Titlebook: Continuous Time Processes for Finance; Switching, Self-exci Donatien Hainaut Book 2022 The Editor(s) (if applicable) and The Author(s), und

OATH

Gaussian Fields for Asset Prices, one of the main motivations justifying the study of fractional Brownian motion (fBm) seen in Chap. .. Gaussian fields offer a natural extension of fBm in which the marginal distribution is Gaussian with various covariance structures.

說(shuō)明

名字的誤用

Switching Models: Properties and Estimation,hat this model fails to account for economic cycles because increments are independent and identically distributed. A reliable solution for modeling economic cycles consists in modulating the parameters of a basis process, e.g., a Brownian motion by a hidden Markov chain. This approach has received

短程旅游

Estimation of Continuous Time Processes by Markov Chain Monte Carlo,carry out when the calculation of the likelihood is computationally intensive, as for instance in the multivariate extension of switching models of Chap. .. This chapter presents an alternative to maximum likelihood estimation based on a Bayesian learning paradigm. This estimation procedure, called

Brocas-Area

ATRIA

Stress-Fracture

Non-Markov Models for Contagion and Spillover,the occurrence of a shock depends on previous ones. In the most common specification, the intensity of jumps, that is akin to the instantaneous probability of a shock, increases as soon as a jump is observed. The influence of this jump on the intensity next decays with time according to a memory fun

多山

Fractional Brownian Motion,ltifractal process competes with GARCH models, whereas the Heston model of Chap. . achieves a better likelihood than the Black and Scholes model. On the other hand, models based on fractional Brownian motion (fBm) have emerged in recent years. For instance, in the rough Heston model, the volatility

Ondines-curse

Gaussian Fields for Asset Prices,ing securities. Assuming that asset returns are ruled by a Brownian motion with drift is convenient for mathematical developments. However, this model does not replicate the time dependence observed for some asset classes, as underlined by Willinger et al. (Finance Stoch 3:1–13, 1999). This point is