Review of Discrete and Continuous Processes in Finance

discrete-time and continuous-time processes for finance, theory and empirical examples
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Aktualisiert 9. Mai 2011

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Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.
To walk through the code and for a thorough description, refer to A. Meucci (2009), "Review of Discrete and Continuous Processes in Finance - Theory and Applications", available at http://symmys.com/node/131

Zitieren als

Attilio Meucci (2024). Review of Discrete and Continuous Processes in Finance (https://www.mathworks.com/matlabcentral/fileexchange/23554-review-of-discrete-and-continuous-processes-in-finance), MATLAB Central File Exchange. Abgerufen .

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Erstellt mit R2006b
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Version Veröffentlicht Versionshinweise
1.5.0.0

updated references

1.3.0.0

updated link to documentation

1.1.0.0

added link to documentation

1.0.0.0