CBI-time-changed Lévy processes for multi-currency modeling (Q6549592)
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scientific article; zbMATH DE number 7859337
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | CBI-time-changed Lévy processes for multi-currency modeling |
scientific article; zbMATH DE number 7859337 |
Statements
CBI-time-changed Lévy processes for multi-currency modeling (English)
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4 June 2024
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Lévy processes
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FX market
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multi-currency market
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branching process
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self-exciting process
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stochastic volatility
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affine process
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0.7534064650535583
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0.7526649832725525
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0.7519518733024597
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0.7379449009895325
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0.7359844446182251
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