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Theses

Etude de Quelques Problèmes d'Estimation Statistique en Finance

Abstract : This thesis treats several problems of statistical finance and consists of four parts. In the first part, we study the question of the estimation of the obstinacy of the volatility from discreet observations of a model of distribution. The second is a digital study on feigned and given financial data. The third part of this thesis a simple characterization of the spaces of Besov. Finally we show that these phenomena can be partially reproduced by models of additive noise of microstructure or distribution(broadcasting) with rounding error
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https://pastel.archives-ouvertes.fr/pastel-00003765
Contributor : Ecole Ensae Paristech <>
Submitted on : Wednesday, July 21, 2010 - 1:18:05 PM
Last modification on : Tuesday, April 2, 2019 - 2:24:41 AM
Long-term archiving on: : Friday, October 22, 2010 - 3:43:39 PM

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  • HAL Id : pastel-00003765, version 1

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Mathieu Rosenbaum. Etude de Quelques Problèmes d'Estimation Statistique en Finance. Statistiques [math.ST]. ENSAE ParisTech; Université Paris-Est, 2007. Français. ⟨pastel-00003765⟩

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