Code covered by the BSD License
Highlights from
Review of Discrete and Continuous Processes in Finance
- AnalyzePersistence(Data,Aggre...
- AnalyzeVarianceAggregation(Da... generate simulated AR(1) normal shocks processes
- Data=FilterJumps(Dates,Data,N...
- IIDAnalysis(Dates,Data) this function performs simple invariance (i.i.d.) tests on a time series
- IIDAnalysis(Dates,Data) this function performs simple invariance (i.i.d.) tests on a time series
- PlotAggregationVariance(Aggre...
- PlotSeries(DatesChgs,Chgs,Dat... jumps
- TwoDimEllipsoid(Location,Squa... this function computes the location-dispersion ellipsoid
- TwoDimEllipsoid(Location,Squa... this function computes the location-dispersion ellipsoid
- X=IG(l,m,J)
- X=JumpDiffusionKou(m,s,l,p,e1... simulate number of jumps
- X=JumpDiffusionMerton(m,s,l,a... simulate number of jumps;
- X=NIG(th,k,s,ts,J)
- X=VG(m,s,kappa,ts,J)
- [m,theta,s,b]=FitOU(Y,tau)
- [th,k,s]=Schout2ConTank(a,b,d...
- ffgn(H,n,N); Written jointly by Yingchun Zhou (Jasmine), zhouyc@math.bu.edu
- S_AnalyzeSingleRate.m
- S_Equities.m
- S_FractionalBM.m
- S_GARCH.m
- S_Heston.m
- S_LevyProcesses.m
- S_MAIN.m
- S_SubordinationCIR.m
- S_VolClustering.m
- View all files
Review of Discrete and Continuous Processes in Finance
04 Apr 2009 (Updated 09 May 2011) discrete-time and continuous-time processes for finance, theory and empirical examples |
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