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https://hdl.handle.net/10419/62176
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DC Field | Value | Language |
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dc.contributor.author | Platen, Eckhard | en |
dc.date.accessioned | 2012-09-07T15:39:31Z | - |
dc.date.available | 2012-09-07T15:39:31Z | - |
dc.date.issued | 2000 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10048178 | en |
dc.identifier.uri | http://hdl.handle.net/10419/62176 | - |
dc.description.abstract | The paper proposes a financial market model that generates stochastic volatility and stochastic interest rate using a minimal number of factors that characterise the dynamics of the different denominations of the deflator. It models asset prices essentially as functionals of square root and Ornstein-Uhlenbeek processes. The resulting price processes exhibit stochastic volatility with leptokurtic log-return distributions that c1osely match those observed in reality. The resulting index of the market is negatively correlated with its volatility which models the well-known leverage effect. The average growth rates of the different denominations of the deflator are Ornstein-Uhlenbeek processes which generates the typically observed long term Gaussianity of logreturns of asset prices. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlin | en |
dc.relation.ispartofseries | |aSFB 373 Discussion Paper |x2000,91 | en |
dc.subject.jel | G10 | en |
dc.subject.jel | G13 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | stochastic volatility | en |
dc.subject.keyword | financial market model | en |
dc.subject.keyword | derivative pricing | en |
dc.subject.keyword | square root process | en |
dc.title | A minimal financial market model | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 723864349 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:200091 | en |
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