Extremal behavior of diffusion models in finance
DOI10.1023/A:1009961817149zbMATH Open0931.60036OpenAlexW2293539173MaRDI QIDQ1294762FDOQ1294762
Authors: Milan Borkovec, Claudia Klüppelberg 
Publication date: 10 August 1999
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1009961817149
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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)
Cited In (17)
- Highs and lows: Some properties of the extremes of a diffusion and applications in finance
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Convergence rates of sums of \(\alpha\)-mixing triangular arrays: with an application to nonparametric drift function estimation of continuous-time processes
- Maxima of stochastic processes driven by fractional Brownian motion
- On point measures of \(\varepsilon\)-upcrossings for stationary diffusions.
- Heavy-traffic extreme value limits for Erlang delay models
- On strong solutions for positive definite jump diffusions
- A continuous-state polynomial branching process
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Testing for the presence of jump components in jump diffusion models
- Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
- ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS
- Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
- Stochastic spikes and Poisson approximation of one-dimensional stochastic differential equations with applications to continuously measured quantum systems
- On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
- Estimation of stochastic volatility models by nonparametric filtering
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