CORDIS Project
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This project develops a new framework for modeling heterogeneity in economics using measure-valued stochastic processes. It aims to create a micro-founded stochastic volatility model to better analyze financial asset volatility, addressing limitations of existing models through an interdisciplinary approach that combin…
The research objectives of the project consist in exploring a new, realistic and parsimonious framework for modeling heterogeneity in economics and in investigating its implications for analyzing the volatility of financial assets.
First, in order to develop this framework, a novel approach in economics is proposed based on measure-valued stochastic processes, which are extensively employed in mathematical biology to study the heterogeneity of a population with respect to a genetic characteristi…
University of Zurich
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