Review of Discrete and Continuous Processes in Finance

Versione 1.5.0.0 (4,69 MB) da Attilio Meucci

discrete-time and continuous-time processes for finance, theory and empirical examples

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Aggiornato 9 mag 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

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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. Recuperato aprile 20, 2024.

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Creato con R2006b

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Versione	Pubblicato	Note della release
1.5.0.0	9 mag 2011	updated references	Scarica
1.3.0.0	10 apr 2009	updated link to documentation	Scarica
1.1.0.0	10 apr 2009	added link to documentation	Scarica
1.0.0.0	4 apr 2009		Scarica