Optimal approximations of power laws with exponentials: application to volatility models with long memory
Authors:
Thierry Bochud a;
Damien Challet b
| Affiliations: | a Nestl Capital Advisers, 1800 Vevey, Switzerland |
| b Nomura Centre for Quantitative Finance, Mathematical Institute, Oxford University, Oxford, UK |
DOI:
10.1080/14697680701278291
Publication Frequency:
8 issues per year
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Capital Advisers, 1800 Vevey, Switzerland