This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Equivalent Martingale Measures and Lévy Processes

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Jose Santiago Fajardo

Additional information is available for the following registered author(s):

Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://virtualbib.fgv.br/ojs/index.php/rbe/article/view/961
File Format: text/html
File Function:
Download Restriction: no

Publisher Info
Article provided by Graduate School of Economics, Getulio Vargas Foundation (Brazil) in its journal Revista Brasileira de Economia.

Volume (Year): 60 (2007)
Issue (Month): 4 (February)
Pages: 353-362
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:fgv:epgrbe:v:60:n:4:a:2

Contact details of provider:
Postal: Praia de Botafogo 190, sala 1100, Rio de Janeiro/RJ - CEP: 22253-900
Phone: 55-21-2559-5871
Fax: 55-21-2553-8821
Email:
Web page: http://epge.fgv.br
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Núcleo de Computação da EPGE).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Eberlein, Ernst & Keller, Ulrich & Prause, Karsten, 1998. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model," Journal of Business, University of Chicago Press, vol. 71(3), pages 371-405, July. [Downloadable!] (restricted)
  2. Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Ibmec São Paulo. [Downloadable!]
    Other versions:
  3. Ait-Sahalia, Yacine, 2004. "Disentangling diffusion from jumps," Journal of Financial Economics, Elsevier, vol. 74(3), pages 487-528, December. [Downloadable!] (restricted)
  4. Ole E. Barndorff-Nielsen, 1997. "Processes of normal inverse Gaussian type," Finance and Stochastics, Springer, vol. 2(1), pages 41-68. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. José Santiago Fajardo Barbachan, 2003. "Optimal Consumption and Investment with Lévy Processes," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 57(4), April. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by encouraging others to register as authors.

This page was last updated on 2009-11-21.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.