|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/62176
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Platen, Eckhard | | en_US |
| dc.date.accessioned | | 2012-09-07T15:39:31Z | | - |
| dc.date.available | | 2012-09-07T15:39:31Z | | - |
| dc.date.issued | | 2000 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10048178 | | en_US |
| 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_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Humboldt-Universität Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,91 | | en_US |
| dc.subject.jel | | G10 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | stochastic volatility | | en_US |
| dc.subject.keyword | | financial market model | | en_US |
| dc.subject.keyword | | derivative pricing | | en_US |
| dc.subject.keyword | | square root process | | en_US |
| dc.title | | A minimal financial market model | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 723864349 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:sfb373:200091 | | - |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|