Results 41 to 50 of about 115,543 (153)
Lévy laplacians and annihilation process
Учёные записки Казанского университета: Серия Физико-математические науки, 2018 The Lévy Laplacians are infinite-dimensional Laplace operators defined as the Cesaro mean of the second-order directional derivatives. In the theory of Sobolev–Schwarz distributions over a Gaussian measure on an infinite-dimensional space (the Hida ...
B.O. Volkov
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Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance. [PDF]
We show how to calculate European-style option prices when the log-stock price process follows a Lévy-Stable process with index parameter 1≤α≤2 and skewness parameter -1≤β≤1.
Cartea, Álvaro, Howison, Sam
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Special greeks of a variance-gamma driven vasicek model
Scientific African, 2023 Abrupt happenings in financial markets have resulted to the need to adopt Lévy processes such as a variance gamma process in modelling financial derivatives since it has the ability to capture jumps that occur in such scenario.
Adaobi M. Udoye, Lukman S. Akinola
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Estimation of the characteristics of a Lévy process observed at arbitrary frequency [PDF]
A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta.
Johanna Kappus, Markus Reiß
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Hypothetical Control of Heart Rate Variability
Frontiers in Physiology, 2019 In the last three decades, the analysis of heart rate variability by nonlinear methods demonstrated the complexity of cardiovascular regulation. Additionally to the observations of periodic heart rate regulation by the autonomic nervous system, the long ...
Bruce J. West, Malgorzata Turalska
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Minimizing Banking Risk in a Lévy Process Setting
Journal of Applied Mathematics, 2007 The primary functions of a bank are to obtain funds through deposits from external sources and to use the said funds to issue loans. Moreover, risk management practices related to the withdrawal of these bank deposits have always been of considerable ...
F. Gideon +2 more
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Property Claim Services by Compound Poisson Process And Inhomogeneous Levy Process
Science Journal of University of Zakho, 2018 In this paper, stochastic compound Poisson process is employed to value the catastrophic insurance options and model the claim arrival process for catastrophic events, which were written in the loss period , during which the catastrophe took place. Here,
Muhammed A.S. Murad
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Two coupled Lévy queues with independent input
Stochastic Systems, 2014 We consider a pair of coupled queues driven by independent spectrally-positive Lévy processes. With respect to the bi-variate workload process this framework includes both the coupled processor model and the two-server fluid network with independent ...
Jevgenijs Ivanovs, Onno Boxma
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Low-frequency estimation of continuous-time moving average Lévy processes [PDF]
, 2016 In this paper we study the problem of statistical inference for a continuoustime moving average Lévy process of the form Zt=∫ℝκ(t-s)dLs, t∈ℝ with a deterministic kernel κ and a Lévy process L. Especially the estimation of the Lévy measure v of L from
Belomestny, Denis +2 more
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Small-Time Asymptotics of Option Prices and First Absolute Moments [PDF]
, 2011 We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process $S$ follows a general martingale. This is equivalent to studying the first centered absolute moment of $S$.
Abramowitz +6 more
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