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Review of Discrete and Continuous Processes in Finance

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5.0 | 2 ratings Rate this file 27 Downloads (last 30 days) File Size: 4.69 MB File ID: #23554 Version: 1.5
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Review of Discrete and Continuous Processes in Finance



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

MATLAB release MATLAB 7.3 (R2006b)
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Comments and Ratings (2)
08 Oct 2016 HP Feichtinger

Very nice add-on to the paper

17 Dec 2013 Zoe

Zoe (view profile)

10 Apr 2009 1.1

added link to documentation

10 Apr 2009 1.3

updated link to documentation

09 May 2011 1.5

updated references

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