TY  - GEN
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/10970/
KW  - kontinuierliche Zeitreihenanalysenonlinear time series analysis 
KW  -  nonstationary time series analysis 
KW  -  stochastic volatility 
KW  -  default probability 
KW  -  derivative pricing
A1  - Surulescu, Nicolae Mircea
AV  - public
ID  - heidok10970
N2  - This thesis considers continuous-time series processes defined by classical stochastic differential equations and investigates some of their applications to mathematical finance with a focus on analytical approximations for some important financial quantities like derivative prices or firm default probability in a more complex and realistic framework than the one used by Black and Scholes (1973) and Merton (1973, 1974).  In the first part some classes of continuous-time series  models are introduced, which are further used to construct new financial models for asset  and volatility dynamics. We illustrate some of them with the aid of simulation and estimation examples. In the second  part of this thesis, we derive new results for derivative pricing  and credit risk problems in stochastic volatility  models driven by some continuous-time  series processes. 
TI  - On Some Classes of Continuous Time Series Models and Their Use in Financial Economics
Y1  - 2010///
ER  -