Results 91 to 100 of about 18,041,869 (292)
Lévy copulae for financial returns
Dependence Modeling, 2016 The paper uses Lévy processes and bivariate Lévy copulae in order to model the behavior of intraday log-returns. Based on assumptions about the form of marginal tail integrals and a Clayton Lévy copula, the model allows for capturing intraday cross ...
Okhrin Ostap
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Expansion of Lévy Process Functionals and Its Application in Statistical Estimation [PDF]
In this paper, expansions of functionals of Lévy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Lévy processes are considered. Several
Chaohua Dong, Jiti Gao
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Methods of simulation mathematical modeling of the Russian derivatives market in modern times
Advanced Engineering Research, 2019 Introduction. The paper is devoted to simulation modeling. Basic methods of the simulation mathematical modeling in the derivatives market are described.
T. A. Karpinskaya, O. E. Kudryavtsev
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Continuous-time random walks and Lévy walks with stochastic resetting
Physical Review Research, 2020 Intermittent stochastic processes appear in a wide field, such as chemistry, biology, ecology, and computer science. This paper builds up the theory of intermittent continuous-time random walk (CTRW) and Lévy walk, in which the particles are ...
Tian Zhou, Pengbo Xu, Weihua Deng
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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 +3 more
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Cliquet option pricing in a jump-diffusion L\'{e}vy model [PDF]
, 2018 We investigate the pricing of cliquet options in a jump-diffusion model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a drifted L\'{e}vy process entailing a Brownian diffusion component as well as ...
Hess, Markus
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On the reducibility of affine models with dependent Lévy factors
Modern Stochastics: Theory and ApplicationsThe 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
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Fractional diffusion models of option prices in markets with jumps. [PDF]
Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Lévy process. This is done to incorporate rare or extreme events not captured by Gaussian models.
Cartea, Álvaro +1 more
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First passage and first hitting times of Lévy flights and Lévy walks
New Journal of Physics, 2019 For both Lévy flight and Lévy walk search processes we analyse the full distribution of first-passage and first-hitting (or first-arrival) times. These are, respectively, the times when the particle moves across a point at some given distance from its ...
Vladimir V Palyulin +6 more
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Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint
Risks, 2019 We consider the optimal bail-out dividend problem with fixed transaction cost for a Lévy risk model with a constraint on the expected present value of injected capital.
Mauricio Junca +2 more
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