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Stochastic Filtering With Applications In Finance (Hardcover)
Loot Price: R3,255
Discovery Miles 32 550
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Stochastic Filtering With Applications In Finance (Hardcover)
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Total price: R3,275
Discovery Miles: 32 750
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This book provides a comprehensive account of stochastic filtering
as a modeling tool in finance and economics. It aims to present
this very important tool with a view to making it more popular
among researchers in the disciplines of finance and economics. It
is not intended to give a complete mathematical treatment of
different stochastic filtering approaches, but rather to describe
them in simple terms and illustrate their application with real
historical data for problems normally encountered in these
disciplines. Beyond laying out the steps to be implemented, the
steps are demonstrated in the context of different market segments.
Although no prior knowledge in this area is required, the reader is
expected to have knowledge of probability theory as well as a
general mathematical aptitude.Its simple presentation of complex
algorithms required to solve modeling problems in increasingly
sophisticated financial markets makes this book particularly
valuable as a reference for graduate students and researchers
interested in the field. Furthermore, it analyses the model
estimation results in the context of the market and contrasts these
with contemporary research publications. It is also suitable for
use as a text for graduate level courses on stochastic modeling.
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