Pages that link to "Item:Q4371861"
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The following pages link to The normal inverse gaussian lévy process: simulation and approximation (Q4371861):
Displaying 50 items.
- On exact pricing of FX options in multivariate time-changed Lévy models (Q345721) (← links)
- Representation of infinite-dimensional forward price models in commodity markets (Q403550) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710) (← links)
- The \(\beta \)-variance gamma model (Q660161) (← links)
- Default prediction with the Merton-type structural model based on the NIG Lévy process (Q730567) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes (Q882858) (← links)
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution (Q961440) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- Consistency of general bootstrap methods for degenerate \(U\)-type and \(V\)-type statistics (Q1026346) (← links)
- Sensitivity analysis for averaged asset price dynamics with gamma processes (Q1044013) (← links)
- An actuarial approach to option pricing under the physical measure and without market assumptions (Q1265918) (← links)
- Stationary and self-similar processes driven by Lévy processes (Q1613667) (← links)
- Approximation and simulation of infinite-dimensional Lévy processes (Q1617261) (← links)
- Linking Tukey's legacy to financial risk measurement (Q1659149) (← links)
- GARCH option pricing models with Meixner innovations (Q1710580) (← links)
- Continuous dependence estimates for viscosity solutions of integro-PDEs (Q1779287) (← links)
- On Asian option pricing for NIG Lévy processes (Q1883479) (← links)
- A robust LR test for the GARCH model (Q1927913) (← links)
- Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes (Q1950896) (← links)
- Extracting market information from equity options with exponential Lévy processes (Q1994305) (← links)
- Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral (Q2066759) (← links)
- On a Lévy process pinned at random time (Q2126289) (← links)
- On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance (Q2153520) (← links)
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation (Q2163888) (← links)
- A regime switching fractional Black-Scholes model and European option pricing (Q2204497) (← links)
- Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process (Q2215954) (← links)
- Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process (Q2293569) (← links)
- Option pricing by probability distortion operator based on the quantile function (Q2298583) (← links)
- Option pricing in time-changed Lévy models with compound Poisson jumps (Q2326531) (← links)
- Testing for pure-jump processes for high-frequency data (Q2343966) (← links)
- Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes (Q2390465) (← links)
- Dimension reduction for pricing options under multidimensional Lévy processes (Q2398582) (← links)
- Option pricing for symmetric Lévy returns with applications (Q2398586) (← links)
- Nonparametric inference for discretely sampled Lévy processes (Q2428954) (← links)
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas (Q2499076) (← links)
- Moments of the generalized hyperbolic distribution (Q2513365) (← links)
- Simulation of stochastic integrals with respect to Lévy processes of type G. (Q2574503) (← links)
- Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes. (Q2574601) (← links)
- Activity signature functions for high-frequency data analysis (Q2630154) (← links)
- On the estimation of regime-switching Lévy models (Q2691688) (← links)
- The forward dynamics in energy markets – infinite-dimensional modelling and simulation (Q2811117) (← links)
- Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets (Q2837759) (← links)
- The α-Dependence of Stochastic Differential Equations Driven by Variants of α-Stable Processes (Q2890080) (← links)
- Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286) (← links)
- On the Size Distribution of Sand (Q2956043) (← links)
- Pricing of basket options using univariate normal inverse Gaussian approximations (Q2997946) (← links)
- Reduce computation in profile empirical likelihood method (Q3087599) (← links)
- Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion (Q3368564) (← links)
