Contact
How to shop
Delivery
Shopping guide
English
146 b
Up to 30 days for returns
Customers also purchased
/
Paperback
32.04
€
/
Paperback
39.73
€
/
Paperback
14.45
€
/
Paperback
13.64
€
In his PhD dissertation, Bachelier (1900) tried, for the first time in history, to model the asset prices on the Paris stock exchange through stochastic processes. In particular, he used the so-called Brownian motions (or Wiener processes) simply because they proved themselves very useful for describing many natural phenomena (like the heat transfer). Finance, nowadays, heavily relies on Wiener processes (also called diffusion processes) for describing the dynamic behaviour of asset prices. More recently, and mainly because of the big financial crisis which burst in 2007/2008, also so-called jump processes have become relevant in finance: they describe the behaviour of a stochastic variable which may take a finite variation in an infinitesimal time interval (i.e. a so-called jump). In this book we will present the main theoretical properties of diffusion and jump processes together with numerical applications written in R.
About the book
English
Categories
Give this book today
It's easy
1 Add to cart and choose Deliver as present at the checkout 2 We'll send you a voucher 3 The book will arrive at the recipient's addressYou might also be interested in
/
Paperback
7.17
€
/
Adobe ePub DRM
60.76
€
/
Hardback
14.15
€
Hi! I'm Libroamiko, your book advisor.
How can I help you?