Stochastic volatility in financial markets. Crossing the bridge to continuous time
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Publication:5934086
zbMath0962.62098MaRDI QIDQ5934086
Publication date: 18 June 2001
Published in: Dynamic Modeling and Econometrics in Economics and Finance (Search for Journal in Brave)
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
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Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility ⋮ Approximating volatility diffusions with CEV-ARCH models ⋮ Modeling the BUX index by a novel stochastic differential equation ⋮ The continuous limit of weak GARCH
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