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Ambit Stochastics

Hardcover • 2018 • 1. edition

Ambit Stochastics

By Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart

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About the book

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 intermitten...Show more

Finance and accounting

Book details

ISBN

9783319941288

Publisher

Springer International Publishing AG

Published year

2018

Language

Edition

1

Original title

Ambit Stochastics

Format

Hardcover

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