Vasicek model with mixed-exponential jumps and its applications in finance and insurance
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چکیده
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Ehrenfest Model with Large Jumps in Finance
Changes (returns) in stock index prices and exchange rates for currencies are argued, based on empirical data, to obey a stable distribution with characteristic exponent α < 2 for short sampling intervals and a Gaussian distribution for long sampling intervals. In order to explain this phenomenon, an Ehrenfest model with large jumps (ELJ) is introduced to explain the empirical density function ...
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Generalised Lévy Processes and their Applications in Insurance and Finance
For insurance risks, jump processes such as homogeneous/non-homogeneous Poisson process and Cox process have been used . In financial modelling, it has been observed that diffusion models are not robust enough to capture the appearance of jumps in underlying asset prices and interest rates. As a result, generalised Lévy processes, which are simply speaking, the combinations of Poisson process a...
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ژورنال
عنوان ژورنال: Advances in Difference Equations
سال: 2018
ISSN: 1687-1847
DOI: 10.1186/s13662-018-1593-z