Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/62176 
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dc.contributor.authorPlaten, Eckharden
dc.date.accessioned2012-09-07T15:39:31Z-
dc.date.available2012-09-07T15:39:31Z-
dc.date.issued2000-
dc.identifier.piurn:nbn:de:kobv:11-10048178en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2000,91en
dc.subject.jelG10en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordstochastic volatilityen
dc.subject.keywordfinancial market modelen
dc.subject.keywordderivative pricingen
dc.subject.keywordsquare root processen
dc.titleA minimal financial market model-
dc.typeWorking Paperen
dc.identifier.ppn723864349en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200091en

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