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Continuous Time Approach to Financial Volatility. 金融ボラティリティへの連続時間アプローチ
・ISBN 978-0-521-83440-7 hard US$ 75.00
￥17,572.- (税込) ※（※）価格はご注文時の参考価格となります。
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お気に入り
★★★
| 著者・編者 | Barndorff-Nielsen, Ole / Shephard, N., |
|---|---|
| シリーズ | Mathematics, Finance and Risk |
| 出版社 | (Cambridge U. Pr., UK) |
| 出版年月 | 2011 |
| ページ数 | 450 pp. |
| 言語 | ENG |
| ニュース番号 | ＜511-296＞ |
解説
The idea of this book is to explain how Levy processes can be used to study some problems in finance. The necessary technology is motivated and justified in an opening chapter, and is then followed by chapters explaining the mathematics and computational aspects of the subject. The heart of the book describes applications, with further mathematical ideas introduced as and when needed. The authors cover new ideas not presented in book form before, blending theory and practice, and this account will be of value to all those working in mathematical finance, financial econometrics, probability and statistics.