Goal | 'extrapolate the present' |
Environment | risk-neutral probability |
Processes | continuous-time martingales |
Dimension | low |
Tools | Itō calculus, PDEs |
Challenges | calibration |
Business | sell-side |
(1 ) |
Goal | 'model the future' |
Environment | real-world probability |
Processes | discrete-time series |
Dimension | large |
Tools | multivariate statistics |
Challenges | estimation |
Business | buy-side |