Atjaunināt sīkdatņu piekrišanu

Stochastic Processes and Calculus: An Elementary Introduction with Applications Softcover reprint of the original 1st ed. 2016 [Mīkstie vāki]

  • Formāts: Paperback / softback, 391 pages, height x width: 235x155 mm, weight: 629 g, 21 Illustrations, color; 24 Illustrations, black and white; XVIII, 391 p. 45 illus., 21 illus. in color., 1 Paperback / softback
  • Sērija : Springer Texts in Business and Economics
  • Izdošanas datums: 30-Mar-2019
  • Izdevniecība: Springer International Publishing AG
  • ISBN-10: 3319794825
  • ISBN-13: 9783319794822
Citas grāmatas par šo tēmu:
  • Mīkstie vāki
  • Cena: 60,29 €*
  • * ši ir gala cena, t.i., netiek piemērotas nekādas papildus atlaides
  • Standarta cena: 70,94 €
  • Ietaupiet 15%
  • Grāmatu piegādes laiks ir 3-4 nedēļas, ja grāmata ir uz vietas izdevniecības noliktavā. Ja izdevējam nepieciešams publicēt jaunu tirāžu, grāmatas piegāde var aizkavēties.
  • Daudzums:
  • Ielikt grozā
  • Piegādes laiks - 4-6 nedēļas
  • Pievienot vēlmju sarakstam
Stochastic Processes and Calculus: An Elementary Introduction with Applications Softcover reprint of the original 1st ed. 2016Palielināt
  • Formāts: Paperback / softback, 391 pages, height x width: 235x155 mm, weight: 629 g, 21 Illustrations, color; 24 Illustrations, black and white; XVIII, 391 p. 45 illus., 21 illus. in color., 1 Paperback / softback
  • Sērija : Springer Texts in Business and Economics
  • Izdošanas datums: 30-Mar-2019
  • Izdevniecība: Springer International Publishing AG
  • ISBN-10: 3319794825
  • ISBN-13: 9783319794822
Citas grāmatas par šo tēmu:
Permanent link: https://www.kriso.lv/db/9783319794822.html

This textbook gives a comprehensive introduction to stochastic processes and calculus in the fields of finance and economics, more specifically mathematical finance and time series econometrics. Over the past decades stochastic calculus and processes have gained great importance, because they play a decisive role in the modeling of financial markets and as a basis for modern time series econometrics. Mathematical theory is applied to solve stochastic differential equations and to derive limiting results for statistical inference on nonstationary processes.

This introduction is elementary and rigorous at the same time. On the one hand it gives a basic and illustrative presentation of the relevant topics without using many technical derivations. On the other hand many of the procedures are presented at a technically advanced level: for a thorough understanding, they are to be proven. In order to meet both requirements jointly, the present book is equipped with a lot of challenging problems at the end of each chapter as well as with the corresponding detailed solutions. Thus the virtual text - augmented with more than 60 basic examples and 40 illustrative figures - is rather easy to read while a part of the technical arguments is transferred to the exercise problems and their solutions.

Recenzijas

The book is quite readable and can be used as a textbook for the application of mathematical theory in the area of econometrics. Also, a mathematician might benefit from an intuitive exposition of some different and specific types of integration appearing in the theory of stochastic processes. The book might then serve as starting point for a more detailed study of the mathematical foundation of the topics presented. (Ludger Overback, Mathematical Reviews, October, 2016)

The book covers both discrete and continuous time stochastic processes, and it is of course in the second area where mathematical intricacies abound. All this is very much up to date and provides a most useful introduction to modern time series methods for anybody wishing to understand the mechanics without having to dig too deep into the mathematical foundations. (Walter Krämer, Statistics Papers, Vol. 57, 2016)

The construction of this book is based on the author experience of 15 years of teaching stochastic processes and calculus. book is therefore a very successful work on the task of providing the largest number of readers an introduction to stochastic processes and calculus simultaneously accessible and rigorous, with a wide exemplification of applications in various fields. Very important for readers in the fields of mathematics, finance and econometrics and also in biology, engineering or physics, but not only. (Prof. Dr. Manuel Alberto M. Ferreira, Acta Scientiae et Intellectus, Vol. 2 (2), 2016)

Introduction.- Part I Time Series Modeling.- Basic Concepts from
Probability Theory.- Autoregressive Moving Average Processes (ARMA).- Spectra
of Stationary Processes.- Long Memory and Fractional Integration.- Processes
with Autoregressive Conditional Heteroskedasticity (ARCH).- Part II
Stochastic Integrals.- Wiener Processes (WP).- Riemann Integrals.- Stieltjes
Integrals.- Ito Integrals.- Itos Lemma.- Part III Applications.- Stochastic
Differential Equations (SDE).- Interest Rate Models.- Asymptotics of
Integrated Processes.- Trends, Integration Tests and Nonsense Regressions.-
Cointegration Analysis.
Uwe Hassler studied mathematics and economics at Freie Universität Berlin and specialized in statistics and econometrics at the London School of Economics. He completed his doctoral studies in 1993 at Freie Universität. Hassler published in leading field journals such as Econometric Theory, Journal of Econometrics and Journal of Time Series Analysis. His main research interests are within the field of time series analysis. Since 2003 he is Professor of Statistics and Econometric Methods at Goethe University Frankfurt, Germany. Prior to joining Goethe University he held permanent or visiting positions at leading universities in Darmstadt, Munich and Muenster (Germany), and in Madrid (Spain). He has been teaching stochastic processes and calculus for 15 years.