Similar Search Results

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1998

Persistent link: https://www.econbiz.de/10000992329

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1997

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...

Persistent link: https://www.econbiz.de/10009577459

Minimal realizations of forward rates

Björk, Tomas; Gombani, Andrea - 1997

Persistent link: https://www.econbiz.de/10000969940

Minimal realizations of interest rate models

Björk, Tomas; Gombani, Andrea - In: Finance and stochastics 3 (1999) 4, pp. 413-432

Persistent link: https://www.econbiz.de/10001412162

Risk-minimizing hedging strategies under restricted information : the case of stochastic volatility models observable only at discrete random times

Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Mathematical methods of operations research 50 (1999) 2, pp. 339-350

Persistent link: https://www.econbiz.de/10001428847

Option pricing for jump diffusions : approximations and their interpretation

Mercurio, Fabio - In: Mathematical finance : an international journal of … 3 (1993) 2, pp. 191-200

Persistent link: https://www.econbiz.de/10001333345

A nonlinear filtering approach to volatility estimation with a view towards high frequency

Frey, Rüdiger; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 4 (2001) 2, pp. 199-210

Persistent link: https://www.econbiz.de/10001578681