3D extreme value analysis for stock return, interest rate and speed of mean reversion

DOI10.1016/J.CAM.2015.10.009zbMath1329.91151OpenAlexW2126795537MaRDI QIDQ896795

Ahmet Duran, Burhaneddin İzgi

Publication date: 14 December 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.10.009

zbMATH Keywords

comovementHeston model3D extreme value analysisfat-tailshigh-peaksnumerical solutions of stochastic differential equations

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Uses Software

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Cites Work

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• Two singular diffusion problems
• Statistical arbitrage in the US equities market
• A Theory of the Term Structure of Interest Rates
• Approximate Integration of Stochastic Differential Equations
• Statistics of Extremes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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