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Discretization of Processes

Previously published in hardcover
BuchKartoniert, Paperback
596 Seiten
Englisch
Springererschienen am28.11.20132012
This book will be of special interest to researchers, combining the theory of mathematical finance with its investigation using market data, and it will also prove to be useful in a broad range of applications, such as to mathematical biology, chemical engineering, and physics.mehr
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EUR69,54
BuchKartoniert, Paperback
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E-BookPDF1 - PDF WatermarkE-Book
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Produkt

KlappentextThis book will be of special interest to researchers, combining the theory of mathematical finance with its investigation using market data, and it will also prove to be useful in a broad range of applications, such as to mathematical biology, chemical engineering, and physics.
ZusammenfassungUsing classic statistical tools, this book synthesizes ten years of research to establish a sohisticated theory of how to go about estimating not just scalar parameters of a proposed model, but also the underlying structure of the model itself.

Inhalt/Kritik

Inhaltsverzeichnis
Part I Introduction and Preliminary Material.- 1.Introduction .- 2.Some Prerequisites.- Part II The Basic Results.- 3.Laws of Large Numbers: the Basic Results.- 4.Central Limit Theorems: Technical Tools.- 5.Central Limit Theorems: the Basic Results.- 6.Integrated Discretization Error.- Part III More Laws of Large Numbers.- 7.First Extension: Random Weights.- 8.Second Extension: Functions of Several Increments.- 9.Third Extension: Truncated Functionals.- Part IV Extensions of the Central Limit Theorems.- 10.The Central Limit Theorem for Random Weights.- 11.The Central Limit Theorem for Functions of a Finite Number of Increments.- 12.The Central Limit Theorem for Functions of an Increasing Number of Increments.- 13.The Central Limit Theorem for Truncated Functionals.- Part V Various Extensions.- 14.Irregular Discretization Schemes. 15.Higher Order Limit Theorems.- 16.Semimartingales Contaminated by Noise.- Appendix.- References.- Assumptions.- Index of Functionals.- Index.mehr

Schlagworte