Udvidet returret til d. 31. januar 2025

Bøger af Yuliya Mishura

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  • af Yuliya Mishura
    802,95 kr.

    This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.

  • - In Applications to Financial Markets
    af Yuliya Mishura & Kostiantyn Ralchenko
    1.975,95 kr.

  • af Yuliya Mishura, Kestutis Kubilius & Kostiantyn Ralchenko
    1.273,95 - 1.292,95 kr.

    This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. In particular, models of financial markets demonstrate various kinds of memory and usually this memory is modeled by fractional Brownian diffusion.

  • - With Applications to Financial Mathematics and Risk Theory
    af Dmytro Gusak, Alexander Kukush, Alexey Kulik, mfl.
    628,95 - 825,95 kr.

    Providing the necessary materials within a theoretical framework, this volume presents stochastic principles and processes, and related areas. Over 1000 exercises illustrate the concepts discussed, including modern approaches to sample paths and optimal stopping.

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