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High-Frequency Financial Econometrics
innbundet,
2014,
Engelsk,
ISBN 9780691161433
High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical …
Limit Theorems for Stochastic Processes
innbundet,
2002,
Engelsk,
ISBN 9783540439325
Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochastic integrals. Apart …
Discretization of Processes
innbundet,
2011,
Engelsk,
ISBN 9783642241260
In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such …