scientific article; zbMATH DE number 1466110
From MaRDI portal
Publication:4486401
Recommendations
- scientific article; zbMATH DE number 1598665
- Lévy processes and self-decomposability in finance
- Lévy processes in finance: inverse problems and modeling of dependence.
- Malliavin Calculus for Lévy Processes with Applications to Finance
- scientific article; zbMATH DE number 1639858
- Diffusion approximation of Lévy processes with a view towards finance
- scientific article; zbMATH DE number 2196070
- scientific article; zbMATH DE number 1775715
- Lévy processes in finance: A remedy to the non-stationarity of continuous martingales
Cited in
(92)- scientific article; zbMATH DE number 5565446 (Why is no real title available?)
- Fourier based methods for the management of complex life insurance products
- Rational term structure models with geometric Lévy martingales
- A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS
- Lewis model revisited: option pricing with Lévy processes
- Calibration to American options: numerical investigation of the de-americanization method
- A numerical method for hedging Bermudan options under model uncertainty
- Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process
- The Lévy Swap Market Model
- An algorithm for computing non-concave multifractal spectra using the \(S^\nu\) spaces
- Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
- Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
- A high order finite difference method for tempered fractional diffusion equations with applications to the CGMY model
- Fast computation of the multidimensional fractional Laplacian
- A finite-difference approximation for the one- and two-dimensional tempered fractional Laplacian
- Lévy hybrid models. Modelling, evaluation, calibration
- Dimension reduction for pricing options under multidimensional Lévy processes
- On the Method of Optimal Portfolio Choice by Cost-Efficiency
- Quasi-likelihood analysis for Student-Lévy regression
- FFT network for interest rate derivatives with Lévy processes
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
- Classification of Lévy processes with parabolic Kolmogorov backward equations
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- On the stationary version of the generalized hyperbolic ARCH model
- Variance optimal hedging for continuous time additive processes and applications
- Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
- scientific article; zbMATH DE number 1775715 (Why is no real title available?)
- Default prediction with the Merton-type structural model based on the NIG Lévy process
- A discrete-time hedging framework with multiple factors and fat tails: on what matters
- Diffusion approximation of Lévy processes with a view towards finance
- The Markov-switching jump diffusion LIBOR market model
- A risk model driven by Lévy processes
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
- Numerical methods for Lévy processes
- Delay differential equations driven by Lévy processes: stationarity and Feller properties
- Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
- A multiple-curve HJM model of interbank risk
- Robust barrier option pricing by frame projection under exponential Lévy dynamics
- Numerical valuation of options with jumps in the underlying
- On Asian option pricing for NIG Lévy processes
- Option pricing for pure jump processes with Markov switching compensators
- Lévy processes in finance: A remedy to the non-stationarity of continuous martingales
- Variational solutions of the pricing PIDEs for European options in Lévy models
- Shot-noise driven multivariate default models
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- On some claims related to Choquet integral risk measures
- Exotic options under Lévy models: an overview
- VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
- scientific article; zbMATH DE number 1064373 (Why is no real title available?)
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
- Cost-efficiency in multivariate Lévy models
- A note on the suboptimality of path-dependent pay-offs in Lévy markets
- Tri-diagonal preconditioner for pricing options
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- Computation of copulas by Fourier methods
- Pricing exotic options in a regime switching economy: a Fourier transform method
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
- Local asymptotic normality for Student-Lévy processes under high-frequency sampling
- A fast stationary iterative method for a partial integro-differential equation in pricing options
- Existence of Lévy term structure models
- Efficient solution of a partial integro-differential equation in finance
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- The LIBOR market model: a Markov-switching jump diffusion extension
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models
- Selfdecomposability and selfsimilarity: a concise primer
- Clustered Lévy processes and their financial applications
- Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
- Inference in Lévy-type stochastic volatility models
- A multivariate default model with spread and event risk
- Analysis of Fourier transform valuation formulas and applications
- On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
- Chebyshev interpolation for parametric option pricing
- Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
- Free random Lévy variables and financial probabilities
- Lévy processes in finance: inverse problems and modeling of dependence.
- Impact of volatility clustering on equity indexed annuities
- Cliquet-style return guarantees in a regime switching Lévy model
- Efficiently pricing double barrier derivatives in stochastic volatility models
- The Defaultable Lévy Term Structure: Ratings and Restructuring
- Pricing options on variance in affine stochastic volatility models
- Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use
- Asymptotic power utility-based pricing and hedging
- Variance-optimal hedging for processes with stationary independent increments
- A multifractal formalism for non-concave and non-increasing spectra: the leaders profile method
- PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS
- Option pricing under stochastic volatility models with latent volatility
- Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
- On the divergence and vorticity of vector ambit fields
- Fourier inversion formulas in option pricing and insurance
- Fast deterministic pricing of options on Lévy driven assets
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4486401)
