Erik Lindström, Henrik Madsen, Jan Nygaard Nielsen
1 online resource (1 volume) :
illustrations
Texts in Statistical Science
"A Chapman & Hall book"--T.p
Includes bibliographical references (pages 345-259)
Fundamentals -- Discrete time finance -- Linear time series models -- Nonlinear time series models -- Kernel estimators in time series analysis -- Stochastic calculus -- Stochastic differential equations -- Continuous-time security markets -- Stochastic interest rate models -- Term structure of interest rates -- Discrete time approximations -- Parameter estimation in discretely observed SDEs -- Inference in partially observed processes