ABSTRACT
Jean Jacod
Institut de mathe´matiques de Jussieu Universite´ Pierre et Marie Curie (Paris-6) and CNRS, UMR 7586
4 place Jussieu, 75252 Paris, France
3.1 Introduction
This short course is devoted to a few statistical problems related to the observation of a given process on a fixed time interval, when the observations occur at regularly spaced discrete times. These kinds of observations may occur in many different contexts, but they are particularly relevant in finance: we do have now huge amounts of data on the prices of various assets, exchange rates, and so on, typically “tick data” which are recorded at every transaction time. So we are mainly concerned with the problems which arise in this context, and the concrete applications we will give are all pertaining to finance.
