書名:Physical Kinetics Course of Theoretical Physics Vol:10 作者:LIFSHITZ 出版社:HB ISBN:9780750626354
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書名:Quantum Electrodynamics 2/e Course of Theoretical Physics Vol:4 作者:BERESTETSKII 出版社:HB ISBN:9780750633710
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書名:Theory of Elasticity 3/e Course of Theoretical Physics Vol:7 作者:LANDAU 出版社:HB ISBN:9780750626330
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時間序列分析:總體經濟與財務金融之應用 ISBN13:9789865492366 出版社:雙葉書廊 作者:陳旭昇 裝訂/頁數:平裝/560頁 規格:26cm*19cm*2.5cm (高/寬/厚) 版次:3 出版日:2022/06/01 中國圖書分類:數理統計 內容簡介 本書以直觀且有系統的方式,介紹讀者現代時間序列的計量分析工具,內容力求理論與應用上之平衡,除了希望讀者了解如何從事總體與財金的實證研究,也期望讀者能夠掌握其背後的理論基礎。本書除了涵蓋傳統教科書一般時間序列的主題外,更進一步探討結構性變動、樣本外預測、蒙地卡羅模擬、樣本重抽法(Bootstrap)、VAR/SVAR/VECM 模型,以及總體 DSGE模型。每一個主題都有總體經濟或是財務金融的實例應用,並說明如何以計量軟體執行估計、檢定、預測與模擬。閱讀本書將有助於讀者從事總體經濟或財金領域的實證研究與研讀相關實證文獻。 第三版最大的特色為為專章介紹 EViews 程式撰寫、預測模型及對於 VAR 與 SVAR 之間連結的部分也有更細膩的討論。期待透過新的角度切入,能夠讓對時間序列方法有興趣的讀者有更深入的理解與體會。 本書特色 1. 介紹 EViews 程式撰寫。 2. 內容兼顧時間序列理論與應用之平衡。 3. 介紹樣本重抽法(Bootstrap)與總體 DSGE 模型。 4. 詳細介紹 VAR/SVAR/VECM 模型。 目錄 第01章 時間序列導論 1.1 時間序列資料 1.2 時間序列資料性質 1.3 時間序列的重要動差 1.4 定態時間序列 1.5 樣本動差 1.6 固定趨勢 1.7 季節性 1.8 總體與財金時間序列資料 第02章 Eviews 簡介 2.1 EViews 的使用簡介 2.2 指令概述 2.3 程式專屬變數 2.4 程式的執行控制 2.5 EViews 程式範例 2.6 EViews 指令採集視窗 第03章 ARMA 模型 3.1 定態時間序列模型 3.2 移動平均模型 3.3 自我迴歸 AR 模型與其定態條件 3.4 一階自我迴歸 AR(1) 模型 3.5 AR(1) 模型之估計 3.6 AR(1) 模型之衝擊反應函數 3.7 實例應用:實質匯率與購買力平價 3.8 p 階自我迴歸 AR(p) 模型 3.9 ARMA 模型 3.10 Wold Representation 定理 第04章 時間序列迴歸分析 4.1 時間序列漸近理論 4.2 時間序列迴歸模型 4.3 Newey-West HAC 估計式 4.4 常用的時間序列迴歸模型 4.5 AR 係數估計式的大樣本性質 4.6 AR 係數估計式的小樣本偏誤 4.7 實例:估計菲利浦曲線 第05章 預測 5.1 時間序列預測模型 5.2 AR(1) 模型之預測 5.3 AR(p) 模型之預測 5.4 即時預測 5.5 擬真樣本外預測 5.6 樣本外預測之應用 5.7 透過 EViews 執行動態預測 5.8 附錄 第06章 單根與隨機趨勢 6.1 隨機漫步模型 6.2 非定態時間序列:帶有趨勢之序列 6.3 隨機趨勢造成的問題 6.4 時間序列的單根檢定 6.5 實例應用:對實質匯率的單根檢定 6.6 ADF 檢定的檢定力 6.7 其他單根檢定 6.8 如何處理時間序列的單根 6.9 去除趨勢後定態 vs. 差分後定態 6.10 追蹤資料單根檢定 6.11 實例應用:再探購買力平價困惑 6.12 附錄 第07章 結構性變動 7.1 結構性變動 7.2 檢定結構性變動 7.3 變動點 τ 未知下的檢定 7.4 變動點的估計 7.5 結構性改變 vs. 