Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2008
Economics
Spandauerstr. 1, 10178 Berlin, Germany
bTechnische Universit¨at Berlin, Institute of Mathematics
Straße des 17. Juni … financial economics, option pricing and risk management as, e.g. es-
timated risk neutral densities allow less liquid … economics, in particular if
Y follows and Ornstein-Uhlenbeck dynamic with mean reversion term g(y) =
κ(θ−y) for constants θ ≥ 0 …