Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Original language	English
Title of host publication	From stochastic calculus to mathematical finance
Editors	Yuri Kabanov, Robert Lipster
Place of Publication	Germany
Publisher	Springer
Pages	393-419
Volume	1
Edition	1st
ISBN (Print)	3540307826
Publication status	Published - 2006

Cite this

@inbook{161abb94f435418abdb59a1972b19a21,

title = "Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models",

author = "Claudia Kluppelberg and Alexander Lindner and Ross Maller and Ross Maller",

year = "2006",

language = "English",

isbn = "3540307826",

volume = "1",

pages = "393--419",

editor = "\{Yuri Kabanov, Robert Lipster\}",

booktitle = "From stochastic calculus to mathematical finance",

publisher = "Springer",

address = "Germany",

edition = "1st",

}

Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. / Kluppelberg, Claudia; Lindner, Alexander; Maller, Ross et al.
From stochastic calculus to mathematical finance. ed. / Yuri Kabanov, Robert Lipster. Vol. 1 1st. ed. Germany: Springer, 2006. p. 393-419.

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

TY - CHAP

T1 - Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models

AU - Kluppelberg, Claudia

AU - Lindner, Alexander

AU - Maller, Ross

PY - 2006

Y1 - 2006

M3 - Chapter

SN - 3540307826

VL - 1

SP - 393

EP - 419

BT - From stochastic calculus to mathematical finance

A2 - null, Yuri Kabanov, Robert Lipster

PB - Springer

CY - Germany

ER -