Stochastic Processes for Risk Management: With Applications in R - Couverture souple

Menoncin, Francesco

 
9783659844430: Stochastic Processes for Risk Management: With Applications in R
Couverture souple
ISBN 10 : 3659844438 ISBN 13 : 9783659844430
Editeur : Scholars' Press, 2016

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Scholars' Press
Date d'édition
2016
Langue
anglais
ISBN 10 
3659844438
ISBN 13 
9783659844430
Reliure
Broché
Nombre de pages
132
Coordonnées du fabricant
non disponible
Personne responsable
KreGa Onlinehandel GmbH
4950000000000
info@krega-onlinehandel.de

Birkenweg 31
Brakel
33034
Allemagne