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Author : Tomas Björk
Publisher : Cambridge University Press
Page : 323 pages
File Size : 47,94 MB
Release : 2021-06-17
Category : Business & Economics
ISBN : 1316518671
Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.
Author : Tomas Björk
Publisher : Cambridge University Press
Page : 324 pages
File Size : 27,18 MB
Release : 2021-06-17
Category : Mathematics
ISBN : 1009008447
The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area. This book gives an intuitive picture of the central concepts as well as the deeper results, while presenting the mathematical theory in a rigorous fashion and discussing applications in filtering theory and financial economics. Consequently, readers will get a deep understanding of the theory and how to use it. A number of exercises of differing levels of difficulty are included, providing opportunities to put new ideas into practice. Graduate students in mathematics, finance and economics will gain a good working knowledge of point-process theory, allowing them to progress to independent research.
Author : Peter Tankov
Publisher : CRC Press
Page : 552 pages
File Size : 16,57 MB
Release : 2003-12-30
Category : Business & Economics
ISBN : 1135437947
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Author : D.J. Daley
Publisher : Springer Science & Business Media
Page : 590 pages
File Size : 26,82 MB
Release : 2007-11-12
Category : Mathematics
ISBN : 0387213376
This is the second volume of the reworked second edition of a key work on Point Process Theory. Fully revised and updated by the authors who have reworked their 1988 first edition, it brings together the basic theory of random measures and point processes in a unified setting and continues with the more theoretical topics of the first edition: limit theorems, ergodic theory, Palm theory, and evolutionary behaviour via martingales and conditional intensity. The very substantial new material in this second volume includes expanded discussions of marked point processes, convergence to equilibrium, and the structure of spatial point processes.
Author : Bernt Øksendal
Publisher : Springer Science & Business Media
Page : 263 pages
File Size : 15,85 MB
Release : 2007-04-26
Category : Mathematics
ISBN : 3540698264
Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Author : Kay Giesecke
Publisher :
Page : 9 pages
File Size : 27,76 MB
Release : 2009
Category :
ISBN :
Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from standard Poisson arrivals by time-scaling with the cumulative intensity, whose path is typically generated with a discretization method. However, discretization introduces bias into the simulation results. This paper proposes a method for the exact simulation of point processes with stochastic intensities. The method leads to unbiased estimators. It is illustrated for a point process whose intensity follows an affine jump-diffusion process.
Author : Floyd B. Hanson
Publisher : SIAM
Page : 461 pages
File Size : 45,56 MB
Release : 2007-11-22
Category : Mathematics
ISBN : 0898716330
A practical, entry-level text integrating the basic principles of applied mathematics and probability, and computational science.
Author : Floyd B. Hanson
Publisher : SIAM
Page : 472 pages
File Size : 33,19 MB
Release : 2007-01-01
Category : Mathematics
ISBN : 9780898718638
This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.
Author : Daniel W. Stroock
Publisher : Springer
Page : 338 pages
File Size : 42,78 MB
Release : 2007-02-03
Category : Mathematics
ISBN : 3540289992
From the reviews: "This book is an excellent presentation of the application of martingale theory to the theory of Markov processes, especially multidimensional diffusions. [...] This monograph can be recommended to graduate students and research workers but also to all interested in Markov processes from a more theoretical point of view." Mathematische Operationsforschung und Statistik
Author : D.J. Daley
Publisher : Springer Science & Business Media
Page : 487 pages
File Size : 23,68 MB
Release : 2006-04-10
Category : Mathematics
ISBN : 0387215646
Point processes and random measures find wide applicability in telecommunications, earthquakes, image analysis, spatial point patterns, and stereology, to name but a few areas. The authors have made a major reshaping of their work in their first edition of 1988 and now present their Introduction to the Theory of Point Processes in two volumes with sub-titles Elementary Theory and Models and General Theory and Structure. Volume One contains the introductory chapters from the first edition, together with an informal treatment of some of the later material intended to make it more accessible to readers primarily interested in models and applications. The main new material in this volume relates to marked point processes and to processes evolving in time, where the conditional intensity methodology provides a basis for model building, inference, and prediction. There are abundant examples whose purpose is both didactic and to illustrate further applications of the ideas and models that are the main substance of the text.