Results 41 to 50 of about 80,904 (151)
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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Stochastic monotonicity and duality for one-dimensional Markov processes [PDF]
, 2011 The theory of monotonicity and duality is developed for general one-dimensional Feller processes, extending the approach from [11]. Moreover it is shown that local monotonicity conditions (conditions on the Lévy kernel) are sufficient to prove the well-
Kolokoltsov, V. N. (Vasiliĭ Nikitich)
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Mixed Periodic-Classical Barrier Strategies for Lévy Risk Processes
Risks, 2018 Given a spectrally-negative Lévy process and independent Poisson observation times, we consider a periodic barrier strategy that pushes the process down to a certain level whenever the observed value is above it.
José-Luis Pérez, Kazutoshi Yamazaki
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Analysis of a Stochastic SICR Epidemic Model Associated with the Lévy Jump
Applied Sciences, 2022 We propose and study a Susceptible-Infected-Confined-Recovered (SICR) epidemic model. For the proposed model, the driving forces include (for example) the Brownian motion processes and the jump Lévy noise.
Hari M. Srivastava, Jaouad Danane
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Lévy-driven polling systems and continuous-state branching processes
Stochastic Systems, 2011 In this paper we consider a ring of N ≥ 1 queues served by a single server in a cyclic order. After having served a queue (according to a service discipline that may vary from queue to queue), there is a switch-over period and then the server serves the ...
Michel Mandjes +3 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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Risenologi, 2020 The implementation of Lévy path integral generated by Lévy stochastic process on fractional Schrödinger equation has been investigated in the framework of fractional quantum mechanics.
Chandra Halim, M. Farchani Rosyid
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Tourism levy collection for ‘Marketing South Africa’
Cogent Social SciencesGovernments around the world implement tourism taxes as a means of generating revenue to promote their respective destinations. South Africa introduced a voluntary tourism tax to raise additional funds for destination marketing. This paper focuses on the
Bernard Bonginkosi Ripinga +2 more
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L_1-distance for additive processes with time-homogeneous L\'evy measures [PDF]
, 2014 We give an explicit bound for the $L_1$-distance between two additive processes of local characteristics $(f_j(\cdot),\sigma^2(\cdot),\nu_j)$, $j = 1,2$. The cases $\sigma =0$ and $\sigma > 0$ are both treated.
Etore, Pierre, Mariucci, Ester
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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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