Point Processes And Jump Diffusions

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Point Processes and Jump Diffusions
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Type: BOOK - Published: 2021-06-17 - Publisher: Cambridge University Press

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Develop a deep understanding and working knowledge of point-process theory as well as its applications in finance.
Point Processes and Jump Diffusions
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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
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WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk m
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This is the second volume of the reworked second edition of a key work on Point Process Theory. Fully revised and updated by the authors who have reworked their
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Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its ap