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Martingale property - PowerPoint PPT Presentation

Tactical Asset Allocation 2 session 6

Tactical Asset Allocation 2 session 6. Andrei Simonov. Agenda. Statistical properties of volatility. Persistence Clustering Fat tails Is covariance matrix constant? Predictive methodologies Macroecon variables Modelling volatility process: GARCH process and related methodologies Volume

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725 views • 54 slides

Option Pricing under ARMA Processes Theoretical and Empirical prospective

Option Pricing under ARMA Processes Theoretical and Empirical prospective. Chou-Wen Wang. Astract.

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577 views • 33 slides

Brownian Motion

Brownian Motion. Chuan -Hsiang Han November 24, 2010. Symmetric Random Walk. Given ; let and , and denotes the outcome of th toss. Define the r.v. 's that for each A S.R.W. is a process such that and. Independent Increments of S.R.W.

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986 views • 28 slides

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'Martingale property' presentation slideshows

Martingale property - PowerPoint PPT Presentation

Tactical Asset Allocation 2 session 6

Option Pricing under ARMA Processes Theoretical and Empirical prospective

Brownian Motion