Financial Models with Levy Processes and Volatility Clustering
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FINANCIAL MODELS WITH LéVY PROCESSES AND VOLATILITY CLUSTERING
The failure of financial models has been identified by some market observers as a major contributor to the global financial crisis. More specifically, it's been argued that the underlying assumption made in most of these models—that distributions of prices and returns are normally distributed—have been responsible for their undoing...
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FINANCIAL MODELS WITH LéVY PROCESSES AND VOLATILITY CLUSTERING
The failure of financial models has been identified by some market observers as a major contributor to the global financial crisis. More specifically, it's been argued that the underlying assumption made in most of these models—that distributions of prices and returns are normally distributed—have been responsible for their undoing...
Read more
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