Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics

DOI10.1007/978-3-031-06361-9OpenAlexW4293200550MaRDI QIDQ2153594

Donatien Hainaut

Publication date: 11 July 2022

Published in: Bocconi \& Springer Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-031-06361-9

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Applications of continuous-time Markov processes on discrete state spaces (60J28) Financial markets (91G15) Jump processes on discrete state spaces (60J74)

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