The paper analyzes the simulated long-term behavior of well diversified portfolios in continuous financial markets. It focuses on the equi-weighted index and the market portfolio. The paper illustrates that the equally weighted portfolio constitutes a good proxy of the growth optimal portfolio,...

In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation, referred to as the rapidly decreasing tempered stable (RDTS) GARCH model. This model allows the description of some stylized empirical facts observed for stock and index returns, such as volatility...

In this paper we will introduce a hybrid option pricing model that combines the classical tempered stable model and regime switching by a hidden Markov chain. This model allows the description of some stylized phenomena about asset return distributions that are well documented in financial...