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- W2210362661 abstract "This paper gives an overview of the financial modelling of discontinuities in the behaviour of stock market prices. I adopt an epistemological perspective to present to the two main competitors for this stake: Mandelbrot's programme and the non-stable Levy processes based approach. I explain this contest using the De Bruin's notions of refinement programme, over-mathematisation and model-tinkering: I argue that the non-stable Levy based approach of discontinuities can be viewed as a Black-Scholes model refinement programme (BSMRP) in the De Bruin's sense, launched against the radical view of Mandelbrot. I use Sato's classification to contrast the two competitors. Next I present the two strands of research from an historical perspective between 1960 and 2000. Mandelbrot's initial model based on alpha-stable motions initiated huge controversies in the finance field and failed to fully describe the observed behaviour of returns due to the stronger fractal hypothesis. The mixed jump-diffusion non fractal processes began in the 1970s, followed after two decades by infinite activity processes in the 1990s. At the end, the time-change representation of the 2000s seems to unify the two competitors." @default.
- W2210362661 created "2016-06-24" @default.
- W2210362661 creator A5022369605 @default.
- W2210362661 date "2015-04-20" @default.
- W2210362661 modified "2023-09-25" @default.
- W2210362661 title "Jumps in financial modelling: pitting the Black-Scholes model refinement programme against the Mandelbrot programme" @default.
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