Time change
نویسندگان
چکیده
The mathematical concept of time–changing continuous–time stochastic processes can be regarded as one of the standard tools for building financial models. This article reviews briefly the theory on time–changed stochastic processes and relates 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.
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