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The COGARCH: a review, with news on option pricing and statistical inference

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Date

2011

Authors

Klüppelberg, Claudia
Maller, Ross
Szimayer, Alexander

Journal Title

Journal ISSN

Volume Title

Publisher

European Mathematical Society Publishing House

Abstract

Mathematical Finance and Econometrics can be viewed as two sides of a coin. Econometrics concentrates on finding optimal models concerning statistical properties like correlations and prediction. Mathematical Finance, on the other side is mainly concerned with finding good models which allow for hedging and derivatives pricing.

Description

Keywords

Citation

URI

http://hdl.handle.net/1885/271437

Collections

ANU Research Publications

Source

Type

Book chapter

Book Title

Surveys in Stochastic Processes

Entity type

Access Statement

License Rights

DOI

Restricted until

2099-12-31

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TheCOGARCH.pdf (286.71 KB)

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