The Random Behaviour of Assets In this lecture. . . • Different types of financial analysis • Examining time-series data to model returns • Are prices random? •…
Arbitrage Theory in Continuous Time Tomas Björk Print publication date: 2004 Print ISBN-13: 9780199271269 Published to Oxford Scholarship Online: Oct-05 DOI: 10.1093/0199271267.001.0001…
Unit Roots, Cointegration, and Structural Change Time series analysis has undergone many changes in recent years with the advent of unit roots and cointegration. Maddala…
Goal: stochastic volatility model for the WTI crude oil futures curve In Black-Scholes, S is modelled as a process driven by Brownian motion Wt with deterministic drift,…
Mathematics of Options, Futures, and Derivative Securities I. Daniel Spirn, School of Mathematics, University of Minnesota. Options, Futures, Derivatives / September 5, 2007…