Stochastic Processes and Calculus An Elementary Introduction with Applications /

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Hassler, Uwe (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edición:1st ed. 2016.
Colección:Springer Texts in Business and Economics,
Temas:
Econometrics.
Statistics .
Social sciences-Mathematics.
Macroeconomics.
Game theory.
Quantitative Economics.
Statistics in Business, Management, Economics, Finance, Insurance.
Mathematics in Business, Economics and Finance.
Macroeconomics and Monetary Economics.
Game Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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