scientific article
zbMath1343.60091arXiv1403.5236MaRDI QIDQ3195632
Fred Espen Benth, Salvador Ortiz-Latorre
Publication date: 20 October 2015
Full work available at URL: https://arxiv.org/abs/1403.5236
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Brownian motionstochastic volatilitychange of measureOrnstein-Uhlenbeck processesrisk premiumaffine processescommodity marketsBarndorff-Nielsen modelShephard modelforward contractsgeneralized Riccati equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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