On Volatility Induced Stationarity for Stochastic Differential Equations

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On Volatility Induced Stationarity for Stochastic Differential Equations

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dc.contributor.author J.M.P., Albin en_US
dc.contributor.author Bjarne, Astrup Jensen en_US
dc.contributor.author Anders, Muszta en_US
dc.contributor.author Martin, Richter en_US
dc.date.accessioned 2009-02-04T10:26:17Z
dc.date.available 2009-02-04T10:26:17Z
dc.date.issued 2006-12-14T00:00:00Z en_US
dc.identifier.uri http://hdl.handle.net/10398/7167
dc.description.abstract This article deals with stochastic differential equations with volatility induced stationarity. We study of theoretical properties of such equations, as well as numerical aspects, together with a detailed study of three examples. en_US
dc.format.extent 34 s. en_US
dc.language eng en_US
dc.language dan en_US
dc.relation.ispartofseries Working paper;D-CAF 2006-10 en_US
dc.subject.other cir model, ckls model, heavy-tailed sde, hyperbolic sde, local martingale, mean reversion, numerical methods, stochastic differential equation, time changed sde, volatility induced stationarity en_US
dc.title On Volatility Induced Stationarity for Stochastic Differential Equations en_US
dc.type wp en_US
dc.accessionstatus modt06dec14 chlamo en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI en_US
dc.idnumber x656537476 en_US
dc.publisher.city København en_US
dc.publisher.year 2006 en_US


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