عنوان

Stochastic Processes and Calculus :

شابک

3319234285

شابک

9783319234281

شابک اشتباه

3319234277

شابک اشتباه

9783319234274

شماره

dltt

عنوان اصلي

Stochastic Processes and Calculus :

نام عام مواد

[Book]

ساير اطلاعات عنواني

an Elementary Introduction with Applications /

نام نخستين پديدآور

by Uwe Hassler

وضعيت ويراست

1st ed. 2016

وضعيت ويراست

1st ed. 2016

نام خاص و کميت اثر

1 online resource (XVIII, 391 pages) :

ساير جزييات

45 illustrations, 21 illustrations in color.

عنوان فروست

Springer Texts in Business and Economics,

شاپا ي ISSN فروست

2192-4333

متن يادداشت

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{8217}s Lemma -- Part III Applications -- Stochastic Differential Equations (SDE) -- Interest Rate Models -- Asymptotics of Integrated Processes -- Trends, Integration Tests and Nonsense Regressions -- Cointegration Analysis

بدون عنوان

0

متن يادداشت

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 econometrics. Mathematical theory is applied to solve stochastic differential equations and to derive limiting results for statistical inference on nonstationary processes. This introduction is elementary and rigorous at the same time. On the one hand it gives a basic and illustrative presentation of the relevant topics without using many technical derivations. On the other hand many of the procedures are presented at a technically advanced level: for a thorough understanding, they are to be proven. In order to meet both requirements jointly, the present book is equipped with a lot of challenging problems at the end of each chapter as well as with the corresponding detailed solutions. Thus the virtual text - augmented with more than 60 basic examples and 40 illustrative figures - is rather easy to read while a part of the technical arguments is transferred to the exercise problems and their solutions

شماره استاندارد بين المللي کتاب و موسيقي

9783319234274

موضوع مستند نشده

Econometrics.

موضوع مستند نشده

Economics, Mathematical.

موضوع مستند نشده

Economics.

موضوع مستند نشده

Game theory.

موضوع مستند نشده

Macroeconomics.

موضوع مستند نشده

Statistics.

موضوع مستند نشده

Economic Theory/Quantitative Economics/Mathematical Methods.

موضوع مستند نشده

Economics.

موضوع مستند نشده

Game Theory, Economics, Social and Behav. Sciences.

موضوع مستند نشده

Macroeconomics/Monetary Economics//Financial Economics.

موضوع مستند نشده

Quantitative Finance.

موضوع مستند نشده

Statistics for Business/Economics/Mathematical Finance/Insurance.

موضوع مستند نشده

BUS069030

موضوع مستند نشده

KCA

شماره

ويراست

شماره رده

مستند نام اشخاص تاييد نشده

Hassler, Uwe

مستند نام تنالگان تاييد نشده

Ohio Library and Information Network.

تاريخ عمليات

20161029080546.2

قواعد فهرست نويسي ( بخش توصيفي )

rda

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y