Time consistency of Lévy models

DOI10.1088/1469-7688/3/1/304MaRDI QIDQ4647239zbMATH OpenOpenAlexFDO

Authors Ernst Eberlein, Fehmi Özkan

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/3/1/304

zbMATH Keywords

convolutioninfinitely divisible distributions, generalized hyperbolic distributionsintraday modelingLévy processesscaling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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(4)

• scientific article; zbMATH DE number 5853093 (Why is no real title available?)
• A semi-parametric approach to risk management
• Estimating time-changes in noisy Lévy models
• Time change equations for Lévy-type processes

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