Derivatives pricing with marked point processes using tick-by-tick data

Quantitative Finance

Volumn 13, Issue 1, 2013, Pages 111-123

  Cartea, Álvaro ^a,b  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

^b UNIVERSITY COLLEGE LONDON   (United Kingdom)

Author keywords

Econophysics; Fokker Planck equation; Power laws; Renewals; Statistical mechanics; Statistical physics

Indexed keywords

EID: 84871294491     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2012.661447     Document Type: Article

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