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Ornstein–Uhlenbeck Processes and Extensions · Study

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ChapterOrnstein–Uhlenbeck Processes and Extensions

Ross Maller2009

Chapter2009

Ornstein–Uhlenbeck Processes and Extensions

Ross Maller · Alex Szimayer

107 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Risk Models

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References

1977An equilibrium characterization of the term structure 2005Stochastic Integration and Differential Equations 1998Methods of Mathematical Finance 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1998The Variance Gamma Process and Option Pricing 1998Methods of Mathematical Finance 2009Handbook of Financial Time Series 2009Handbook of Financial Time Series

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2008GARCH modelling in continuous time for irregularly spaced time series data 2010Stationary solutions of the stochastic differential equation dVt=Vt−dUt+dLt with Lévy noise 2009Continuous Time Approximations to GARCH and Stochastic Volatility Models

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2005Lévy integrals and the stationarity of generalised Ornstein–Uhlenbeck processesarticle · 7 shared references 2009Continuous Time Approximations to GARCH and Stochastic Volatility Modelschapter · 6 shared references 2006Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Modelschapter · 5 shared references 2003THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITYarticle · 5 shared references 2008Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modelingarticle · 5 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 4 shared references

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Year2009

Typechapter

Published2009-01-01

VenueSpringer eBooks

Languageen

Citations107

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-71297-8_18

openalex_workW156433631

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