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An Overview of Probabilistic and Time Series Models in Finance

In: Recent Advances in Applied Probability

Author

Listed:
  • Alejandro Balbás

    (Universidad Carlos III de Madrid, Dept. of Business Administration)

  • Rosario Romera

    (Universidad Carlos III de Madrid, Dept. of Statistics and Econometrics)

  • Esther Ruiz

    (Universidad Carlos III de Madrid, Dept. of Statistics and Econometrics)

Abstract

In this paper, we partially review probabilistic and time series models in finance. Both discrete and continuous-time models are described. The characterization of the No-Arbitrage paradigm is extensively studied in several financial market contexts. As the probabilistic models become more and more complex to be realistic, the Econometrics needed to estimate them are more difficult. Consequently, there is still much research to be done on the link between probabilistic and time series models.

Suggested Citation

  • Alejandro Balbás & Rosario Romera & Esther Ruiz, 2005. "An Overview of Probabilistic and Time Series Models in Finance," Springer Books, in: Ricardo Baeza-Yates & Joseph Glaz & Henryk Gzyl & Jürgen Hüsler & José Luis Palacios (ed.), Recent Advances in Applied Probability, pages 27-63, Springer.
    • Handle: RePEc:spr:sprchp:978-0-387-23394-9_2
    DOI: 10.1007/0-387-23394-6_2
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