CBI-time-changed Lévy processes for multi-currency modeling

DOI10.1007/S10479-022-04982-ZMaRDI QIDQ6549592zbMATH OpenFDO

Authors Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda

Publication date 4 June 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10479-022-04982-Z

zbMATH Keywords

affine processbranching processFX marketLévy processesmulti-currency marketself-exciting processstochastic volatility

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of branching processes (60J85) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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Cited in

(3)

• A stochastic maximum principle for CBI processes
• A wind-dependent self-exiting electricity spot price model
• Wind power production modeling with CBI processes

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