ISBN: 9789334538397 - price dynamics from first principles: random walks, rough volatility, and neural sdes - volume i (black & white edition) (11 resultados)

Condición: New.

Gebundene Ausgabe. Condición: Neu. Most books on price dynamics assume you already know the mathematics. This one teaches it.This book begins with a coin flip and builds toward a calibrated volatility surface. Then it takes the framework beyond the Black-Scholes frontier, into regime switching, long memory, rough volatility, agent-based markets, machine learning, generative models, and neural stochastic differential equations.THE MODELS COVERED IN THIS BOOK? The random walk - ruin, the arcsine law, and why square-root scaling is not a metaphor? Arithmetic Brownian motion - Bachelier's forgotten thesis, and the negative prices of April 2020? Geometric Brownian motion - the log-normal world and exactly where it lies to you? Mean-reverting models - Ornstein-Uhlenbeck, and the trap of estimating a half-life from short samples? Jump diffusion and L?vy processes - what a crash is, mathematically? Stochastic, local, and stochastic-local volatility - Heston, Dupire, and the smile? GARCH - volatility clustering, and why yesterday still mattersTHE INTERPRETATION SECTIONS ARE THE POINT OF THE BOOK.Plenty of readers can fit a model. Far fewer can say why the persistence estimate crept toward one, what a negative estimated jump intensity means, when a calibrated local volatility surface should be disbelieved, or why adding one parameter can flip the sign of another.FORSelf-taught quants, graduate students entering mathematical finance and industry practitioners. Sprache: Englisch Gewicht in Gramm: 1082.…

Hardcover. Condición: new. Hardcover. Most books on price dynamics assume you already know the mathematics. This one teaches it.This book begins with a coin flip and builds toward a calibrated volatility surface. Then it takes the framework beyond the Black-Scholes frontier, into regime switching, long memory, rough volatility, agent-based markets, machine learning, generative models, and neural stochastic differential equations.THE MODELS COVERED IN THIS BOOK- The random walk - ruin, the arcsine law, and why square-root scaling is not a metaphor- Arithmetic Brownian motion - Bachelier's forgotten thesis, and the negative prices of April 2020- Geometric Brownian motion - the log-normal world and exactly where it lies to you- Mean-reverting models - Ornstein-Uhlenbeck, and the trap of estimating a half-life from short samples- Jump diffusion and Levy processes - what a crash is, mathematically- Stochastic, local, and stochastic-local volatility - Heston, Dupire, and the smile- GARCH - volatility clustering, and why yesterday still mattersTHE INTERPRETATION SECTIONS ARE THE POINT OF THE BOOK.Plenty of readers can fit a model. Far fewer can say why the persistence estimate crept toward one, what a negative estimated jump intensity means, when a calibrated local volatility surface should be disbelieved, or why adding one parameter can flip the sign of another.FORSelf-taught quants, graduate students entering mathematical finance and industry practitioners. Across the two volumes: 19 chapters, 8 mathematical appendices, 156 figures, and 688 exercises with full worked solutions to nearly all of them, and one hundred conceptual questions per chapter. This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. …

HRD. Condición: New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000.

HRD. Condición: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000.

Buch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware 510 pp. Englisch.

Hardcover. Condición: new. Hardcover. Most books on price dynamics assume you already know the mathematics. This one teaches it.This book begins with a coin flip and builds toward a calibrated volatility surface. Then it takes the framework beyond the Black-Scholes frontier, into regime switching, long memory, rough volatility, agent-based markets, machine learning, generative models, and neural stochastic differential equations.THE MODELS COVERED IN THIS BOOK- The random walk - ruin, the arcsine law, and why square-root scaling is not a metaphor- Arithmetic Brownian motion - Bachelier's forgotten thesis, and the negative prices of April 2020- Geometric Brownian motion - the log-normal world and exactly where it lies to you- Mean-reverting models - Ornstein-Uhlenbeck, and the trap of estimating a half-life from short samples- Jump diffusion and Levy processes - what a crash is, mathematically- Stochastic, local, and stochastic-local volatility - Heston, Dupire, and the smile- GARCH - volatility clustering, and why yesterday still mattersTHE INTERPRETATION SECTIONS ARE THE POINT OF THE BOOK.Plenty of readers can fit a model. Far fewer can say why the persistence estimate crept toward one, what a negative estimated jump intensity means, when a calibrated local volatility surface should be disbelieved, or why adding one parameter can flip the sign of another.FORSelf-taught quants, graduate students entering mathematical finance and industry practitioners. Across the two volumes: 19 chapters, 8 mathematical appendices, 156 figures, and 688 exercises with full worked solutions to nearly all of them, and one hundred conceptual questions per chapter. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. …

