Titlebook: Discrete Time Series, Processes, and Applications in Finance; Gilles Zumbach Book 2013 Springer-Verlag Berlin Heidelberg 2013 91B84, 91B70

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Option Pricing,sual delta replication. To turn this general scheme into a practical tool, a small time step expansion is performed, leading to efficient Monte Carlo simulations. In principle, the option prices depend on the risk preference of the issuers and are not unique. Yet, the small time expansion shows that

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Book 2013thor introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and n

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Discrete Time Series, Processes, and Applications in Finance

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J. Esteban Varela M.D.,Albert J. Varon M.D.ulticomponent ARCH processes. Several variations of the multicomponent processes are studied, with a trade-off between simplicity and analytical computations versus more accurate stylized facts. In particular, these processes can reproduce the long memory observed in the empirical data. The mug shot