Stochastic processes and calculus :
xviii, 391 pages : illustrations ; 24 cm. - (Springer texts in business and economics ) Content notes : 1. Introduction.-
Part I Time Series Modeling.-
2. Basic Concepts from Probability Theory.-
3. Autoregressive Moving Average Processes (ARMA).-
4. Spectra of Stationary Processes.-
5. Long Memory and Fractional Integration.-
6. Processes with Autoregressive Conditional Heteroskedasticity (ARCH).-
Part II Stochastic Integrals.-
7. Wiener Processes (WP).-
8. Riemann Integrals.-
9. Stieltjes Integrals.-
10. Ito Integrals.-
11. Ito's Lemma.-
Part III Applications.-
12. Stochastic Differential Equations (SDE).-
13. Interest Rate Models.-
14. Asymptotics of Integrated Processes.-
15. Trends, Integration Tests and Nonsense Regressions.-
16. Cointegration Analysis. Econometrics. Finance - Mathematical methods.
