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Extremal Behavior of Diffusion Models in Finance · Study

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ArticleExtremal Behavior of Diffusion Models in Finance

Milan Borkovec1998

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Articlegreen1998

Extremal Behavior of Diffusion Models in Finance

Milan Borkovec · Claudia Klüppelberg

33 citations·0/0 files stored·Extremes

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

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References

1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1977An equilibrium characterization of the term structure 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1987Extreme Values, Regular Variation and Point Processes 1993Dynamic Asset Pricing Theory.

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2018NONPARAMETRIC STOCHASTIC VOLATILITY

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Year1998

Typearticle

Published1998-01-01

VenueExtremes

ISSN-L1386-1999

Languageen

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1009961817149

openalex_workW2293539173

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