Publication:3083935
From MaRDI portal
zbMath1217.91003MaRDI QIDQ3083935
Michele Leonardo Bianchi, Frank J. Fabozzi, Young Shim Kim, Svetlozar T. Rachev
Publication date: 14 March 2011
simulation; Lévy processes; stable distributions; volatility clustering; financial modeling; delivery pricing
60G51: Processes with independent increments; Lévy processes
91G60: Numerical methods (including Monte Carlo methods)
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
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