Extremal behavior of diffusion models in finance

DOI10.1023/A:1009961817149zbMath0931.60036OpenAlexW2293539173MaRDI QIDQ1294762

Milan Borkovec, Claudia Klüppelberg

Publication date: 10 August 1999

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009961817149

zbMATH Keywords

extreme value theoryPoisson approximationvolatilityterm structure modelCox-Ingersoll-Ross modelVasicek modelprice processrecurrent diffusion\(\varepsilon\)-upcrossingsgeneralized hyperbolic diffusiongeneralized inverse Gaussian diffusion

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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