ISBN: 9789334516258 - price dynamics from first principles: random walks, rough volatility, and neural sdes — volume i (2 Ergebnisse)

Zustand: New.

Gebundene Ausgabe. Zustand: 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.…