Relative volume as a doubly stochastic binomial point process

DOI10.1080/14697680600969735zbMath1278.91198OpenAlexW2098842335MaRDI QIDQ3439867

James McCulloch

Publication date: 18 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600969735

zbMATH Keywords

Cox processinitial enlargement of filtrationrelative volumedoubly stochastic binomial point process

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Financial applications of other theories (91G80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

• An introduction to the theory of point processes
• The modeling of randomly modulated jump processes
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Unnamed Item

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