Publication: Financial Modelling with Ornstein-Uhlenbeck Processes Driven by Levy Process
| dc.contributor.authors | Onalan, Omer | |
| dc.contributor.editor | Ao, SI | |
| dc.contributor.editor | Gelman, L | |
| dc.contributor.editor | Hukins, DWL | |
| dc.contributor.editor | Hunter, A | |
| dc.contributor.editor | Korsunsky, AM | |
| dc.date.accessioned | 2022-03-12T16:00:44Z | |
| dc.date.accessioned | 2026-01-11T18:13:22Z | |
| dc.date.available | 2022-03-12T16:00:44Z | |
| dc.date.issued | 2009 | |
| dc.description.abstract | In this study we deal with aspects of the modeling of the asset prices by means Ornstein-Uhlenbech process driven by Levy process. Barndorff-Nielsen and Shephard stochastic volatility model allows the volatility parameter to be a self-decomposable distribution. BNS models allow flexible modeling. For this reason we use as a model IG-Ornstein-Uhlenbeck process. We calibrate moments of Levy process and OU process. Finally we fit the model some real data series. We present a simulation study. | |
| dc.identifier.doi | doiWOS:000271615700250 | |
| dc.identifier.isbn | 978-988-17012-5-1 | |
| dc.identifier.uri | https://hdl.handle.net/11424/224739 | |
| dc.identifier.wos | WOS:000271615700250 | |
| dc.language.iso | eng | |
| dc.publisher | INT ASSOC ENGINEERS-IAENG | |
| dc.relation.ispartof | WORLD CONGRESS ON ENGINEERING 2009, VOLS I AND II | |
| dc.relation.ispartofseries | Lecture Notes in Engineering and Computer Science | |
| dc.rights | info:eu-repo/semantics/closedAccess | |
| dc.subject | Barndorff-Nielsen and Shephard model | |
| dc.subject | Financial market | |
| dc.subject | IG-Ornstein-Uhlenbeck process | |
| dc.subject | Levy processes | |
| dc.title | Financial Modelling with Ornstein-Uhlenbeck Processes Driven by Levy Process | |
| dc.type | conferenceObject | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 1355 | |
| oaire.citation.startPage | 1350 | |
| oaire.citation.title | WORLD CONGRESS ON ENGINEERING 2009, VOLS I AND II |