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Ambit Stochastics by Fred Espen Benth (English) Paperback Book

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US $155.32
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eBay item number:386720715010
Last updated on 22 Sep, 2024 16:46:23 BSTView all revisionsView all revisions

Item specifics

Condition
New: A new, unread, unused book in perfect condition with no missing or damaged pages. See the ...
ISBN-13
9783030068028
Book Title
Ambit Stochastics
ISBN
9783030068028
Subject Area
Mathematics, Science
Publication Name
Ambit Stochastics
Publisher
Springer International Publishing A&G
Item Length
9.2 in
Subject
Probability & Statistics / Stochastic Processes, Probability & Statistics / General, Applied, Physics / Mathematical & Computational
Publication Year
2018
Series
Probability Theory and Stochastic Modelling Ser.
Type
Textbook
Format
Trade Paperback
Language
English
Item Height
0.9 in
Author
Fred Espen Benth, Almut E. D. Veraart, Ole E. Barndorff-Nielsen
Item Weight
23 Oz
Item Width
6.1 in
Number of Pages
Xxv, 402 Pages

About this product

Product Identifiers

Publisher
Springer International Publishing A&G
ISBN-10
3030068021
ISBN-13
9783030068028
eBay Product ID (ePID)
11038398756

Product Key Features

Number of Pages
Xxv, 402 Pages
Language
English
Publication Name
Ambit Stochastics
Publication Year
2018
Subject
Probability & Statistics / Stochastic Processes, Probability & Statistics / General, Applied, Physics / Mathematical & Computational
Type
Textbook
Author
Fred Espen Benth, Almut E. D. Veraart, Ole E. Barndorff-Nielsen
Subject Area
Mathematics, Science
Series
Probability Theory and Stochastic Modelling Ser.
Format
Trade Paperback

Dimensions

Item Height
0.9 in
Item Weight
23 Oz
Item Length
9.2 in
Item Width
6.1 in

Additional Product Features

Intended Audience
Trade
Reviews
"The book is very well written ... . this monograph is particularly suitable for getting acquainted with the subject, or for getting precise material on one particular sub-topic about ambit fields." (Anthony Réveillac, Mathematical Reviews, January, 2020)
Series Volume Number
88
Number of Volumes
1 vol.
Illustrated
Yes
Table Of Content
Part I The purely temporal case.- 1 Volatility modulated Volterra processes.- 2 Simulation.- 3 Asymptotic theory for power variation of LSS processes.- 4 Integration with respect to volatility modulated Volterra processes.- Part II The spatio-temporal case.- 5 The ambit framework.- 6 Representation and simulation of ambit fields.- 7 Stochastic integration with ambit fields as integrators.- 8 Trawl processes.- Part III Applications.- 9 Turbulence modelling.- 10 Stochastic modelling of energy spot prices by LSS processes.- 11 Forward curve modelling by ambit fields.- Appendix A: Bessel functions.- Appendix B: Generalised hyperbolic distribution.- References.- Index.
Synopsis
Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context. Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.
LC Classification Number
QA273.A1-274.9

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