276 citations · 600 across the 11 of their papers we have counts for
4 papers · 1 filter
On a multi-timescale statistical feedback model for volatility fluctuations
L. Borland, J. -Ph. Bouchaud
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on diffe…
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…