An Overview of Asset–Price Models

DOI10.1007/978-3-540-71297-8_17MaRDI QIDQ3646963zbMATH OpenOpenAlexFDO

Authors Peter J. Brockwell

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_17

zbMATH Keywords

ARCHARMABlack-Scholes-MertonBrownian motionCOGARCHGARCHLévy processoption pricing

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

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Cited in

(6)

• A partial introduction to financial asset pricing theory.
• High-frequency analysis of parabolic stochastic PDEs
• Modeling asset prices
• The Modeling and Analysis of Financial Time Series
• Some aspects of modeling and statistical inference for financial models
• Stochastic modelling of non-stationary financial assets

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