Continuous Time Processes for Finance: Switching, Self-exciting, Fractional and other Recent Dynamics

This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in the existing mathematical finance literature while it is crucial for risk management. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets. After a presentation of their mathematical features and applications to sks and interest rates, the estimation with the Hami...