Buch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Most books on price dynamics assume you already know the mathematics. This one teaches it.This book begins with a coin flip and builds toward a calibrated volatility surface. Then it takes the framework beyond the Black-Scholes frontier, into regime switching, long memory, rough volatility, agent-based markets, machine learning, generative models, and neural stochastic differential equations.THE MODELS COVERED IN THIS BOOK¿ The random walk - ruin, the arcsine law, and why square-root scaling is not a metaphor¿ Arithmetic Brownian motion - Bachelier's forgotten thesis, and the negative prices of April 2020¿ Geometric Brownian motion - the log-normal world and exactly where it lies to you¿ Mean-reverting models - Ornstein-Uhlenbeck, and the trap of estimating a half-life from short samples¿ Jump diffusion and Lévy processes - what a crash is, mathematically¿ Stochastic, local, and stochastic-local volatility - Heston, Dupire, and the smile¿ GARCH - volatility clustering, and why yesterday still mattersTHE INTERPRETATION SECTIONS ARE THE POINT OF THE BOOK.Plenty of readers can fit a model. Far fewer can say why the persistence estimate crept toward one, what a negative estimated jump intensity means, when a calibrated local volatility surface should be disbelieved, or why adding one parameter can flip the sign of another.FORSelf-taught quants, graduate students entering mathematical finance and industry practitioners.…

Hardcover. Condición: new. Hardcover. Most books on price dynamics assume you already know the mathematics. This one teaches it.This book begins with a coin flip and builds toward a calibrated volatility surface. Then it takes the framework beyond the Black-Scholes frontier, into regime switching, long memory, rough volatility, agent-based markets, machine learning, generative models, and neural stochastic differential equations.THE MODELS COVERED IN THIS BOOK- The random walk - ruin, the arcsine law, and why square-root scaling is not a metaphor- Arithmetic Brownian motion - Bachelier's forgotten thesis, and the negative prices of April 2020- Geometric Brownian motion - the log-normal world and exactly where it lies to you- Mean-reverting models - Ornstein-Uhlenbeck, and the trap of estimating a half-life from short samples- Jump diffusion and Levy processes - what a crash is, mathematically- Stochastic, local, and stochastic-local volatility - Heston, Dupire, and the smile- GARCH - volatility clustering, and why yesterday still mattersTHE INTERPRETATION SECTIONS ARE THE POINT OF THE BOOK.Plenty of readers can fit a model. Far fewer can say why the persistence estimate crept toward one, what a negative estimated jump intensity means, when a calibrated local volatility surface should be disbelieved, or why adding one parameter can flip the sign of another.FORSelf-taught quants, graduate students entering mathematical finance and industry practitioners. Across the two volumes: 19 chapters, 8 mathematical appendices, 156 figures, and 688 exercises with full worked solutions to nearly all of them, and one hundred conceptual questions per chapter. This item is printed on demand. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. …

Buch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Most books on price dynamics assume you already know the mathematics. This one teaches it.This book begins with a coin flip and builds toward a calibrated volatility surface. Then it takes the framework beyond the Black-Scholes frontier, into regime switching, long memory, rough volatility, agent-based markets, machine learning, generative models, and neural stochastic differential equations.THE MODELS COVERED IN THIS BOOK¿ The random walk - ruin, the arcsine law, and why square-root scaling is not a metaphor¿ Arithmetic Brownian motion - Bachelier's forgotten thesis, and the negative prices of April 2020¿ Geometric Brownian motion - the log-normal world and exactly where it lies to you¿ Mean-reverting models - Ornstein-Uhlenbeck, and the trap of estimating a half-life from short samples¿ Jump diffusion and Lévy processes - what a crash is, mathematically¿ Stochastic, local, and stochastic-local volatility - Heston, Dupire, and the smile¿ GARCH - volatility clustering, and why yesterday still mattersTHE INTERPRETATION SECTIONS ARE THE POINT OF THE BOOK.Plenty of readers can fit a model. Far fewer can say why the persistence estimate crept toward one, what a negative estimated jump intensity means, when a calibrated local volatility surface should be disbelieved, or why adding one parameter can flip the sign of another.FORSelf-taught quants, graduate students entering mathematical finance and industry practitioners. 510 pp. Englisch.…

Buch. Condición: Neu. Price Dynamics from First Principles - Volume I (B&W) | Random Walks, Rough Volatility, and Neural SDEs - Volume I | Sridhar P L | Buch | Englisch | 2026 | Eudaimonia | EAN 9789334538397 | Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, 36244 Bad Hersfeld, gpsr[at]libri[dot]de | Anbieter: preigu Print on Demand. …