2 papers
math.PR2013
Statistical likelihood methods in finance
Arnold Janssen, Martin Tietje
It is known from previous work of the authors that non-negative arbitrage free price processes in finance can be described in terms of filtered likelihood processes of statistical…
math.ST2012
Applications of the Likelihood Theory in Finance: Modelling and Pricing
Arnold Janssen, Martin Tietje
This paper discusses the connection between mathematical finance and statistical modelling which turns out to be more than a formal mathematical correspondence. We like to figure o…