隨機趨勢 7.6 未知結構性轉變的單根檢定 第08章 縮減式 VAR 8.1 縮減式 VAR 8.2 縮減式 VAR 的估計 8.3 縮減式 VAR 的預測 8.4 應用:檢定股票價格現值模型 8.5 Granger 因果關係檢定 8.6 Granger 因果關係檢定之實例應用 8.7 縮減式 VAR 模型的實務議題 8.8 附錄 第09章 結構式 VAR(I) 9.1 VAR 與結構性衝擊 9.2 結構式 VAR 9.3 認定條件 9.4 衝擊反應函數 9.5 變異數分解 9.6 歷史分解 9.7 實例應用:外匯市場不對稱干預 9.8 延伸閱讀 9.9 附錄 第10章 結構式 VAR(II) 10.1 一般結構式 VAR 10.2 過度認定檢定 10.3 貨幣政策的 SVAR 模型 10.4 長期限制認定條件 10.5 實例應用:Blanchard and Quah(1989) 10.6 延伸閱讀 10.7 附錄 第11章 共整合與向量誤差修正模型 11.1 共整合關係 11.2 共整合與共同隨機趨勢 11.3 向量誤差修正模型 11.4 Engle-Granger 兩階段程序 11.5 Johansen 程序 11.6 實例應用:利率期限結構 11.7 關於共整合分析 11.8 VAR 模型設定 11.9 附錄 第12章 GARCH 模型 12.1 時間序列的波動性 12.2 ARCH 模型 12.3 GARCH 模型 12.4 檢定 ARCH 效果 12.5 GARCH 模型的擴充 12.6 GARCH 模型的最大概似估計 12.7 GARCH 模型的實例應用:外匯市場干預 12.8 關於 ARCH-GARCH 模型 第13章 Bootstrap 與模擬 13.1 蒙地卡羅模擬及其應用 13.2 樣本重抽法與 Bootstrap 13.3 Bootstrap 偏誤與標準差 13.4 Bootstrap 信賴區間 13.5 Bootstrap p-values 13.6 迴歸模型的 Bootstrap 13.7 Bootstrapping 長期追蹤調查資料 13.8 Bootstrap 的實例應用 13.9 EViews 程式附錄 第14章 DSGE 模型 14.1 DSGE 模型簡介 14.2 一階隨機差分方程式 14.3 二階隨機差分方程式 14.4 理性預期方程組 14.5 模型調校 14.6 一個簡單的實質景氣循環模型 14.7 附錄 A:EViews 程式 14.8 附錄 B:Dynare 外掛程式簡介 第15章 經濟理論與實證 15.1 經濟理論與實證研究 15.2 一個簡單的匯率模型 15.3 估計檢定與模型調校
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Stochastic Finance provides an introduction to mathematical finance that is unparalleled in its accessibility. Through classroom testing, the authors have identified common pain points for students, and their approach takes great care to help the reader to overcome these difficulties and to foster understanding where comparable texts often do not. Written for advanced undergraduate students, and making use of numerous detailed examples to illustrate key concepts, this text provides all the mathematical foundations necessary to model transactions in the world of finance. A first course in probability is the only necessary background. The book begins with the discrete binomial model and the finite market model, followed by the continuous Black–Scholes model. It studies the pricing of European options by combining financial concepts such as arbitrage and self-financing trading strategies with probabilistic tools such as sigma algebras, martingales and stochastic integration. All these concepts are introduced in a relaxed and user-friendly fashion.
