Stochastic Processes for Risk Management

Name: Stochastic Processes for Risk Management
Brand: LAP Lambert Academic Publishing
SKU: 9783659844430
Price: 324.25 RON
Availability: InStock

With Applications in R

Autor: Francesco Menoncin

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Editura: LAP Lambert Academic Publishing

Disponibilitate: În depozitul extern

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In his PhD dissertation, Bachelier (1900) tried, for the first time in history, to model the asset p...

Informații despre carte

Autor

Francesco Menoncin

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2016

Pagini

132

EAN

9783659844430

Enbook ID

15517502

Editura

LAP Lambert Academic Publishing

Greutate

215

Dimensiuni

150 x 220 x 8

Descriere completă

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.

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Stochastic Processes for Risk Management

With Applications in R

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Descriere completă

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