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En 中文
Abstract
The mathematical operation of time‐changing continuous‐time stochastic processes can be regarded as a standard method for building financial models. We briefly review the theory on time‐changed stochastic processes and relate them to stochastic volatility models in finance. Popular models, including time‐changed Lévy processes, where the time‐change process is given by a subordinator or an absolutely continuous time change, are presented. Finally, we discuss the potential and the limitations of using such processes for constructing multivariate financial models.
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