Bøger af Stefano M. Iacus

The YUIMA package is the first comprehensive R framework based on S4 classes and methods which allows for the simulation of stochastic differential equations driven by Wiener process, Levy processes or fractional Brownian motion, as well as CARMA, COGARCH, and Point processes.

This book covers a highly relevant topic that is of wide interest, especially in finance, engineering and computational biology. With an emphasis on the practical implementation of the simulation and estimation methods presented, the text will be useful to practitioners with minimal mathematical background.