Wiener Chaos: Moments, Cumulants and Diagrams

Giovanni Peccati, Murad S Taqqu

• Paperback | Engels | Bocconi & Springer | nr. 1
• The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogonal polynomials associated with probability distri... Lees meer

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Aurélien Alfonsi

• Hardcover | Engels | Bocconi & Springer | nr. 6
• This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such... Lees meer

Continuous Time Processes for Finance

Donatien Hainaut

• Paperback | Engels | Bocconi & Springer | nr. 12
• This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often ne... Lees meer

Functionals of Multidimensional Diffusions with Applications to Finance

Jan Baldeaux, Eckhard Platen

• Hardcover | Engels | Bocconi & Springer | nr. 5
• This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fouri... Lees meer

Functionals of Multidimensional Diffusions with Applications to Finance

Jan Baldeaux, Eckhard Platen

• Paperback | Engels | Bocconi & Springer | nr. 5
• This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fouri... Lees meer

Stochastic Calculus Via Regularizations

Francesco Russo, Pierre Vallois

• Hardcover | Engels | Bocconi & Springer | nr. 11
• The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the o... Lees meer

Parameter Estimation in Fractional Diffusion Models

Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

• Hardcover | Engels | Bocconi & Springer | nr. 8
• This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, stand... Lees meer

Parameter Estimation in Fractional Diffusion Models

Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

• Paperback | Engels | Bocconi & Springer | nr. 8
• This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, stand... Lees meer

Selected Topics in Malliavin Calculus

Laurent Decreusefond

• Paperback | Engels | Bocconi & Springer | nr. 10
• This book is not a research monograph about Malliavin calculus with the latest results and the most sophisticated proofs. It does not contain all the ... Lees meer

Stochastic Analysis for Poisson Point Processes

• Paperback | Engels | Bocconi & Springer | nr. 7
• Stochastic geometry is the branch of mathematics that studies geometric structures associated with random configurations, such as random graphs, tilin... Lees meer

Peacocks and Associated Martingales, with Explicit Constructions

Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor

• Hardcover | Engels | Bocconi & Springer | nr. 3
• We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep t... Lees meer

PDE and Martingale Methods in Option Pricing

Andrea Pascucci

• Hardcover | Engels | Bocconi & Springer | nr. 2
• This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is des... Lees meer

Stochastic Analysis for Poisson Point Processes

• Hardcover | Engels | Bocconi & Springer | nr. 7
• Stochastic geometry is the branch of mathematics that studies geometric structures associated with random configurations, such as random graphs, tilin... Lees meer

Selected Topics in Malliavin Calculus

Laurent Decreusefond

• Hardcover | Engels | Bocconi & Springer | nr. 10
• This book is not a research monograph about Malliavin calculus with the latest results and the most sophisticated proofs. It does not contain all the ... Lees meer

Selected Aspects of Fractional Brownian Motion

Ivan Nourdin

• Hardcover | Engels | Bocconi & Springer | nr. 4
• Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically... Lees meer

Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations

Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura

• Paperback | Engels | Bocconi & Springer | nr. 9
• This book is devoted to unstable solutions of stochastic differential equations (SDEs). Despite the huge interest in the theory of SDEs, this book is ... Lees meer

Stochastic Calculus Via Regularizations

Francesco Russo, Pierre Vallois

• Paperback | Engels | Bocconi & Springer | nr. 11
• The book constitutes an introduction to stochastic calculus, stochastic differential equations and related topics such as Malliavin calculus. On the o... Lees meer

Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations

Grigorij Kulinich, Svitlana Kushnirenko, Yuliya Mishura

• Hardcover | Engels | Bocconi & Springer | nr. 9
• This book is devoted to unstable solutions of stochastic differential equations (SDEs). Despite the huge interest in the theory of SDEs, this book is ... Lees meer

Peacocks and Associated Martingales, with Explicit Constructions

Francis Hirsch, Christophe Profeta, Bernard Roynette, Marc Yor

• Paperback | Engels | Bocconi & Springer
• We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep t... Lees meer

Affine Diffusions and Related Processes: Simulation, Theory and Applications

Aurélien Alfonsi

• Paperback | Engels | Bocconi & Springer | nr. 6
• This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such... Lees meer

Continuous Time Processes for Finance

Donatien Hainaut

• Hardcover | Engels | Bocconi & Springer | nr. 12
• This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often ne... Lees meer

Wiener Chaos: Moments, Cumulants and Diagrams

Giovanni Peccati, Murad S Taqqu

• Hardcover | Engels | Bocconi & Springer | nr. 1
• The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogonal polynomials associated with probability distri... Lees meer

Selected Aspects of Fractional Brownian Motion

Ivan Nourdin

• Paperback | Engels | Bocconi & Springer | nr. 4
• Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically... Lees meer

Pde and Martingale Methods in Option Pricing

Andrea Pascucci

• Paperback | Engels | Bocconi & Springer
• This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is des... Lees meer