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Analyzing the Fine Structure of Continuous Time Stochastic Processes · Study

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ChapterAnalyzing the Fine Structure of Continuous Time Stochastic Processes

Jeannette H. C. Woerner2011

Chapter2011

Analyzing the Fine Structure of Continuous Time Stochastic Processes

Jeannette H. C. Woerner

22 citations·0/0 files stored·Progress in probability

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Stochastic processes and financial applications Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

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References

1987The Pricing of Options on Assets with Stochastic Volatilities 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 1987The Pricing of Options on Assets with Stochastic Volatilities 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application 2003Stochastic Volatility for Lévy Processes 2005Central limit theorems for sequences of multiple stochastic integrals

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2006Power and Multipower Variation: inference for high frequency datachapter · 9 shared references 2007Inference in Lévy-type stochastic volatility modelsarticle · 9 shared references 2003Purely discontinuous Levy Processes and Power Variation: inference for integrated volatility and the scale parameterpreprint · 9 shared references 2009Bipower Variation for Gaussian Processes with Stationary Incrementsarticle · 8 shared references 2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometricspreprint · 7 shared references 2005Estimation of integrated volatility in stochastic volatility modelsarticle · 7 shared references

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Year2011

Typechapter

Published2011-01-01

VenueProgress in probability

ISSN-L1050-6977

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-0348-0021-1_26

openalex_workW32296021

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