The following pages link to Time Changes for Lévy Processes (Q2707163):
Displayed 50 items.
- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility (Q465438) (← links)
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
- Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals (Q488106) (← links)
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- Pricing of the time-change risks (Q543799) (← links)
- Fluctuation scaling and covariance matrix of constituents' flows on a bipartite graph empirical analysis with high-frequency financial data based on a Poisson mixture model (Q614551) (← links)
- Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model (Q614589) (← links)
- A note on first-passage times of continuously time-changed Brownian motion (Q654495) (← links)
- Optimal portfolio allocation with higher moments (Q665798) (← links)
- Properties of multinomial lattices with cumulants for option pricing and hedging (Q853859) (← links)
- Option pricing for pure jump processes with Markov switching compensators (Q854276) (← links)
- Infinite divisibility for stochastic processes and time change (Q867076) (← links)
- Closed-form valuations of basket options using a multivariate normal inverse Gaussian model (Q1003824) (← links)
- Analysis of quadrature methods for pricing discrete barrier options (Q1017005) (← links)
- Stochastic calculus for assets with non-Gaussian price fluctuations (Q1606132) (← links)
- Pricing foreign equity option with stochastic volatility (Q1618699) (← links)
- Volatility smile as relativistic effect (Q1620616) (← links)
- Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Lévy noise (Q1663599) (← links)
- Empirical scaling laws and the aggregation of non-stationary data (Q1673262) (← links)
- Options pricing with time changed Lévy processes under imprecise information (Q1794512) (← links)
- Factor models for option pricing (Q1934585) (← links)
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation (Q2163888) (← links)
- Quadratic variation, models, applications and lessons (Q2170296) (← links)
- Time changes that result in multiple points in continuous-time Markov counting processes (Q2231032) (← links)
- Additive logistic processes in option pricing (Q2238772) (← links)
- Lévy processes driven by stochastic volatility (Q2372257) (← links)
- The randomly stopped geometric Brownian motion (Q2453926) (← links)
- Potential theory of geometric stable processes (Q2498924) (← links)
- Green function estimates and Harnack inequality for subordinate Brownian motions (Q2502243) (← links)
- Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes. (Q2574601) (← links)
- Multivariate time changes for Lévy asset models: characterization and calibration (Q2654202) (← links)
- An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
- Leveraged Lévy processes as models for stock prices (Q2786277) (← links)
- CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM (Q2874728) (← links)
- A generalized variance gamma process for financial applications (Q2893076) (← links)
- On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations (Q2904891) (← links)
- A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE (Q2909513) (← links)
- FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS (Q2909517) (← links)
- An Analytical Valuation Framework for Financial Assets with Trading Suspensions (Q3295872) (← links)
- SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL (Q3304214) (← links)
- CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION (Q3400133) (← links)
- Option valuation, time-changed processes and the fast Fourier transform (Q3498557) (← links)
- A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE (Q3580217) (← links)
- Inference in Lévy-type stochastic volatility models (Q3590750) (← links)
- Instantaneous portfolio theory (Q4554500) (← links)
- Valuation of Collateralized Funds of Hedge Fund Obligations: A Basket Option Pricing Approach (Q4561921) (← links)
- RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS (Q4563802) (← links)
- From local volatility to local Lévy models (Q4610266) (← links)
- Understanding option prices (Q4647596) (← links)
- Valuing Bermudan options when asset returns are Lévy processes (Q4647599) (← links)