Jump-Diffusion Models Driven by Lévy Processes

DOI10.1007/978-3-642-17254-0_4MaRDI QIDQ3112454zbMATH OpenOpenAlexFDO

Authors José E. Figueroa-López

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-17254-0_4

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial applications of other theories (91G80)

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Cited in

(20)

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• Classical robots perturbed by Lévy processes: analysis and Lévy disturbance rejection methods
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• A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS
• Pricing and hedging in exponential Lévy models: review of recent results
• Financial models with Lévy processes and volatility clustering.
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• Jump tail dependence in Lévy copula models
• Estimation of the activity of jumps in time-changed Lévy models
• scientific article; zbMATH DE number 1933082 (Why is no real title available?)
• Some aspects of modeling and statistical inference for financial models
• Jump locations of jump-diffusion processes with state-dependent rates
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 7631857 (Why is no real title available?)
• Lévy processes and self-decomposability in finance
• Construction of Lévy drivers for financial models
• Time-consistent actuarial valuations
• Model selection for Lévy measures in diffusion processes with jumps from discrete observations

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