Chapter2001

A Minimal Financial Market Model

55 citations0/0 files storedBirkhäuser Basel eBooks

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

An advanced financial market model should be analytically tractable and must reflect with a minimal number of factors essential stylised empirical facts. It must work equally well for derivative pricing and hedging as well as for risk measurement and portfolio management. All factors in such a market model should represent directly interpretable or observable quantities. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 55 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2007Brownian Motion and Stochastic Calculus 2005Stochastic Integration and Differential Equations 1976The valuation of options for alternative stochastic processes 1993Dynamic Asset Pricing Theory.1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1988Brownian Motion and Stochastic Calculus

Cited by

2004Diversified Portfolios with Jumps in a Benchmark Framework 2012On the History of the Growth-Optimal Portfolio 2004MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX 2014Pricing currency derivatives under the benchmark approach

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.