𝔖 Bobbio Scriptorium
✦   LIBER   ✦

An Introduction to Mathematics of Financial Derivativesby Salih N. Neftci

✍ Scribed by Review by: Ali Hirsa


Book ID
124946517
Publisher
Society for Industrial and Applied Mathematics
Year
1999
Tongue
English
Weight
306 KB
Volume
41
Category
Article
ISSN
0036-1445

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Discretization of stochastic differentia
✍ Salih N. Neftci πŸ“‚ Article πŸ“… 1994 πŸ› John Wiley and Sons 🌐 English βš– 656 KB

Continuous time versions of time varying Vector Autoregressions are stochastic differential equations. Optimal discretization of Stochastic Differential Equations cannot be obtained by replacing all differentials by the corresponding first differences. In this paper we obtain the optimal discretizat