Extremal behavior of diffusion models in finance
extreme value theoryvolatilityPoisson approximationCox-Ingersoll-Ross modelVasicek modelprice processterm structure modelrecurrent diffusion\(\varepsilon\)-upcrossingsgeneralized hyperbolic diffusiongeneralized inverse Gaussian diffusion
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30)
- Highs and lows: Some properties of the extremes of a diffusion and applications in finance
- Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes
- Extremes of supOU processes
- Generalized hyperbolic diffusion processes with applications in finance
- Extremal behavior of stochastic volatility models
- ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS
- Heavy-traffic extreme value limits for Erlang delay models
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Highs and lows: Some properties of the extremes of a diffusion and applications in finance
- On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
- Convergence rates of sums of \(\alpha\)-mixing triangular arrays: with an application to nonparametric drift function estimation of continuous-time processes
- Stochastic spikes and Poisson approximation of one-dimensional stochastic differential equations with applications to continuously measured quantum systems
- Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes
- On point measures of \(\varepsilon\)-upcrossings for stationary diffusions.
- Estimation of stochastic volatility models by nonparametric filtering
- A continuous-state polynomial branching process
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
- Testing for the presence of jump components in jump diffusion models
- Maxima of stochastic processes driven by fractional Brownian motion
- On strong solutions for positive definite jump diffusions
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
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