Startsida
Hjälp
Sök i LIBRIS databas

     

 

Sökning: onr:19420284 > Stochastic Processe...

Stochastic Processes and Calculus An Elementary Introduction with Applications / by Uwe Hassler.

Hassler, Uwe. (author.)
SpringerLink (Online service) 
ISBN 9783319234281
1st ed. 2016.
Publicerad: Cham : Springer International Publishing : 2016
Engelska XVIII, 391 p. 45 illus., 21 illus. in color.
Serie: Springer Texts in Business and Economics, 2192-4333
  • E-bok
Innehållsförteckning Sammanfattning Ämnesord
Stäng  
  • 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.
  • 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. 

Ämnesord

Game theory.  (LCSH)
Economics, Mathematical.  (LCSH)
Statistics.  (LCSH)
Economic theory.  (LCSH)
Econometrics.  (LCSH)
Macroeconomics.  (LCSH)
Economics. 
Economic Theory/Quantitative Economics/Mathematical Methods. 
Statistics for Business/Economics/Mathematical Finance/Insurance. 
Quantitative Finance. 
Macroeconomics/Monetary Economics//Financial Economics. 
Econometrics. 
Game Theory, Economics, Social and Behav. Sciences. 

Klassifikation

HB1-846.8 (LCC)
KCA (ämneskategori)
BUS069030 (ämneskategori)
330.1 (DDC)
Qaab (kssb/8 (machine generated))
Inställningar Hjälp

Titeln finns på 8 bibliotek. 

Bibliotek i norra Sverige (1)

Ange som favorit

Bibliotek i Mellansverige (2)

Ange som favorit

Bibliotek i Stockholmsregionen (2)

Ange som favorit

Bibliotek i östra Sverige (2)

Ange som favorit

Bibliotek i västra Sverige (1)

Ange som favorit
Om LIBRIS
Sekretess
Blogg
Hjälp
Fel i posten?
Kontakt
Teknik och format
Sök utifrån
Sökrutor
Plug-ins
Bookmarklet
Anpassa
Textstorlek
Kontrast
Vyer
LIBRIS söktjänster
SwePub
Sondera
Uppsök

Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.

Copyright © LIBRIS - Nationella bibliotekssystem

 
pil uppåt Stäng

Kopiera och spara länken för att återkomma till aktuell vy