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dc.contributor.authorPlaten, Eckharden_US
dc.date.accessioned2012-09-07T15:39:31Z-
dc.date.available2012-09-07T15:39:31Z-
dc.date.issued2000en_US
dc.identifier.piurn:nbn:de:kobv:11-10048178en_US
dc.identifier.urihttp://hdl.handle.net/10419/62176-
dc.description.abstractThe 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.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,91en_US
dc.subject.jelG10en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordstochastic volatilityen_US
dc.subject.keywordfinancial market modelen_US
dc.subject.keywordderivative pricingen_US
dc.subject.keywordsquare root processen_US
dc.titleA minimal financial market modelen_US
dc.typeWorking Paperen_US
dc.identifier.ppn723864349en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:200091-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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