Stochastic Processes and Calculus An Elementary Introduction with Applications /
| Autor Principal: | |
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| Autor Corporativo: | |
| Summary: | XVIII, 391 p. 45 illus., 21 illus. in color. text |
| Idioma: | inglés |
| Publicado: |
Cham :
Springer International Publishing : Imprint: Springer,
2016.
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| Edición: | 1st ed. 2016. |
| Series: | Springer Texts in Business and Economics,
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| Subjects: | |
| Acceso en liña: | https://doi.org/10.1007/978-3-319-23428-1 |
| Formato: | Electrónico Libro |
Table of Contents:
- 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
- Ito’s Lemma
- Part III Applications
- Stochastic Differential Equations (SDE)
- Interest Rate Models
- Asymptotics of Integrated Processes
- Trends, Integration Tests and Nonsense Regressions
- Cointegration Analysis.