Book Details

978-3-031-06361-9

Continuous Time Processes for Finance : Switching, Self-exciting, Fractional and other Recent Dynamics / Donatien Hainaut

Publication year: 2022

ISBN: 978-3-031-06361-9

Internet Resource: Please Login to download book


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.


Subject: Mathematics and Statistics, Probability Theory, Mathematics in Business, Economics and Finance, Econometrics, Actuarial Mathematics, Quantitative Economics, Quantitative Finance, Switching processes, Fractional Brownian motion, Sub-diffusions, Gaussian fields