𝔖 Bobbio Scriptorium
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FROM DISCRETE-TIME MODELS TO CONTINUOUS-TIME, ASYNCHRONOUS MODELING OF FINANCIAL MARKETS

✍ Scribed by Katalin Boer; Uzay Kaymak; Jaap Spiering

Book ID
110984000
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
245 KB
Volume
23
Category
Article
ISSN
0824-7935

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πŸ“œ SIMILAR VOLUMES

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Al~traet--The problem of the representation of continuous time systems by difference equations is studied. A solution is proposed using a sample integration technique. The convolution integrals are approximated by digital filters resulting in an arbitrary high accuracy in a wide frequency band.

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Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance.Β These theories didΒ away with the standard stochastic geometric diffusion β€œSamuelson” market model (also known as the Black-Scholes model because it is used in that most famous