Review of Discrete and Continuous Processes in Finance

Versión 1.5.0.0 (4,69 MB) por Attilio Meucci
discrete-time and continuous-time processes for finance, theory and empirical examples
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Actualizado 9 may 2011

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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. Recuperado .

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Matlab/01RandomWalk/Empirical/

Matlab/01RandomWalk/Theory/

Matlab/02Autocorrelation/

Matlab/03LongMemory/Empirical/

Matlab/03LongMemory/Theory/

Matlab/04VolatilityClustering/Empirical/

Matlab/04VolatilityClustering/Theory/GARCH/

Matlab/04VolatilityClustering/Theory/StochasticVol/

Matlab/04VolatilityClustering/Theory/Subordination/

Versión Publicado Notas de la versión
1.5.0.0

updated references
1.3.0.0

updated link to documentation
1.1.0.0

added link to documentation
1.0.0.0