| 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 |
This work is licensed under a Creative Commons License.
