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Prediction of Lévy-driven CARMA processes

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High dimensional dynamic stochastic copula models

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Quasi-likelihood estimation of a threshold diffusion process

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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

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Money and Mathematics : A Conversational Approach to Modern Financial Mathematics and Insurance

Korn, Ralf; Luderer, Bernd - 2021 - 1st ed. 2021.

—Portfolio Theory -- 51. A Portfolio of Shares -- 52. Risky Investments: Everything Under Control -- 53. Negative with a Positive Impact … mathematics. The book also contains a collection of basic concepts and formulas of financial mathematics and of probability theory …

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Bootstrapping non-stationary stochastic volatility

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Likelihood ratio testing in linear state space models : an application to dynamic stochastic general equilibrium models

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The Brownian Motion : A Rigorous but Gentle Introduction for Economists

Löffler, Andreas; Kruschwitz, Lutz - 2019 - 1st ed. 2019

Introduction -- Set Theory -- Measures and Probabilities -- Random Variables -- Expectation and Lebesque Integral … introduction to the formal backgrounds of modern financial theory. It explains Brownian motion, random processes, measures, and …

Persistent link: https://www.econbiz.de/10012398673