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Review of Discrete and Continuous Processes in Finance

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Review of Discrete and Continuous Processes in Finance

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04 Apr 2009 (Updated )

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

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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

MATLAB release MATLAB 7.3 (R2006b)
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17 Dec 2013 Zoe  
Updates
10 Apr 2009

added link to documentation

10 Apr 2009

updated link to documentation

09 May 2011

updated references

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