Department of Economics and Business Economics

Time change

Research output: Contribution to book/anthology/report/proceedingEncyclopedia entryResearch

  • Almut Veraart
  • Matthias Winkel, University of Oxford, United Kingdom
  • School of Economics and Management
The mathematical operation of time-changing continuous-time stochastic processes can be regarded as a standard method for building financial models. We briefly review the theory on time-changed stochastic processes and relate them to stochastic volatility models in finance. Popular models, including time-changed Lévy processes, where the time-change process is given by a subordinator or an absolutely continuous time change, are presented. Finally, we discuss the potential and the limitations of using such processes for constructing multivariate financial models.
Original languageEnglish
Title of host publicationEncyclopedia of Quantitative Finance
EditorsRama Cont
PublisherJohn Wiley & Sons Ltd
Publication year2010
Publication statusPublished - 2010

    Research areas

  • business time, semimartingale, stochastic volatility, subordinator, time change, Lévy process

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ID: 15251568