The COGARCH: a review, with news on option pricing and statistical inference
Klüppelberg, Claudia; Maller, Ross
; Szimayer, Alexander
Description
Mathematical Finance and Econometrics can be viewed as two sides of a coin. Econometrics concentrates on finding optimal models concerning statistical properties like correlations and prediction. Mathematical Finance, on the other side is mainly concerned with finding good models which allow for hedging and derivatives pricing.
| Collections | ANU Research Publications |
|---|---|
| Date published: | 2011 |
| Type: | Book chapter |
| URI: | http://hdl.handle.net/1885/271437 |
| Book Title: | Surveys in Stochastic Processes |
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| File | Description | Size | Format | Image |
|---|---|---|---|---|
| TheCOGARCH.pdf | 286.71 kB | Adobe PDF | Request a copy |
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