Barcelona, E-08028
Spain
University of Barcelona - Department of Physics
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random diffusion, hidden markov process, stochastic volatility
financial markets, stochastic volatility model, leverage correlation, volatility autocorrelation
Stochastic volatility model, long memory, volatility autocorrelation
Discounting, Environment, Interest rates, Inflation, Ornstein-Uhlenbeck process
Option pricing, Ornstein-Uhlenbeck, Market model, inefficient market, Black-Scholes
random walks, financial markets, volatility, trading activity
Continuous time random walk, mean exit time, Markov process
stochastic processes, environmental economics, Ornstein-Uhlenbeck, discount
Continuous Time Random Walks, Markov Processes, Mean Exit Time, Risk Measures, Survival Probability
Financial markets, time series analysis, market microsture, activity
Stochastic processes, Markov processes, Random walks, CTRW, Approximations
intertransaction, high-frequency, model
stochastic volatility, mean first-passage time, Exponential Ornstein Uhlenbeck