Browsing Statistics and Actuarial Science by Author "DiCesare, Giuseppe"
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Imputation, Estimation and Missing Data in Finance
DiCesare, Giuseppe (University of Waterloo, 2006)Suppose <em>X</em> is a diffusion process, possibly multivariate, and suppose that there are various segments of the components of <em>X</em> that are missing. This happens, for example, if <em>X</em> is the price of ...