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The Processes Compatible with the Stylized Facts

  • Gilles Zumbach
Part of the Springer Finance book series (FINANCE)

Abstract

This chapter gives a summary of the main results scattered in the book and of the main techniques used to obtain them, together with a critical comparison with the more traditional results and techniques available in the literature. Among them are relative versus logarithmic returns, normal versus student innovations, ARCH versus stochastic volatility processes, discrete versus continuous processes, numerical versus analytical results, statistical tests, etc.

Keywords

Option Price Continuum Limit Stylize Fact Stochastic Volatility Stochastic Calculus 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Gilles Zumbach
    • 1
  1. 1.Consulting in Financial ResearchSaconnex d’ArveSwitzerland

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