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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
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