Introduction

Gilles Zumbach
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Gilles Zumbach: Consulting in Financial Research

Chapter Chapter 1 in Discrete Time Series, Processes, and Applications in Finance, 2013, pp 1-5 from Springer

Abstract: Abstract The main goals and overall approach of this book are presented in the introduction. One key objective is to obtain an accurate description of financial time series in the range from a few hours to one year. A second objective is to present the implication of the selected models in the domain of market risk evaluation and in option pricing. One methodological point is to clearly separate the statistical analyzes from the construction of the processes, following the approach used in physics and in many natural sciences. The general discussion presents the similarities and differences between the construction of models in finance and in physics, and the points that set this book apart from the existing literature. Finally, a companion web site is introduced. This site presents much more statistics and graphs for a deeper analysis of the empirical time series and processes.

Keywords: Option Price; Market Risk; Financial Time Series; Tick Size; Arch Process (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-31742-2_1

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DOI: 10.1007/978-3-642-31742-2_1

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