Jump diffusion models and the evolution of financial prices
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Publication:715465
DOI10.1016/j.physleta.2011.06.051zbMath1250.91112MaRDI QIDQ715465
Iram M. Gléria, Annibal Figueiredo, Marcio T. De Castro, Sergio Da Silva
Publication date: 29 October 2012
Published in: Physics Letters. A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physleta.2011.06.051
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G80: Financial applications of other theories
82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics
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Efficient and flexible model-based clustering of jumps in diffusion processes, Diffusion equations and the time evolution of foreign exchange rates
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