Financial Market Models with Lévy Processes and Time-Varying Volatility

@inproceedings{Kim2007FinancialMM,
  title={Financial Market Models with L{\'e}vy Processes and Time-Varying Volatility},
  author={Young Shin Kim},
  year={2007}
}
Asset management and pricing models require the proper modeling of the return distribution of financial assets. While the return distribution used in the traditional theories of asset pricing and portfolio selection is the normal distribution, numerous studies that have investigated the empirical behavior of asset returns in financial markets throughout the world reject the hypothesis that asset return distributions are normally distribution. Alternative models for describing return… CONTINUE READING
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