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An Overview of Probabilistic and Time Series Models in Finance

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Recent Advances in Applied Probability

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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.

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Authors and Affiliations

  1. Dept. of Business Administration, Universidad Carlos III de Madrid, Madrid

    Alejandro Balbás

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

    Rosario Romera & Esther Ruiz

Authors
  1. Alejandro Balbás
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  2. Rosario Romera
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  3. Esther Ruiz
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Editors and Affiliations

  1. Universidad de Chile, Chile

    Ricardo Baeza-Yates

  2. University of Connecticut, USA

    Joseph Glaz

  3. Universidad Simón Bolívar, Venezuela

    Henryk Gzyl  & José Luis Palacios  & 

  4. University of Bern, Switzerland

    Jürgen Hüsler

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Balbás, A., Romera, R., Ruiz, E. (2005). An Overview of Probabilistic and Time Series Models in Finance. In: Baeza-Yates, R., Glaz, J., Gzyl, H., Hüsler, J., Palacios, J.L. (eds) Recent Advances in Applied Probability. Springer, Boston, MA. https://doi.org/10.1007/0-387-23394-6_2

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