Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
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Publication:6490771
DOI10.1080/1350486X.2024.2316139MaRDI QIDQ6490771FDOQ6490771
Authors: Tim Leung, Kevin W. Lu 
Publication date: 23 April 2024
Published in: Applied Mathematical Finance (Search for Journal in Brave)
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Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Financial markets (91G15)
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- Statistical arbitrage in the US equities market
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- Completely operator-selfdecomposable distributions and operator-stable distributions
- Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions
- Marginal consistent dependence modelling using weak subordination for Brownian motions
- Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
- Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
- Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
- A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies
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