Electronic Resource
350 Main Street , Malden , MA 02148 , USA , and 108 Cowley Road , Oxford OX4 IJF , UK .
:
Blackwell Publishers, Inc.
Mathematical finance
13 (2003), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
Geometric analysis of iterated cross-volatilities of asset prices is adopted to assess the stability of the (risk-free) measure under infinitesimal perturbations. Perturbations of asset prices evolve through time according to an ordinary linear differential equation (hedged transfer). The decay (feedback) rate is explicitly computed through a Fourier series method implemented on high frequency time series.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-9965.t01-1-00003
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