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Application of Generalized Hyperbolic Lévy Motions to Finance

In: Lévy Processes

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  • Ernst Eberlein

    (Universität Freiburg, Institut für Mathematische Stochastik)

Abstract

In standard mathematical finance, Brownian motion plays the dominating role as driving process for modelling price movements. In order to achieve a better fit to real-life data it is, however, preferable to replace Brownian motion by a Lévy process. Generalized hyperbolic Lévy motions are processes which allow for an almost perfect fit to financial data. We discuss in detail what the consequences for asset price modelling and interest rate theory are. We also touch on aspects of multivariate and intraday modelling.

Suggested Citation

  • Ernst Eberlein, 2001. "Application of Generalized Hyperbolic Lévy Motions to Finance," Springer Books, in: Ole E. Barndorff-Nielsen & Sidney I. Resnick & Thomas Mikosch (ed.), Lévy Processes, pages 319-336, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4612-0197-7_14
    DOI: 10.1007/978-1-4612-0197-7_14
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