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MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-RR 2001-21
July 2001




Hyperbolic Processes in Finance

by:

Michael Sørensen

Bo Martin Bibby

Abstract

From the introduction:

Distributions that have tails heavier than the normal distribution are ubiquitous in finance. For purposes such as risk management and derivative pricing it is important to use relatively simple models that can capture the heavy tails and other relevant features of financial data. A class of distributions that is very often able to fit the distributions of financial data is the class of generalized hyperbolic distributions.

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This paper has now been published in S. Rachev (ed.): Handbook of Heavy Tailed Distributions in Finance, Elsevier Science, pp. 211 - 248.