Discrete Time Series, Processes, and Applications in Finance

1. Introduction
Gilles Zumbach

2. Notation, Naming, and General Definitions
Gilles Zumbach

3. Stylized Facts
Gilles Zumbach

4. Empirical Mug Shots
Gilles Zumbach

5. Process Overview
Gilles Zumbach

6. Logarithmic Versus Relative Random Walks
Gilles Zumbach

7. ARCH Processes
Gilles Zumbach

8. Stochastic Volatility Processes
Gilles Zumbach

9. Regime-Switching Process
Gilles Zumbach

10. Price and Volatility Using High-Frequency Data
Gilles Zumbach

11. Time-Reversal Asymmetry
Gilles Zumbach

12. Characterizing Heteroscedasticity
Gilles Zumbach

13. The Innovation Distributions
Gilles Zumbach

14. Leverage Effect
Gilles Zumbach

15. Processes and Market Risk Evaluation
Gilles Zumbach

16. Option Pricing
Gilles Zumbach

17. The Empirical Properties of Large Covariance Matrices
Gilles Zumbach

18. Multivariate ARCH Processes
Gilles Zumbach

19. The Processes Compatible with the Stylized Facts
Gilles Zumbach

20. Further Thoughts
Gilles Zumbach

Keywords: Mathematics, Quantitative Finance, Probability Theory and Stochastic Processes, Statistics for Business/Economics/Mathematical Finance/Insurance