applied Bayesian Hierarchical Methods. It maintains a focus on applied modelling and data analysis, but now using entirely R-based Bayesian computing options. It has been updated with a new chapter on regression for causal effects, and one on computing options and strategies. This latter chapter is particularly important, due to recent advances in Bayesian computing and estimation, including the development of rjags and rstan. It also features updates throughout with new examples. The examples exploit and illustrate the broader advantages of the R computing environment, while allowing readers to explore alternative likelihood assumptions, regression structures, and assumptions on prior densities. Features: Provides a comprehensive and accessible overview of applied Bayesian hierarchical modelling Includes many real data examples to illustrate different modelling topics R code (based on rjags, jagsUI, R2OpenBUGS, and rstan) is integrated into the book, emphasizing implementation Software options and coding principles are introduced in new chapter on computing Programs and data sets available on the book’s website