Hyperbolic Processes in Finance
Bo Martin Bibby Department of Mathematics and Physics, The Royal Veterinary and Agricultural University, Thorvaldsensvej 40, DK-1871 Frederiksberg C, Denmark
Michael Sørensen Department of Statistics and Operations Research, Institute of Mathematical Sciences University of Copenhagen, Universitetsparken 5, DK-2100 København ∅, Denmark
Abstract
Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For purposes such as risk management and derivative pricing it is important to use relatively simple models that can capture the heavy tails and other relevant features of financial data. A class of distributions that is very often able to Iit the distributions of financial ...
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