Exact simulation of Ornstein–Uhlenbeck tempered stable processes (Q4997193): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1017/jpr.2020.92 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3091463337 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Particle Markov Chain Monte Carlo Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic simulation: Algorithms and analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Processes of normal inverse Gaussian type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2738733 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Realized power variation and stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some stationary processes in discrete and continuous time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some recent developments in stochastic volatility modelling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4223075 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulating Lévy Processes from Their Characteristic Functions and Financial Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4692900 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and insurance risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity / rank
 
Normal rank
Property / cites work
 
Property / cites work: A dynamic contagion process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact simulation of Hawkes process with exponentially decaying intensity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Simulation of Clustering Jumps with CIR Intensity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3680030 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Random variate generation for exponentially and polynomially tilted stable distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient Monte Carlo simulation of security prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simulation and inference for stochastic volatility models driven by Levy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4433608 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sensitivity Estimates from Characteristic Functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sampling Exponentially Tilted Stable Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: A characterization of stable processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time-changed CIR default intensities with two-sided mean-reverting jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generating Random Variates Using Transformations with Multiple Roots / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type / rank
 
Normal rank
Property / cites work
 
Property / cites work: VASIČEK BEYOND THE NORMAL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient simulation of Lévy-driven point processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2738738 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Jump activity estimation for pure-jump semimartingales via self-normalized statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\). / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact simulation of tempered stable Ornstein–Uhlenbeck processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5601177 / rank
 
Normal rank

Latest revision as of 02:44, 26 July 2024

scientific article; zbMATH DE number 7364090
Language Label Description Also known as
English
Exact simulation of Ornstein–Uhlenbeck tempered stable processes
scientific article; zbMATH DE number 7364090

    Statements

    Exact simulation of Ornstein–Uhlenbeck tempered stable processes (English)
    0 references
    0 references
    0 references
    0 references
    28 June 2021
    0 references
    Monte Carlo simulation
    0 references
    exact simulation
    0 references
    non-Gaussian Ornstein-Uhlenbeck process
    0 references
    tempered stable subordinator
    0 references
    tempered stable OU process
    0 references
    OU tempered stable process
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references