The following pages link to (Q2738734):
Displaying 50 items.
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes (Q265662) (← links)
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) (← links)
- Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach (Q428104) (← links)
- Numerical computation of first-passage times of increasing Lévy processes (Q607622) (← links)
- Default prediction with the Merton-type structural model based on the NIG Lévy process (Q730567) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Spectral estimation of the fractional order of a Lévy process (Q847639) (← links)
- Infinite divisibility for stochastic processes and time change (Q867076) (← links)
- Sums of totally positive functions of order 2 and applications (Q894594) (← links)
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
- On the duality principle in option pricing: semimartingale setting (Q928504) (← links)
- Fitting bivariate cumulative returns with copulas (Q956837) (← links)
- Multivariate distribution models with generalized hyperbolic margins (Q959294) (← links)
- Arbitrage-free option prices on global markets (Q1037009) (← links)
- Approximation and simulation of infinite-dimensional Lévy processes (Q1617261) (← links)
- An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market (Q1657898) (← links)
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (Q1722750) (← links)
- Numerical valuation of options with jumps in the underlying (Q1775609) (← links)
- Markov chain Monte Carlo methods for stochastic volatility models. (Q1867723) (← links)
- On Asian option pricing for NIG Lévy processes (Q1883479) (← links)
- Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns (Q1936559) (← links)
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) (← links)
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (Q2015694) (← links)
- Some properties of the multivariate generalized hyperbolic laws (Q2023836) (← links)
- Lévy-Ito models in finance (Q2039766) (← links)
- Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral (Q2066759) (← links)
- High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process (Q2084463) (← links)
- Implied price processes anchored in statistical realizations (Q2085829) (← links)
- High dimensional Markovian trading of a single stock (Q2085831) (← links)
- Remarks on a generalized inverse Gaussian type integral with applications (Q2148080) (← links)
- A numerical method for hedging Bermudan options under model uncertainty (Q2152245) (← links)
- Generalized bounds for active subspaces (Q2180052) (← links)
- Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid (Q2201489) (← links)
- On bounds for the mode and median of the generalized hyperbolic and related distributions (Q2208273) (← links)
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects (Q2274222) (← links)
- Self-decomposability of weak variance generalised gamma convolutions (Q2289801) (← links)
- Subordinated Brownian motion: last time the process reaches its supremum (Q2352336) (← links)
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719) (← links)
- On normal variance-mean mixtures (Q2374585) (← links)
- Multivariate elliptical truncated moments (Q2397126) (← links)
- Dimension reduction for pricing options under multidimensional Lévy processes (Q2398582) (← links)
- Equivalence of floating and fixed strike Asian and lookback options (Q2485814) (← links)
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas (Q2499076) (← links)
- Hedging life insurance contracts in a Lévy process financial market (Q2499839) (← links)
- Static hedging under maturity mismatch (Q2516768) (← links)
- Detection of arbitrage opportunities in multi-asset derivatives markets (Q2667758) (← links)
- Two sided efficient frontiers at multiple time horizons (Q2675244) (← links)
- NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING (Q2970319) (← links)
- DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS (Q3121231) (← links)
- Integrating Volatility Clustering Into Exponential Lévy Models (Q3182422) (← links)
