On Volatility Induced Stationarity for Stochastic Differential Equations

J. M. P. Albin, Bjarne Astrup Jensen, Anders Muszta, Martin Richter

Research output: Working paperResearch

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Abstract

This article deals with stochastic differential equations with volatility induced stationarity. We study of theoretical properties of such equations, as well as numerical aspects, together with a detailed study of three examples.
Original languageEnglish
Place of PublicationFrederiksberg
PublisherDanish Center for Accounting and Finance (D-CAF)
Number of pages34
Publication statusPublished - Jun 2006
SeriesD-CAF Working Paper
Number10

Keywords

  • CIR model
  • CKLS model
  • Heavy-tailed SDE
  • Hyperbolic SDE
  • Local martingale
  • Mean reversion
  • Numerical methods
  • Stochastic differential equation
  • Time changed SDE
  • Volatility induced stationarity

Cite this

Albin, J. M. P., Astrup Jensen, B., Muszta, A., & Richter, M. (2006). On Volatility Induced Stationarity for Stochastic Differential Equations. Frederiksberg: Danish Center for Accounting and Finance (D-CAF). D-CAF Working Paper, No. 10
Albin, J. M. P. ; Astrup Jensen, Bjarne ; Muszta, Anders ; Richter, Martin. / On Volatility Induced Stationarity for Stochastic Differential Equations. Frederiksberg : Danish Center for Accounting and Finance (D-CAF), 2006. (D-CAF Working Paper; No. 10).
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Albin, JMP, Astrup Jensen, B, Muszta, A & Richter, M 2006 'On Volatility Induced Stationarity for Stochastic Differential Equations' Danish Center for Accounting and Finance (D-CAF), Frederiksberg.

On Volatility Induced Stationarity for Stochastic Differential Equations. / Albin, J. M. P.; Astrup Jensen, Bjarne; Muszta, Anders; Richter, Martin.

Frederiksberg : Danish Center for Accounting and Finance (D-CAF), 2006.

Research output: Working paperResearch

TY - UNPB

T1 - On Volatility Induced Stationarity for Stochastic Differential Equations

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AU - Richter, Martin

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N2 - This article deals with stochastic differential equations with volatility induced stationarity. We study of theoretical properties of such equations, as well as numerical aspects, together with a detailed study of three examples.

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KW - CKLS model

KW - Heavy-tailed SDE

KW - Hyperbolic SDE

KW - Local martingale

KW - Mean reversion

KW - Numerical methods

KW - Stochastic differential equation

KW - Time changed SDE

KW - Volatility induced stationarity

KW - CIR model

KW - CKLS model

KW - Heavy-tailed SDE

KW - Hyperbolic SDE

KW - Local martingale

KW - Mean reversion

KW - Numerical methods

KW - Stochastic differential equation

KW - Time changed SDE

KW - Volatility induced stationarity

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BT - On Volatility Induced Stationarity for Stochastic Differential Equations

PB - Danish Center for Accounting and Finance (D-CAF)

CY - Frederiksberg

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Albin JMP, Astrup Jensen B, Muszta A, Richter M. On Volatility Induced Stationarity for Stochastic Differential Equations. Frederiksberg: Danish Center for Accounting and Finance (D-CAF). 2006 Jun.