An Introduction to Wavelet Theory in Finance

DOI10.1142/8431zbMath1276.91003OpenAlexW4210644337MaRDI QIDQ4649463

Sangbae Kim, Francis In

Publication date: 22 November 2012

Full work available at URL: https://doi.org/10.1142/8431

zbMATH Keywords

Fourier transformwavelet transformstock returnsfinanceeconometricswavelet theoryLIBORwavelet multiscaling method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Financial applications of other theories (91G80) Mathematics for nonmathematicians (engineering, social sciences, etc.) (00A06) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Applications to the sciences (65Z99)

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Uses Software

• Matlab