Integrating Volatility Clustering Into Exponential Lévy Models

DOI10.1239/JAP/1253279842MaRDI QIDQ3182422zbMATH OpenOpenAlexFDO

Authors Christian Bender, Tina Marquardt

Publication date 8 October 2009

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1253279842

zbMATH Keywords

convoluted Lévy processfinancial modelingsubordinationvolatility clustering

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• Additive processes and stochastic integrals
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• Equivalence of Volterra processes.
• Financial Modelling with Jump Processes
• Fractional Lévy processes with an application to long memory moving average processes
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• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 2199141 (Why is no real title available?)
• Lévy-driven CARMA processes
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On simulation from infinitely divisible distributions
• Option Pricing With V. G. Martingale Components¹
• Simulation and inference for stochastic volatility models driven by Levy processes
• Stochastic calculus for convoluted Lévy processes
• Stochastic Volatility for Lévy Processes

Cited in

(14)

• Understanding the determinants of volatility clustering in terms of stationary Markovian processes
• The closed-form option pricing formulas under the sub-fractional Poisson volatility models
• Risky asset models with tempered stable fractal activity time
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• Asymptotic behaviour of the distribution density of the fractional Lévy motion
• Fractional Lévy processes as a result of compact interval integral transformation
• Conditional distributions of Mandelbrot-Van Ness fractional Lévy processes and continuous-time ARMA-GARCH-type models with long memory
• MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Stochastic Volatility for Lévy Processes
• Subordinators which are infinitely divisible w.r.t. time: construction, properties, and simulation of max-stable sequences and infinitely divisible laws
• Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
• A normal inverse Gaussian model for a risky asset with dependence
• Quantile clocks

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