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Sinossi
In his PhD dissertation, Bachelier (1900) tried, for the first time in history, to model the asset prices on the Paris stock exchange through stochastic processes. In particular, he used the so-called Brownian motions (or Wiener processes) simply because they proved themselves very useful for describing many natural phenomena (like the heat transfer). Finance, nowadays, heavily relies on Wiener processes (also called diffusion processes) for describing the dynamic behaviour of asset prices. More recently, and mainly because of the big financial crisis which burst in 2007/2008, also so-called jump processes have become relevant in finance: they describe the behaviour of a stochastic variable which may take a finite variation in an infinitesimal time interval (i.e. a so-called jump). In this book we will present the main theoretical properties of diffusion and jump processes together with numerical applications written in R.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Informazioni sull'autore
Francesco Menoncin teaches "Market Risk" and "Derivatives and Financial Hedging" at Brescia University. He published many papers and some books about risk management, asset pricing, and dynamic programming applied to optimal portfolio management.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
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Stochastic Processes for Risk Management
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Scholars' Press Nov 2016, 2016
ISBN 10: 3659844438
ISBN 13: 9783659844430
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In his PhD dissertation, Bachelier (1900) tried, for the first time in history, to model the asset prices on the Paris stock exchange through stochastic processes. In particular, he used the so-called Brownian motions (or Wiener processes) simply because they proved themselves very useful for describing many natural phenomena (like the heat transfer). Finance, nowadays, heavily relies on Wiener processes (also called diffusion processes) for describing the dynamic behaviour of asset prices. More recently, and mainly because of the big financial crisis which burst in 2007/2008, also so-called jump processes have become relevant in finance: they describe the behaviour of a stochastic variable which may take a finite variation in an infinitesimal time interval (i.e. a so-called jump). In this book we will present the main theoretical properties of diffusion and jump processes together with numerical applications written in R. 132 pp. Englisch. Codice articolo 9783659844430
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Menoncin FrancescoFrancesco Menoncin teaches Market Risk and Derivatives and Financial Hedging at Brescia University. He published many papers and some books about risk management, asset pricing, and dynamic programming applied t. Codice articolo 156306575
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Stochastic Processes for Risk Management
Editore:
Scholars' Press Nov 2016, 2016
ISBN 10: 3659844438
ISBN 13: 9783659844430
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -In his PhD dissertation, Bachelier (1900) tried, for the first time in history, to model the asset prices on the Paris stock exchange through stochastic processes. In particular, he used the so-called Brownian motions (or Wiener processes) simply because they proved themselves very useful for describing many natural phenomena (like the heat transfer). Finance, nowadays, heavily relies on Wiener processes (also called diffusion processes) for describing the dynamic behaviour of asset prices. More recently, and mainly because of the big financial crisis which burst in 2007/2008, also so-called jump processes have become relevant in finance: they describe the behaviour of a stochastic variable which may take a finite variation in an infinitesimal time interval (i.e. a so-called jump). In this book we will present the main theoretical properties of diffusion and jump processes together with numerical applications written in R.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 132 pp. Englisch. Codice articolo 9783659844430
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Stochastic Processes for Risk Management | With Applications in R
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Taschenbuch. Condizione: Neu. Stochastic Processes for Risk Management | With Applications in R | Francesco Menoncin | Taschenbuch | 132 S. | Englisch | 2016 | Scholars' Press | EAN 9783659844430 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu Print on Demand. Codice articolo 107864622
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In his PhD dissertation, Bachelier (1900) tried, for the first time in history, to model the asset prices on the Paris stock exchange through stochastic processes. In particular, he used the so-called Brownian motions (or Wiener processes) simply because they proved themselves very useful for describing many natural phenomena (like the heat transfer). Finance, nowadays, heavily relies on Wiener processes (also called diffusion processes) for describing the dynamic behaviour of asset prices. More recently, and mainly because of the big financial crisis which burst in 2007/2008, also so-called jump processes have become relevant in finance: they describe the behaviour of a stochastic variable which may take a finite variation in an infinitesimal time interval (i.e. a so-called jump). In this book we will present the main theoretical properties of diffusion and jump processes together with numerical applications written in R. Codice articolo 9783659844430
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paperback. Condizione: New. NEW. SHIPS FROM MULTIPLE LOCATIONS. book. Codice articolo ERICA82936598444386
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