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Review of Discrete and Continuous Processes in Finance

version 1.5.0.0 (4.69 MB) by Attilio Meucci
discrete-time and continuous-time processes for finance, theory and empirical examples

7.9K Downloads

Updated 09 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

Cite As

Attilio Meucci (2022). 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. Retrieved .

MATLAB Release Compatibility
Created with R2006b
Compatible with any release
Platform Compatibility
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