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Review of Discrete and Continuous Processes in Finance

by Attilio Meucci

 

04 Apr 2009 (Updated 10 Apr 2009)

Code covered by BSD License  

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

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Description

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 here http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1373102

MATLAB release MATLAB 7.3 (R2006b)
Zip File Content  
Other Files
Matlab/01RandomWalk/Empirical/db_Equities.mat,
Matlab/01RandomWalk/Empirical/IIDAnalysis.m,
Matlab/01RandomWalk/Empirical/S_Equities.m,
Matlab/01RandomWalk/Empirical/TwoDimEllipsoid.m,
Matlab/01RandomWalk/Theory/IG.m,
Matlab/01RandomWalk/Theory/JumpDiffusionKou.m,
Matlab/01RandomWalk/Theory/JumpDiffusionMerton.m,
Matlab/01RandomWalk/Theory/NIG.m,
Matlab/01RandomWalk/Theory/S_LevyProcesses.m,
Matlab/01RandomWalk/Theory/Schout2ConTank.m,
Matlab/01RandomWalk/Theory/VG.m,
Matlab/02Autocorrelation/DB_SwapParRates.mat,
Matlab/02Autocorrelation/FitOU.m,
Matlab/02Autocorrelation/S_MAIN.m,
Matlab/03LongMemory/Empirical/AnalyzePersistence.m,
Matlab/03LongMemory/Empirical/AnalyzeVarianceAggregation.m,
Matlab/03LongMemory/Empirical/DB_SwapParRates.mat,
Matlab/03LongMemory/Empirical/FilterJumps.m,
Matlab/03LongMemory/Empirical/PlotAggregationVariance.m,
Matlab/03LongMemory/Empirical/PlotSeries.m,
Matlab/03LongMemory/Empirical/S_AnalyzeSingleRate.m,
Matlab/03LongMemory/Theory/ffgn.m,
Matlab/03LongMemory/Theory/S_FractionalBM.m,
Matlab/04VolatilityClustering/Empirical/DB_IBM.mat,
Matlab/04VolatilityClustering/Empirical/IIDAnalysis.m,
Matlab/04VolatilityClustering/Empirical/S_VolClustering.m,
Matlab/04VolatilityClustering/Empirical/TwoDimEllipsoid.m,
Matlab/04VolatilityClustering/Theory/GARCH/S_GARCH.m,
Matlab/04VolatilityClustering/Theory/StochasticVol/S_Heston.m,
Matlab/04VolatilityClustering/Theory/Subordination/S_SubordinationCIR.m,
Matlab/ReadMe.txt
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Updates
10 Apr 2009

added link to documentation

10 Apr 2009

updated link to documentation

Tag Activity for this File
Tag Applied By Date/Time
finance Attilio Meucci 06 Apr 2009 10:30:59
statistics Attilio Meucci 06 Apr 2009 10:30:59
finance Ashish Batra 07 Apr 2009 15:48:55
statistics Ashish Batra 07 Apr 2009 15:48:56
 

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