Intraday volatility and market impact models in volume time are proposed. We build an intraday volatility profile to …

-arbitrage theory for asset pricing in financial engineering in the framework of a discrete time approach. Useful as a textbook on …The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of … powerful mathematical tools such as probability theory, stochastic processes and numerical analysis. The main goal of Asset …