Tempered stable distributions and processes

DOI10.1016/J.SPA.2013.06.012zbMATH Open1352.60021arXiv1907.05141OpenAlexW2015387601MaRDI QIDQ61368FDOQ61368

Authors: Uwe Küchler, Stefan Tappe, Uwe Küchler, Stefan Tappe 

Publication date: December 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered stable processes, we deal with density transformations and compute their $p$-variation indices. Exponential stock models driven by tempered stable processes are discussed as well.

Full work available at URL: https://arxiv.org/abs/1907.05141

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zbMATH Keywords

\(p\)-variation indexlimit distributionparameter estimationtempered stable distributiontempered stable process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited In (66)

• On Markovian semigroups of Lévy driven SDEs, symbols and pseudo-differential operators
• Conic quantization: stochastic volatility and market implied liquidity
• On a new class of tempered stable distributions: moments and regular variation
• Tempered stable distributions. Stochastic models for multiscale processes
• Analytic properties of Markov semigroup generated by stochastic differential equations driven by Lévy processes
• On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
• Building multivariate Sato models with linear dependence
• Fractionally integrated GARCH model with tempered stable distribution: a simulation study
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• Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Stochastic SIR Lévy jump model with heavy-tailed increments
• Lévy processes and Lévy white noise as tempered distributions
• Tempered stable structural model in pricing credit spread and credit default swap
• Rejection sampling for tempered Lévy processes
• Some further results on the tempered multistable approach
• Option pricing and hedging for optimized Lévy driven stochastic volatility models
• Tempered stable Ornstein– Uhlenbeck processes: A practical view
• Subordinated compound Poisson processes of order \(k\)
• Generalized tempered stable processes
• Approximating Multivariate Tempered Stable Processes
• Strong convergence of the Euler-Maruyama approximation for a class of Lévy-driven SDEs
• Large deviations for a class of tempered subordinators and their inverse processes
• Estimation of tempered stable Lévy models of infinite variation
• On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
• A New Tempered Stable Distribution and Its Application to Finance
• Modelling Cell Generation Times by Using the Tempered Stable Distribution
• Irreducibility and exponential mixing of some stochastic hydrodynamical systems driven by pure jump noise
• Mixed tempered stable distribution
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• Real-world forward rate dynamics with affine realizations
• Exponential stock models driven by tempered stable processes
• Option pricing in time-changed Lévy models with compound Poisson jumps
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• Asymmetrically tempered stable distributions with applications to finance
• Uniform exponential dichotomy of stochastic cocycles
• Three upsilon transforms related to tempered stable distributions
• Title not available (Why is that?)
• Monte Carlo option pricing for tempered stable (CGMY) processes
• TempStable
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• On Properties of the MixedTS Distribution and Its Multivariate Extension
• Tempered infinitely divisible distributions and processes
• Goodness-of-fit test for stochastic processes using even empirical moments statistic
• Average-tempered stable subordinators with applications
• Regulating stochastic clocks§
• Williams' path decomposition for self-similar Markov processes in \(\mathbb{R}^d\)
• Parametric estimation of tempered stable laws
• Bivariate tempered space-fractional Poisson process and shock models
• CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
• On the convolution equivalence of tempered stable distributions on the real line
• Short-time implied volatility of additive normal tempered stable processes

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