1. Identifying Jumps in Asset Prices
- Author
-
James E. Gentle and Johan Bjursell
- Subjects
Molecular diffusion ,Differential equation ,Process (engineering) ,Economics ,Econometrics ,Financial system ,Asset (economics) ,Diffusion (business) ,Empirical process - Abstract
For over a hundred years, diffusion differential equations have been used to model the changes in asset prices. Despite obvious fundamental problems with these equations, such as the requirement of continuity, they often provide adequate local fits to the observed asset price process. There are, however, several aspects of the empirical process that are not fit by simple diffusion equations.
- Published
- 2011
- Full Text
- View/download PDF