Janczura, Joanna; Orzel, Sebastian; Wylomanska, Agnieszka - Hugo Steinhaus Center for Stochastic Methods, … - 2011
The classical financial models are based on the standard Brownian diffusion-type processes. However, in exhibition of some real market data (like interest or exchange rates) we observe characteristic periods of constant values. Moreover, in the case of financial data, the assumption of normality...