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Review of Discrete and Continuous Processes in Finance

version 1.5 (4.69 MB) by

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

Comments and Ratings (2)

Very nice add-on to the paper

Zoe

Zoe (view profile)

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