Review of Discrete and Continuous Processes in Finance

版本 1.5.0.0 (4.7 MB) 作者: Attilio Meucci

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

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更新时间 2011/5/9

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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

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Attilio Meucci (2024). Review of Discrete and Continuous Processes in Finance (https://www.mathworks.com/matlabcentral/fileexchange/23554-review-of-discrete-and-continuous-processes-in-finance), MATLAB Central File Exchange. 检索来源 2024/4/28.

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Matlab/01RandomWalk/Empirical/

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Matlab/04VolatilityClustering/Empirical/

版本	已发布	发行说明
1.5.0.0	2011/5/9	updated references	下载
1.3.0.0	2009/4/10	updated link to documentation	下载
1.1.0.0	2009/4/10	added link to documentation	下载
1.0.0.0	2009/4/4		下载