Financial risk modelling and econometric inference

DOI10.1023/A:1025731920953zbMath1054.91034MaRDI QIDQ1415858

Bent Jesper Christensen

Publication date: 9 December 2003

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

zbMATH Keywords

uncertaintyefficiencyvolatility

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Factor analysis and principal components; correspondence analysis (62H25) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Initial value problems for second-order parabolic equations (35K15) Sufficient statistics and fields (62B05)

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