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Review of Discrete and Continuous Processes in Finance 1.0

  Date Added: June 28, 2013  |  Visits: 228

Review of Discrete and Continuous Processes in Finance

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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

Requirements: No special requirements
Platforms: Matlab
Keyword: Applicationsquot Continuous Continuoustime Description Discrete Finance Fractional Garch Integration Meucci Models Processes Quotreview Refer Subordinationto Theory Url Dhttpsymmyscomnode Httpsymmyscomnode Url
Users rating: 0/10

License: Freeware Size: 4.69 MB
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