Ambit Stochastics
-15%
portes grátis
Ambit Stochastics
; ;
Springer International Publishing AG
11/2018
402
Dura
Inglês
9783319941288
15 a 20 dias
Descrição não disponível.
Part I The purely temporal case.- 1 Volatility modulated Volterra processes.- 2 Simulation.- 3 Asymptotic theory for power variation of LSS processes.- 4 Integration with respect to volatility modulated Volterra processes.- Part II The spatio-temporal case.- 5 The ambit framework.- 6 Representation and simulation of ambit fields.- 7 Stochastic integration with ambit fields as integrators.- 8 Trawl processes.- Part III Applications.- 9 Turbulence modelling.- 10 Stochastic modelling of energy spot prices by LSS processes.- 11 Forward curve modelling by ambit fields.- Appendix A: Bessel functions.- Appendix B: Generalised hyperbolic distribution.- References.- Index.
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Part I The purely temporal case.- 1 Volatility modulated Volterra processes.- 2 Simulation.- 3 Asymptotic theory for power variation of LSS processes.- 4 Integration with respect to volatility modulated Volterra processes.- Part II The spatio-temporal case.- 5 The ambit framework.- 6 Representation and simulation of ambit fields.- 7 Stochastic integration with ambit fields as integrators.- 8 Trawl processes.- Part III Applications.- 9 Turbulence modelling.- 10 Stochastic modelling of energy spot prices by LSS processes.- 11 Forward curve modelling by ambit fields.- Appendix A: Bessel functions.- Appendix B: Generalised hyperbolic distribution.- References.- Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
