Jump diffusion models and the evolution of financial prices

DOI10.1016/j.physleta.2011.06.051zbMath1250.91112OpenAlexW2090166045MaRDI QIDQ715465

Iram M. Gléria, Annibal Figueiredo, Marcio T. De Castro, Sergio Da Silva

Publication date: 29 October 2012

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2011.06.051

zbMATH Keywords

stochastic processeseconophysicsKramersMoyal

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Related Items (2)

Efficient and flexible model-based clustering of jumps in diffusion processes ⋮ Diffusion equations and the time evolution of foreign exchange rates

Cites Work

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• Introduction to Econophysics
• Brownian motion in a field of force and the diffusion model of chemical reactions
• Truncated Lévy walks and an emerging market economic index

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