scientific article

zbMath1241.91122MaRDI QIDQ2885060

Jaya P. N. Bishwal

Publication date: 21 May 2012

Full work available at URL: http://www.pphmj.com/abstract/6427.htm

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

extreme value distributionsdiffusion processLévy processstochastic volatility modelsinterest rate modelslong memory modelsMax stable law

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Asymptotic distribution theory in statistics (62E20) Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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