Discrete Time Series, Processes, and Applications in Finance

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Discrete Time Series, Processes, and Applications in Finance

種類:

電子ブック

責任表示:

by Gilles Zumbach

出版情報:

Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013

著者名:

シリーズ名:

Springer Finance ;

ISBN:

9783642317422 [3642317421]

ローカル注記:

学内専用E-BOOKS (local access only)

オンライン

http://dx.doi.org/10.1007/978-3-642-31742-2

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子書誌情報

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詳細

主題:

Mathematics; Probability Theory and Stochastic Processes; Quantitative Finance; Statistics for Business/Economics/Mathematical Finance/Insurance

分類・件名:

DC23 : 519
LCSH : Mathematics
LCSH : Finance
LCSH : Distribution (Probability theory)
LCSH : Economics -- Statistics
FREE : Mathematics
FREE : Quantitative Finance
FREE : Probability Theory and Stochastic Processes
FREE : Statistics for Business/Economics/Mathematical Finance/Insurance

形態:

XXI, 317 p. 103 illus., 101 illus. in color : digital

目次情報:

Preface
List of Figures.-List of Tables
1. Introduction
2.Notation, naming and general definitions
3.Stylized facts
4.Empirical mug shots
5.Process Overview
6.Logarithmic versus relative random walks
7.ARCH processes
8.Stochastic volatility processes
9.Regime switching process
10.Price and volatility using high-frequency data
11.Time reversal asymmetry
12.Characterizing heteroskedasticity
13.The innovation distributions
14.Leverage effect
15.Processes and market risk evaluation
16.Option pricing
17.Properties of large covariance matrices
18.Multivariate ARCH processes
19.The processes compatible with the stylized facts
20.Further thoughts.-Bibliography
Index

Preface
List of Figures.-List of Tables
1. Introduction
2.Notation, naming and general definitions
3.Stylized facts
4.Empirical mug shots

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書誌ID:

KB00010215

内容紹介

目次情報

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