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Publication details

Document type
Book chapters


Title
From market data to agent-based models and stochastic differential equations

Participants in the publication
R. Vilela Mendes (Author)
CMAFcIO
Summary
A survey of results from 2008 to 2014 on the construction of a stochastic\n2 market model, from the empirical data to its modelling interpretation and proof of\n3 mathematical consistency (no-arbitrage and completeness)

Editor(s)
Patrícia Gonçalves, Ana Jacinta Soares

Date of Publication
2016

Institution
FACULDADE DE CIÊNCIAS DA UNIVERSIDADE DE LISBOA

Where published
From Particle Systems to Partial Differential Equations III

Publication Identifiers
ISSN - 2194-1009

Address
Springer International Publishing Switzerland 2016

Publisher
Springer International Publishing

Edition
Springer Proceedings in Mathematics & Statistics

Document Identifiers
DOI - https://doi.org/10.1007/978-3-319-32144-8_11


Export

APA
R. Vilela Mendes, (2016). From market data to agent-based models and stochastic differential equations. From Particle Systems to Partial Differential Equations III, -

IEEE
R. Vilela Mendes, "From market data to agent-based models and stochastic differential equations" in From Particle Systems to Partial Differential Equations III, 2016, pp. -

BIBTEX
@incollection{22961, author = {R. Vilela Mendes}, title = {From market data to agent-based models and stochastic differential equations}, booktitle = {From Particle Systems to Partial Differential Equations III}, year = 2016, pages = {-}, address = {Springer International Publishing Switzerland 2016}, publisher = {Springer International Publishing} }