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Document type:
Bachelorarbeit 
Author(s):
Vesenmayer, Bernhard 
Title:
COGARCH from a semimartingale point of view 
Abstract:
The notion of semimartingale characteristics is not yet a standard tool to analyse stochastic processes. Its practical use is shown on the example of the process class COGARCH. This has recently been introduced by Klüppelberg, Lindner and Maller (2004) as an extension of the well-known class of GARCH processes to continuous time. Semimartingale characteristics are computed and used to obtain the infinitesimal generator of the main process of COGARCH. 
Referee:
Prof. Dr. Kallsen 
Year:
2005 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
Format:
Text