The PGBM model for a couple of counteracting, exponentially growing capital flows is presented: the available capital stock $X(t)$ evolves according to a variant of inhomogeneous geometric Brownian motion (GBM) with time-dependent drift, in particular, to the stochastic differential equation...

Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently devised a model describing the time evolution of a financial index. We first make it fully explicit by using Student distributions instead of power law-truncated Levy...