3D extreme value analysis for stock return, interest rate and speed of mean reversion

DOI10.1016/J.CAM.2015.10.009MaRDI QIDQ896795zbMATH OpenOpenAlexFDO

Authors Burhaneddin İzgi, Ahmet Duran

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

zbMATH Keywords

Heston modelcomovement3D extreme value analysisfat-tailshigh-peaksnumerical solutions of stochastic differential equations

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1040106 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A simple general approach to inference about the tail of a distribution
• A theory of the term structure of interest rates
• Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm
• Approximate Integration of Stochastic Differential Equations
• EVIM: a software package for extremel value analysis in MATLAB
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Numerical solution of SDE through computer experiments. Including floppy disk
• Statistical arbitrage in the US equities market
• Statistics of Extremes
• The pricing of options and corporate liabilities
• Two singular diffusion problems

Describes a project that uses

Uses Software

• EVIM

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