3D extreme value analysis for stock return, interest rate and speed of mean reversion
DOI10.1016/J.CAM.2015.10.009zbMATH Open1329.91151OpenAlexW2126795537MaRDI QIDQ896795FDOQ896795
Publication date: 14 December 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.10.009
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Heston modelcomovement3D extreme value analysisfat-tailshigh-peaksnumerical solutions of stochastic differential equations
Extreme value theory; extremal stochastic processes (60G70) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- EVIM: a software package for extremel value analysis in MATLAB
- The pricing of options and corporate liabilities
- Two singular diffusion problems
- A theory of the term structure of interest rates
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Statistics of Extremes
- Title not available (Why is that?)
- A simple general approach to inference about the tail of a distribution
- Numerical solution of SDE through computer experiments. Including floppy disk
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- Approximate Integration of Stochastic Differential Equations
- High volatility, thick tails and extreme value theory in value-at-risk estimation.
- Statistical arbitrage in the US equities market
- Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm
Uses Software
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