Results 61 to 70 of about 115,543 (153)

Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach

Risks, 2013
This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a
Claude Lefèvre, Philippe Picard
doaj   +1 more source

From Local Volatility to Local Levy Models. [PDF]

We define the class of local Lévy processes. These are Lévy processes time changed by an inhomogeneous local speed function. The local speed function is a deterministic function of time and the level of the process itself. We show how to reverse engineer
Carr, Peter, Geman, Hélyette, Madan, Dilip B., Yor, Marc   +3 more
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On the reducibility of affine models with dependent Lévy factors

Modern Stochastics: Theory and Applications
The paper is devoted to the study of the short rate equation of the form \[ \text{d}R(t)=F(R(t))\text{d}t+{\sum \limits_{i=1}^{d}}{G_{i}}(R(t-))\text{d}{Z_{i}}(t),\hspace{1em}R(0)={R_{0}}\ge 0,\hspace{3.33333pt}t\gt 0,\] with deterministic functions
Michał Barski, Rafał Łochowski
doaj   +1 more source

A Proposal of Portfolio Choice for Infinitely Divisible Distributions of Assets Returns [PDF]

In the paper we present a proposal of augmenting portfolio analysis for the infinitely divisible distributions of returns - so that the prices of assets can follow Lévy processes.
Kliber, Pawel
core   +1 more source

Duality and Derivative Pricing with Lévy Processes [PDF]

The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to
Ernesto Mordecki, José Fajardo
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Lévy Process-Driven Asymmetric Heteroscedastic Option Pricing Model and Empirical Analysis

Discrete Dynamics in Nature and Society, 2018
This paper describes the peak, fat tail, and skewness characteristics of asset price via a Lévy process. It applies asymmetric GARCH model to depict asset price’s random volatility characteristics and builds a GARCH-Lévy option pricing model with random ...
Gaoxun Zhang, Yi Zheng, Honglei Zhang, Xinchen Xie   +3 more
doaj   +1 more source

Skewness Premium with Lévy Processes [PDF]

We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. We obtain sufficient and necessary conditions for Bate's x% rule to hold.
Ernesto Mordecki, José Fajardo
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Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes [PDF]

For a Lévy process X having finite variation on compact sets and finite first moments, µ( dx) = xv( dx) is a finite signed measure which completely describes the jump dynamics.
Johanna Kappus
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Efektivitas Pemungutan Retribusi Tempat Rekreasi Taman Margasatwa Ragunan Terhadap Pendapatan Retribusi Daerah Provinsi DKI Jakarta Tahun 2022

JAKP (Jurnal Administrasi dan Kebijakan Publik)
This study aims to analyze the effectiveness of levy collection at Ragunan Wildlife Park in 2022 and its contribution to the Regional Revenue (PAD) of DKI Jakarta Province.
Miftah Farid Khoerudin, Inayati Inayati
doaj   +1 more source

A Donsker Theorem for Lévy Measures [PDF]

Given n equidistant realisations of a Lévy process (Lt; t >= 0), a natural estimator for the distribution function N of the Lévy measure is constructed. Under a polynomial decay restriction on the characteristic function, a Donsker-type theorem is proved,
Markus Reiß, Richard Nickl
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