Browsing by Author "Korostelev, Alexander"

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Browsing by Author "Korostelev, Alexander"

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  • Hardle, Wolfgang; Kleinow, Torsten; Korostelev, Alexander; Logeay, Camille; Platen, Eckhard (IOP Publishing Ltd., 2008)
    The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A new model for a stock market index process is proposed in which the index is ...