276 citations · 600 across the 11 of their papers we have counts for
4 papers · 1 filter
A multi-time scale non-Gaussian model of stock returns
Lisa Borland
We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback acr…
A Merton-Like Approach to Pricing Debt based on a non-Gaussian Asset Model
Lisa Borland, Jeremy Evnine, Benoit Pochart
This paper is a contribution to the Proceedings of the Workshop Complexity, Metastability and Nonextensivity held in Erice 20-26 July 2004, to be published by World Scientific. We…
The Dynamics of Financial Markets -- Mandelbrot's multifractal cascades, and beyond
Lisa Borland, Jean-Philippe Bouchaud, Jean-Francois Muzy +1
This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be rel…
A Non-Gaussian Option Pricing Model with Skew
L. Borland, J. P. Bouchaud
Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borla…