Stochastic volatility, jumps and hidden time changes
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More about this item
KeywordsBrownian subordination; variance gamma and normal inverse Gaussian processes; variance swap; quadratic variation; filtering;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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