Lévy processes, polynomials and martingales
From MaRDI portal
Publication:4385225
Recommendations
- Finitely polynomially determined Lévy processes
- Lévy processes, phase-type distributions, and martingales
- Markov processes, polynomial martingales and orthogonal polynomials
- Polynomial recurrence for Lévy processes
- scientific article; zbMATH DE number 1598665
- Lévy processes and Fourier multipliers
- Multivariate Bernoulli and Euler polynomials via Lévy processes
- Levy functionals and jump process martingales
- scientific article; zbMATH DE number 918811
Cited in
(93)- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
- Time-space harmonic polynomials relative to a Lévy process
- Subordination, self-similarity, and option pricing
- Stochastic processes with orthogonal polynomial eigenfunctions
- Lévy-Sheffer and iid-Sheffer polynomials with applications to stochastic integrals
- A general control variate method for option pricing under Lévy processes
- Free martingale polynomials.
- Short-term risk management using stochastic Taylor expansions under Lévy models
- Processes of Meixner type
- A reverse martingale property that characterizes the natural exponential family with quadratic variance function
- A characterization of simple quadratic natural exponential families with a reverse martingale property
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
- Cliquet option pricing with Meixner processes
- GARCH option pricing models with Meixner innovations
- Polynomials of Meixner's type in infinite dimensions: Jacobi fields and orthogonality measures
- Chaotic and predictable representations for Lévy processes.
- Time-space polynomial martingales generated by a discrete-time martingale
- CMV matrices and little and big \(-1\) Jacobi polynomials
- Orthogonality of the Sheffer system associated to a Lévy process
- Implied price processes anchored in statistical realizations
- High dimensional Markovian trading of a single stock
- Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences
- Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models
- A characterization of multivariate normal stable Tweedie models and their associated polynomials
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes
- Infinitesimal generators of \(q\)-Meixner processes
- On the orthogonal polynomials associated with a Lévy process
- Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
- Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
- Two sided efficient frontiers at multiple time horizons
- Analysis of Fourier transform valuation formulas and applications
- Appell pseudopolynomials and Erlang-type risk models
- On the transient behavior of Ehrenfest and Engset processes
- Bannai-Ito polynomials and dressing chains
- Euclidean quantum mechanics in the momentum representation
- ORTHOGONAL DECOMPOSITIONS FOR LÉVY PROCESSES WITH AN APPLICATION TO THE GAMMA, PASCAL, AND MEIXNER PROCESSES
- MRM-FACTORS FOR THE PROBABILITY MEASURES IN THE MEIXNER CLASS
- A family of martingales generated by a process with independent increments
- Additive subordination and its applications in finance
- PROBABILITY MEASURES ON ℂ ARISING FROM THE JACOBI–SZEGÖ PARAMETERS FOR CONTINUOUS DUAL HAHN POLYNOMIALS
- Determination of the Lévy exponent in asset pricing models
- Umbral Calculus, Martingales, and Associated Polynomials
- Multifractal scenarios for products of geometric Lévy-based stationary models
- An investigation of model risk in a market with jumps and stochastic volatility
- Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
- On Markov processes with polynomial conditional moments
- Multifractality of products of geometric Ornstein-Uhlenbeck-type processes
- A multivariate Lévy process model with linear correlation
- On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
- scientific article; zbMATH DE number 3986307 (Why is no real title available?)
- A new family of time-space harmonic polynomials with respect to Lévy processes
- Reviewing alternative characterizations of Meixner process
- scientific article; zbMATH DE number 2051032 (Why is no real title available?)
- Discrete chaotic calculus and covariance identities
- Numerical analysis of novel finite difference methods
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- Some Classes of Orthogonal Polynomials Associated with Martingales
- A risk model driven by Lévy processes
- Normal martingales and polynomial families
- LSV models with stochastic interest rates and correlated jumps
- Option surface statistics with applications
- Markov processes, polynomial martingales and orthogonal polynomials
- Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein–Uhlenbeck processes
- Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
- Time-inhomogeneous polynomial processes
- MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS
- Filtering response directions
- Free Martingale polynomials for stationary Jacobi processes
- Equivalent measure changes for subordinate diffusions
- The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence
- Risk models in insurance and epidemics: a bridge through randomized polynomials
- On d-orthogonality of the Sheffer systems associated to a convolution semigroup
- THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
- HILBERT SPACE OF ANALYTIC FUNCTIONS ASSOCIATED WITH THE MODIFIED BESSEL FUNCTION AND RELATED ORTHOGONAL POLYNOMIALS
- Orthogonal and pseudo-orthogonal multi-dimensional Appell polynomials.
- Finitely polynomially determined Lévy processes
- K terms recurrence relations and polynomial variance functions of the Kth degree
- An application in stochastics of the Laguerre-type polynomials
- Financial activity time
- The economics of time as it is embedded in the prices of options§
- Generalized BSDE and reflected BSDE with random time horizon
- On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
- Estimation of the characteristics of a Lévy process observed at arbitrary frequency
- Real natural exponential families and generalized orthogonality
- Lévy models amenable to efficient calculations
- Unmasking stochastic volatility in discontinuous continuity approximations and extracting VIX optionality directly from SPX implied volatilities
- Exotic options under Lévy models: an overview
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
- On the duality principle in option pricing: semimartingale setting
- Martingale characterization of Pólya processes and sequences
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
- Askey-Wilson polynomials, quadratic harnesses and martingales
This page was built for publication: Lévy processes, polynomials and martingales
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4385225)
