Results 71 to 80 of about 80,904 (151)
Markovian short rates in a forward rate model with a general class of Lévy processes [PDF]
, 2003 Short rates of interest are considered within in the term structure model of Eberlein-Raible [6] driven by a Lévy process. It is shown that they are Markovian if and only if the volatility function factorizes.
Küchler, Uwe, Naumann, Eva
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Advances in Difference Equations, 2018 In the present paper, we employ a wavelets optimization method is employed for the elucidations of fractional partial differential equations of pricing European option accompanied by a Lévy model. We apply the Legendre wavelets optimization method (LWOM)
Asmat Ara +4 more
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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Dependent jump processes with coupled Lévy measures [PDF]
I present a simple method for the modeling and simulation of dependent positive jump processes through a series representation. Each constituent process is represented by a series whose terms are equal to a transformation of the jump times of a standard ...
Naoufel El-Bachir
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Bitcoin Volatility and Intrinsic Time Using Double-Subordinated Lévy Processes
RisksWe propose a doubly subordinated Lévy process, the normal double inverse Gaussian (NDIG), to model the time series properties of the cryptocurrency bitcoin. By using two subordinated processes, NDIG captures both the skew and fat-tailed properties of, as
Abootaleb Shirvani +3 more
doaj +1 more source
Fluid limit of the continuous-time random walk with general Lévy jump distribution functions. [PDF]
The continuous time random walk (CTRW) is a natural generalization of the Brownian random walk that allows the incorporation of waiting time distributions ψ(t) and general jump distribution functions η(x).
Cartea, Álvaro +1 more
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Pricing Derivatives on Two Lé}vy-driven Stocks [PDF]
The aim of this work is to study the pricing problem for 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 the pricing of a
Ernesto Mordecki, José Fajardo
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Nonparametric priors for vectors of survival functions [PDF]
The paper proposes a new nonparametric prior for two-dimensional vectors of survival functions (S1,S2). The definition we introduce is based on the notion of Lévy copula and it will be used to model, in a nonparametric Bayesian framework, two-sample ...
Antonio Lijoi, Ilenia Epifani
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A unifying approach to fractional Lévy processes [PDF]
, 2010 Starting from the moving average representation of fractional Brownian motion fractional Lévy processes have been constructed by keeping the same moving average kernel and replacing the Brownian motion by a pure jump Lévy process with finite second ...
Engelke, Sebastian +1 more
core +1 more source
Inference of Evolutionary Jumps in Large Phylogenies using Lévy Processes. [PDF]
Syst Biol, 2017 Duchen P +6 more
europepmc +1 more source