Continuous time processes for finance: switching, self-exciting, fractional and other recent dynamics
Auteur :
Hainaut, Donatien
Éditeur :
Springer International Publishing AG
ISBN :
9783031063602
Date de publication :
26 août 2022
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets.