scientific article; zbMATH DE number 1466110

From MaRDI portal
Publication:4486401

zbMath0966.60044MaRDI QIDQ4486401

Sebastian Raible

Publication date: 26 June 2000


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.


Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (80)

Exotic options under Lévy models: an overviewPricing exotic options in a regime switching economy: a Fourier transform methodOn Asian option pricing for NIG Lévy processesFourier inversion formulas in option pricing and insuranceImpact of volatility clustering on equity indexed annuitiesThe Lévy Swap Market ModelA numerical method for hedging Bermudan options under model uncertaintyOption pricing for pure jump processes with Markov switching compensatorsCalibration to American options: numerical investigation of the de-Americanization methodDelay differential equations driven by Lévy processes: stationarity and Feller propertiesChebyshev interpolation for parametric option pricingFast deterministic pricing of options on Lévy driven assetsThe LIBOR Market Model: A Markov-Switching Jump Diffusion ExtensionOption Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck typeA risk model driven by Lévy processesDimension reduction for pricing options under multidimensional Lévy processesA multifractal formalism for non-concave and non-increasing spectra: the leaders profile methodSelfdecomposability and selfsimilarity: a concise primerFourier based methods for the management of complex life insurance productsA fast stationary iterative method for a partial integro-differential equation in pricing optionsFast computation of the multidimensional fractional LaplacianA Multivariate Default Model with Spread and Event RiskVariational Solutions of the Pricing PIDEs for European Options in Lévy ModelsFFT network for interest rate derivatives with Lévy processesOption pricing under stochastic volatility models with latent volatilityA GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPSShot-noise driven multivariate default modelsDefault models based on scale mixtures of Marshall-Olkin copulas: properties and applicationsA multiple-curve HJM model of interbank riskA discrete-time hedging framework with multiple factors and fat tails: on what mattersMaximum likelihood estimation in processes of Ornstein-Uhlenbeck typeOn the divergence and vorticity of vector ambit fieldsZooming-in on a Lévy process: failure to observe threshold exceedance over a dense gridMagic Points in Finance: Empirical Integration for Parametric Option PricingAn algorithm for computing non-concave multifractal spectra using the \(S^\nu\) spacesPRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACHApproximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processesTri-diagonal preconditioner for pricing optionsRobust barrier option pricing by frame projection under exponential Lévy dynamicsLocal asymptotic normality for Student-Lévy processes under high-frequency samplingExistence of Lévy term structure modelsStochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price modelNon-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy processEfficiently pricing double barrier derivatives in stochastic volatility modelsCliquet-style return guarantees in a regime switching Lévy modelEfficient solution of a partial integro-differential equation in financeClustered Lévy processes and their financial applicationsVariance-Optimal Hedging in General Affine Stochastic Volatility ModelsEfficient and robust portfolio optimization in the multivariate Generalized Hyperbolic frameworkMoments and Mellin transform of the asset price in Stein and Stein model and option pricingOn Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII ProcessNumerical methods for Lévy processesComputing exponential moments of the discrete maximum of a Lévy process and lookback optionsAsymptotic power utility-based pricing and hedgingOn some claims related to Choquet integral risk measuresClosed Form Pricing of European Options for a Family of Normal-Inverse Gaussian ProcessesInference in Lévy-type stochastic volatility modelsThe Defaultable Lévy Term Structure: Ratings and RestructuringNumerical valuation of options with jumps in the underlyingLewis model revisited: option pricing with Lévy processesAnalysis of Fourier Transform Valuation Formulas and ApplicationsOn the Method of Optimal Portfolio Choice by Cost-EfficiencyThe Markov-switching jump diffusion LIBOR market modelOn the stationary version of the generalized hyperbolic ARCH modelA High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY ModelVariance-optimal hedging for processes with stationary independent incrementsDefault prediction with the Merton-type structural model based on the NIG Lévy processA finite-difference approximation for the one- and two-dimensional tempered fractional LaplacianTempered fractional diffusion equations for pricing multi-asset options under CGMYe processAbsolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy ProcessesClassification of Lévy Processes with Parabolic Kolmogorov Backward EquationsPRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELSVALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELSA Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy MarketsPricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusionContinuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process caseCost-efficiency in multivariate Lévy modelsRational term structure models with geometric Lévy martingalesVariance optimal hedging for continuous time additive processes and applicationsOption pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions




This page was built for publication: