Pages that link to "Item:Q4821616"
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The following pages link to Financial Modelling with Jump Processes (Q4821616):
Displaying 50 items.
- Tempered stable distributions and processes (Q61368) (← links)
- European and Asian Greeks for exponential Lévy processes (Q64644) (← links)
- An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case (Q75218) (← links)
- Stochastic expansions using continuous dictionaries: Lévy adaptive regression kernels (Q98918) (← links)
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930) (← links)
- Approximating Lévy processes with completely monotone jumps (Q259581) (← links)
- Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility (Q261928) (← links)
- Optimal investment of a time-dependent renewal risk model with stochastic return (Q264519) (← links)
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver (Q265658) (← links)
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes (Q265662) (← links)
- Detecting and estimating intensity of jumps for discretely observed \(\mathrm{ARMA}D(1,1)\) processes (Q268739) (← links)
- Importance sampling and statistical Romberg method for Lévy processes (Q271865) (← links)
- Statistical inference for time-changed Lévy processes via Mellin transform approach (Q271884) (← links)
- Numerical methods for nonlinear stochastic delay differential equations with jumps (Q272583) (← links)
- On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims (Q281847) (← links)
- A multiplicity result via Ljusternick-Schnirelmann category and Morse theory for a fractional Schrödinger equation in \(\mathbb{R}^N\) (Q282625) (← links)
- Numerical schemes for random ODEs with affine noise (Q285043) (← links)
- Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns (Q289299) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility (Q292380) (← links)
- Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes (Q297142) (← links)
- Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
- A jump model for fads in asset prices under asymmetric information (Q299877) (← links)
- Determining and benchmarking risk neutral distributions implied from option prices (Q300172) (← links)
- The skewness risk premium in equilibrium and stock return predictability (Q300694) (← links)
- The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps (Q300988) (← links)
- Additive subordination and its applications in finance (Q309162) (← links)
- Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective (Q309573) (← links)
- A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models (Q313647) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
- Electricity futures price models: calibration and forecasting (Q319946) (← links)
- Boundary regularity for fully nonlinear integro-differential equations (Q320242) (← links)
- Multiple positive solutions for nonlinear critical fractional elliptic equations involving sign-changing weight functions (Q322089) (← links)
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
- An investigation of model risk in a market with jumps and stochastic volatility (Q323232) (← links)
- Comparison of numerical methods on pricing equations with non-Lévy jumps (Q330364) (← links)
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361) (← links)
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) (← links)
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773) (← links)
- Convergence of hitting times for jump-diffusion processes (Q340776) (← links)
- Pricing and hedging basket options with exact moment matching (Q343968) (← links)
- Integro-PDE in Hilbert spaces: existence of viscosity solutions (Q345036) (← links)
- On fractional tempered stable processes and their governing differential equations (Q349903) (← links)
- Capturing parameter risk with convex risk measures (Q362040) (← links)
- Nonparametric inference on Lévy measures and copulas (Q366990) (← links)
- Calibration and hedging under jump diffusion (Q375525) (← links)
- Jump tail dependence in Lévy copula models (Q385630) (← links)
- A geometric inequality and a symmetry result for elliptic systems involving the fractional Laplacian (Q389922) (← links)
- Least squares estimators for discretely observed stochastic processes driven by small Lévy noises (Q391568) (← links)
