The following pages link to (Q2782356):
Displaying 50 items.
- A general control variate method for option pricing under Lévy processes (Q132360) (← links)
- Modeling high-frequency non-homogeneous order flows by compound Cox processes (Q267623) (← links)
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (Q298830) (← links)
- Additive subordination and its applications in finance (Q309162) (← links)
- Distributional bounds for portfolio risk with tail dependence (Q496974) (← links)
- Numerical computation of first-passage times of increasing Lévy processes (Q607622) (← links)
- The quintessential option pricing formula under Lévy processes (Q735135) (← 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)
- On normal variance-mean mixtures as limit laws for statistics with random sample sizes (Q900765) (← 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)
- Numerical methods for Lévy processes (Q964687) (← links)
- Subordination, self-similarity, and option pricing (Q1009413) (← links)
- Multiscale local change point detection with applications to value-at-risk (Q1018645) (← links)
- Volatility smile as relativistic effect (Q1620616) (← links)
- Markov chain Monte Carlo methods for stochastic volatility models. (Q1867723) (← links)
- Semiparametric Gaussian variance-mean mixtures for heavy-tailed and skewed data (Q1952669) (← links)
- Option pricing with discrete time jump processes (Q1994170) (← links)
- Some properties of the multivariate generalized hyperbolic laws (Q2023836) (← links)
- Implied price processes anchored in statistical realizations (Q2085829) (← links)
- High dimensional Markovian trading of a single stock (Q2085831) (← links)
- Stein's method in two limit theorems involving the generalized inverse Gaussian distribution (Q2138227) (← links)
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation (Q2163888) (← links)
- On bounds for the mode and median of the generalized hyperbolic and related distributions (Q2208273) (← links)
- Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process (Q2229844) (← links)
- Dimension reduction for pricing options under multidimensional Lévy processes (Q2398582) (← links)
- What is the natural scale for a Lévy process in modelling term structure of interest rates? (Q2461277) (← links)
- Numerical method for estimating multivariate conditional distributions (Q2488388) (← links)
- Strategic long-term financial risks: single risk factors (Q2574059) (← links)
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models (Q2657004) (← 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)
- A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets (Q3652700) (← links)
- Tail-risk protection trading strategies (Q4555105) (← links)
- A Stein characterisation of the generalized hyperbolic distribution (Q4578055) (← links)
- A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk (Q4609028) (← links)
- Pricing Asian options in a semimartingale model (Q4610222) (← links)
- Pricing Asian options with stochastic volatility (Q4647281) (← links)
- A semi-parametric approach to risk management (Q4647288) (← links)
- Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions (Q4976492) (← links)
- Estimation of Correlation Between Latent Processes (Q4976496) (← links)
- Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model (Q4976503) (← links)
- Dependence calibration and portfolio fit with factor-based subordinators (Q5001188) (← links)
- OPTION SURFACE STATISTICS WITH APPLICATIONS (Q5048581) (← links)
- On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality (Q5075569) (← links)
- Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) (Q5092651) (← links)
- Forward-looking portfolio selection with multivariate non-Gaussian models (Q5139258) (← links)
