Review of Discrete and Continuous Processes in Finance
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
Citation pour cette source
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. Récupéré le .
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- Computational Finance > Financial Toolbox > Portfolio Optimization and Asset Allocation >
- Computational Finance > Risk Management Toolbox >
- Computational Finance > Econometrics Toolbox > Conditional Mean Models >
- Computational Finance > Econometrics Toolbox > Conditional Variance Models >
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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/
Version | Publié le | Notes de version | |
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1.5.0.0 | updated references |
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1.3.0.0 | updated link to documentation |
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1.1.0.0 | added link to documentation |
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1.0.0.0 |