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OverviewFull Product DetailsAuthor: Donatien HainautPublisher: Springer International Publishing AG Imprint: Springer International Publishing AG Edition: 1st ed. 2022 Volume: 12 Weight: 0.798kg ISBN: 9783031063602ISBN 10: 3031063600 Pages: 345 Publication Date: 26 August 2022 Audience: Professional and scholarly , Professional & Vocational Format: Hardback Publisher's Status: Active Availability: Manufactured on demand We will order this item for you from a manufactured on demand supplier. Table of ContentsPreface.- 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. Lévy 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.Reviews“Hainaut has written a book which in such panorama has a position of its own and which should be considered with great interest. … the book should definitely be considered an excellent and warmly recommended read. It is likely that it will be soon become a reference for those interested in modern topics and for young researchers in particular.” (Gianluca Cassese, zbMATH 1512.91001, 2023) Author InformationDonatien Hainaut is professor of quantitative finance and actuarial sciences at UCLouvain where he manages the new Master program in Data Science, statistical orientation. Prior to this he held several positions as associate professor at Rennes School of Business and the ENSAE in Paris. He also has several field experiences having worked as Risk Officer, Quantitative Analyst and ALM Officer. He is a Qualified Actuary and holds a PhD in the area of Assets and Liability Management. His current research focuses on contagion mechanism in stochastic processes, fractional processes and their application in insurance and finance. Tab Content 6Author Website:Countries AvailableAll regions |