Microfoundations for diffusion price processes

DOI10.1007/s11579-010-0029-7zbMath1255.91441MaRDI QIDQ1932534

Mikko S. Pakkanen

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-010-0029-7

zbMATH Keywords

stochastic volatility; heavy tails; diffusion processes; stock prices; microfoundations

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91B70: Stochastic models in economics

91B16: Utility theory

60H30: Applications of stochastic analysis (to PDEs, etc.)

60F17: Functional limit theorems; invariance principles

Related Items

From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes, Broken detailed balance and non-equilibrium dynamics in noisy social learning models

Uses Software

• R

Cites Work

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• Regularly varying functions