Department of Economics and Business Economics

Time change

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

Standard

Time change. / Veraart, Almut; Winkel, Matthias.

Encyclopedia of Quantitative Finance. ed. / Rama Cont. Vol. 4 John Wiley & Sons Ltd, 2010. p. 1812-1816.

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

Harvard

Veraart, A & Winkel, M 2010, Time change. in R Cont (ed.), Encyclopedia of Quantitative Finance. vol. 4, John Wiley & Sons Ltd, pp. 1812-1816. https://doi.org/10.1002/9780470061602.eqf19026

APA

Veraart, A., & Winkel, M. (2010). Time change. In R. Cont (Ed.), Encyclopedia of Quantitative Finance (Vol. 4, pp. 1812-1816). John Wiley & Sons Ltd. https://doi.org/10.1002/9780470061602.eqf19026

CBE

Veraart A, Winkel M. 2010. Time change. Cont R, editor. In Encyclopedia of Quantitative Finance. John Wiley & Sons Ltd. pp. 1812-1816. https://doi.org/10.1002/9780470061602.eqf19026

MLA

Veraart, Almut and Matthias Winkel "Time change". Cont, Rama (ed.). Encyclopedia of Quantitative Finance. John Wiley & Sons Ltd. 2010, 1812-1816. https://doi.org/10.1002/9780470061602.eqf19026

Vancouver

Veraart A, Winkel M. Time change. In Cont R, editor, Encyclopedia of Quantitative Finance. Vol. 4. John Wiley & Sons Ltd. 2010. p. 1812-1816 https://doi.org/10.1002/9780470061602.eqf19026

Author

Veraart, Almut ; Winkel, Matthias. / Time change. Encyclopedia of Quantitative Finance. editor / Rama Cont. Vol. 4 John Wiley & Sons Ltd, 2010. pp. 1812-1816

Bibtex

@inbook{5412cd90fdd611dda987000ea68e967b,
title = "Time change",
abstract = "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 L{\'e}vy 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.",
keywords = "business time, semimartingale, stochastic volatility, subordinator, time change, L{\'e}vy process",
author = "Almut Veraart and Matthias Winkel",
year = "2010",
doi = "10.1002/9780470061602.eqf19026",
language = "English",
volume = "4",
pages = "1812--1816",
editor = "Rama Cont",
booktitle = "Encyclopedia of Quantitative Finance",
publisher = "John Wiley & Sons Ltd",

}

RIS

TY - ENCYC

T1 - Time change

AU - Veraart, Almut

AU - Winkel, Matthias

PY - 2010

Y1 - 2010

N2 - 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.

AB - 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.

KW - business time

KW - semimartingale

KW - stochastic volatility

KW - subordinator

KW - time change

KW - Lévy process

U2 - 10.1002/9780470061602.eqf19026

DO - 10.1002/9780470061602.eqf19026

M3 - Encyclopedia entry

VL - 4

SP - 1812

EP - 1816

BT - Encyclopedia of Quantitative Finance

A2 - Cont, Rama

PB - John Wiley & Sons Ltd

ER -