Point processes and jump diffusions: an introduction with finance applications
The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students look...
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, United Kingdom ; New York, NY, USA ; Port Melbourne, VIC, Australia ; New Delhi, India ; Singapore
Cambridge University Press
2021
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| Subjects: | |
| Online Access: | Rezension |
| Summary: | The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area. This book gives an intuitive picture of the central concepts as well as the deeper results, while presenting the mathematical theory in a rigorous fashion and discussing applications in filtering theory and financial economics. Consequently, readers will get a deep understanding of the theory and how to use it. A number of exercises of differing levels of difficulty are included, providing opportunities to put new ideas into practice. Graduate students in mathematics, finance and economics will gain a good working knowledge of point-process theory, allowing them to progress to independent research |
| Item Description: | Title from publisher's bibliographic system (viewed on 28 May 2021) |
| Physical Description: | x, 309 Seiten Illustrationen |
| ISBN: | 9781316518670 |
Staff View
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| discipline | Mathematik |
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| illustrated | Illustrated |
| index_date | 2024-07-03T18:38:45Z |
| indexdate | 2024-07-10T09:16:02Z |
| institution | BVB |
| isbn | 9781316518670 |
| language | English |
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| physical | x, 309 Seiten Illustrationen |
| publishDate | 2021 |
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| publisher | Cambridge University Press |
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| spelling | Björk, Tomas 1947-2021 Verfasser (DE-588)171979257 aut Point processes and jump diffusions an introduction with finance applications Tomas Björk (Stockholm School of Economics) Cambridge, United Kingdom ; New York, NY, USA ; Port Melbourne, VIC, Australia ; New Delhi, India ; Singapore Cambridge University Press 2021 x, 309 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Title from publisher's bibliographic system (viewed on 28 May 2021) The theory of marked point processes on the real line is of great and increasing importance in areas such as insurance mathematics, queuing theory and financial economics. However, the theory is often viewed as technically and conceptually difficult and has proved to be a block for PhD students looking to enter the area. This book gives an intuitive picture of the central concepts as well as the deeper results, while presenting the mathematical theory in a rigorous fashion and discussing applications in filtering theory and financial economics. Consequently, readers will get a deep understanding of the theory and how to use it. A number of exercises of differing levels of difficulty are included, providing opportunities to put new ideas into practice. Graduate students in mathematics, finance and economics will gain a good working knowledge of point-process theory, allowing them to progress to independent research Punktprozess (DE-588)4138173-7 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 gnd rswk-swf Point processes Diffusion processes Punktprozess (DE-588)4138173-7 s Diffusionsprozess (DE-588)4274463-5 s DE-604 Erscheint auch als Björk, Tomas Point processes and jump diffusions Cambridge : Cambridge University Press, 2021 1 Online-Ressource (x, 309 pages) Online-Ausgabe 978-1-00-900212-7 https://zbmath.org/?q=an%3A7340873 zbMATH kostenfrei Rezension |
| spellingShingle | Björk, Tomas 1947-2021 Point processes and jump diffusions an introduction with finance applications Punktprozess (DE-588)4138173-7 gnd Diffusionsprozess (DE-588)4274463-5 gnd |
| subject_GND | (DE-588)4138173-7 (DE-588)4274463-5 |
| title | Point processes and jump diffusions an introduction with finance applications |
| title_auth | Point processes and jump diffusions an introduction with finance applications |
| title_exact_search | Point processes and jump diffusions an introduction with finance applications |
| title_exact_search_txtP | Point processes and jump diffusions an introduction with finance applications |
| title_full | Point processes and jump diffusions an introduction with finance applications Tomas Björk (Stockholm School of Economics) |
| title_fullStr | Point processes and jump diffusions an introduction with finance applications Tomas Björk (Stockholm School of Economics) |
| title_full_unstemmed | Point processes and jump diffusions an introduction with finance applications Tomas Björk (Stockholm School of Economics) |
| title_short | Point processes and jump diffusions |
| title_sort | point processes and jump diffusions an introduction with finance applications |
| title_sub | an introduction with finance applications |
| topic | Punktprozess (DE-588)4138173-7 gnd Diffusionsprozess (DE-588)4274463-5 gnd |
| topic_facet | Punktprozess Diffusionsprozess |
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