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Title
Continuous time processes for finance: switching, self-exciting, fractional and other recent dynamics / Donatien Hainaut.
ISBN
9783031063619 (electronic bk.)
3031063619 (electronic bk.)
3031063600
9783031063602
Publication Details
Cham, Switzerland : Springer, 2022.
Language
English
Description
1 online resource
Item Number
10.1007/978-3-031-06361-9 doi
Call Number
HG176.5
Dewey Decimal Classification
332.015195
Summary
This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in the existing mathematical finance literature while it is crucial for risk management. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets. After a presentation of their mathematical features and applications to stocks and interest rates, the estimation with the Hamilton filter and Markov Chain Monte-Carlo algorithm (MCMC) is detailed. A second part focuses on self-excited processes for modeling the clustering of shocks in financial markets. These processes recently receive a lot of attention from researchers and we focus here on its econometric estimation and its simulation. A chapter is dedicated to estimation of stochastic volatility models. Two chapters are dedicated to the fractional Brownian motion and Gaussian fields. After a summary of their features, we present applications for stock and interest rate modeling. Two chapters focuses on sub-diffusions that allows to replicate illiquidity in financial markets. This book targets undergraduate students who have followed a first course of stochastic finance and practitioners as quantitative analyst or actuaries working in risk management.
Bibliography, etc. Note
Includes bibliographical references.
Access Note
Access limited to authorized users.
Source of Description
Description based on print version record.
Series
Bocconi & Springer series ; v. 12. 2039-148X
Available in Other Form
Print version: 9783031063602
Preface
Acknowledgements
Notations
1. Switching Models: Properties and Estimation
2. Estimation of Continuous Time Processes by Markov Chain Monte Carlo
3. Particle Filtering and Estimation
4. Modeling of Spillover Effects in Stock Markets
5. Non-Markov Models for Contagion and Spillover
6. Fractional Brownian Motion
7. Gaussian Fields for Asset Prices
8. Levy Interest Rate Models With a Long Memory
9. Affine Volterra Processes and Rough Models
10. Sub-Diffusion for Illiquid Markets
11. A Fractional Dupire Equation for Jump-Diffusions
References.
