Jump Processes in Exchange Rates Modeling

Tomáš Bunčák

MPRA Paper from University Library of Munich, Germany

Abstract: This text presents a study of various models based on jump processes in the context of foreign exchange (FX) rates modeling. Quality of FX rate log-returns fit is assessed for models such as Merton and Kou jump-diffusions, normal inverse Gaussian, variance gamma, and Meixner. The study is illustrated by simulation results that are provided for each of the models considered. Jump models are contrasted to the well-known (continuous) Brownian motion model.

Keywords: jump processes; foreign exchange; log-returns fit; stochastic modeling (search for similar items in EconPapers)
JEL-codes: C52 F31 G15 G17 (search for similar items in EconPapers)
Date: 2013-09-24
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https://mpra.ub.uni-muenchen.de/51350/1/MPRA_paper_51350.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:49882

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