Stochastic skewness in the FX market
Li Volsi, Emanuele (A.A. 2020/2021) Stochastic skewness in the FX market. Tesi di Laurea in Probability, Luiss Guido Carli, relatore Sara Biagini, pp. 41. [Master's Degree Thesis]
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Abstract/Index
Skewness and market returns. Currency market. Framework. Empirical findings. Modelling. Stochastic volatility. Jump diffusion models and alternatives to capture stochastic volatility and skewness. Empirical analysis. The model. Stochastic time change and Levy processes.
References
Bibliografia: pp. 33-35.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Probability |
| Thesis Supervisor: | Biagini, Sara |
| Thesis Co-Supervisor: | Marchisio, Valerio |
| Academic Year: | 2020/2021 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 08 Sep 2022 12:49 |
| Last Modified: | 08 Sep 2022 12:49 |
| URI: | https://tesi.luiss.it/id/eprint/33257 |
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