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Review of Discrete and Continuous Processes in Finance

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important script information
company name:
Attilio Meucci
license: Free
minimum requirements: MATLAB 7.3 (R2006b)
functional limitations:
Review of Discrete and Continuous Processes in Finance description
Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.To walk through the code and for a thorough description, refer to A. Meucci (2009), "Review of Discrete and Continuous Processes in Finance - Theory and Applications", available at http://symmys.com/node/131
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