Numerical techniques in Lévy fluctuation theory

DOI10.1007/s11009-012-9296-5zbMath1291.60096MaRDI QIDQ2445476

Peter den Iseger, Naser M. Asghari, M. R. H. Mandjes

Publication date: 14 April 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-012-9296-5

zbMATH Keywords

Lévy processes; mathematical finance; fluctuation theory; phase-type distributions; Wiener-Hopf

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

65T99: Numerical methods in Fourier analysis

Related Items

Finite-time ruin probabilities using bivariate Laguerre series, Hypothesis testing for a Lévy-driven storage system by Poisson sampling, Queueing and risk models with dependencies, A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes, Transient analysis of reflected Lévy processes

Uses Software

• PhFit
• EMpht

Cites Work

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• Financial Modelling with Jump Processes
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• NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE
• An Algorithm for the Machine Calculation of Complex Fourier Series
• Randomization and the American Put
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• Evaluating Scale Functions of Spectrally Negative Lévy Processes
• Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
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