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【原文書】 書名:Complex Analysis (Princeton Lectures in Analysis, No. 2) 作者:STEIN 出版社:PRINCETON 出版日期:2003/04/07 ISBN:9780691113852
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Fourier Analysis—An Introduction 系列名:Princeton Lectures in Analysis, Volume 1 ISBN13:9780691113845 替代書名:Fourier Analysis 出版社:Princeton Univ Pr 作者:Elias M. Stein; Rami Shakarchi 裝訂:精裝 規格:24.1cm*16.5cm*1.9cm (高/寬/厚) 出版日:2003/03/17 內容簡介 This first volume, a three-part introduction to the subject, is intended for students with a beginning knowledge of mathematical analysis who are motivated to discover the ideas that shape Fourier analysis. It begins with the simple conviction that Fourier arrived at in the early nineteenth century when studying problems in the physical sciences--that an arbitrary function can be written as an infinite sum of the most basic trigonometric functions. The first part implements this idea in terms of notions of convergence and summability of Fourier series, while highlighting applications such as the isoperimetric inequality and equidistribution. The second part deals with the Fourier transform and its applications to classical partial differential equations and the Radon transform; a clear introduction to the subject serves to avoid technical difficulties. The book closes with Fourier theory for finite abelian groups, which is applied to prime numbers in arithmetic progression. In organizing their exposition, the authors have carefully balanced an emphasis on key conceptual insights against the need to provide the technical underpinnings of rigorous analysis. Students of mathematics, physics, engineering and other sciences will find the theory and applications covered in this volume to be of real interest. The Princeton Lectures in Analysis represents a sustained effort to introduce the core areas of mathematical analysis while also illustrating the organic unity between them. Numerous examples and applications throughout its four planned volumes, of which Fourier Analysis is the first, highlight the far-reaching consequences of certain ideas in analysis to other fields of mathematics and a variety of sciences. Stein and Shakarchi move from an introduction addressing Fourier series and integrals to in-depth considerations of complex analysis; measure and integration theory, and Hilbert spaces; and, finally, further topics such as functional analysis, distributions and elements of probability theory.
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書名:Real Analysis: Measure Theory, Integration, And Hilbert Spaces 作者:STEIN 出版社:PRINCETON 出版日期:2005/03/14 ISBN:9780691113869
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【原文書】 書名:ABSTRACT ALGEBRA 3/E 作者:DUMMIT 出版社:JOHN WILEY 出版日期:2003/07/01 ISBN:9780471433347
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<姆斯>Functional Analysis: Introduction to Further Topics in Analysis 2011 (PRINCETON) 978-0-691-11387-6 STEIN 9780691113876
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【原文書】 書名:Differential Geometry of Curves and Surfaces: Revised and Updated 2/E 作者:do Carmo 出版社:Dover 出版日期:2016/12/14 ISBN:9780486806990
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This book studies the fundamental concept of hydrodynamics as part of theoretical physics and demonstrates the connection of macroscopic approach with the description of properties of fluid motion and microscopic kinetic theory. It also presents recent investigations in instabilities and turbulence theory. Sample Chapter(s) Introduction Chapter 2: Gravity Waves and Solitons Contents: Introduction Bases of Hydrodynamics: Equations of Motion Gravity Waves and Solitons Thermodynamics of Fluids Shock Waves Stability and Instabilities in Fluidodynamics: Instabilities in Fluidodynamics and Its Consequences Classical Turbulence in Fluid Dynamics Coherent Hydrodynamic Structures: Vortex Dynamics on the Plane Poisson Systems in Hydrodynamics Introduction of Metric Structure in Hydrodynamic Systems Appendices: Chaplygin's Gas Richtmyer–Meshkov Instability Instabilities and Turbulence in Astrophysics References Index Readership: Researches and post-graduate students for extended study of hydrodynamics.
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