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Modeling Financial Markets Using Combined Ornstein-uhlenbeck Process with Levy Noise [PDF]
تحقیقات مالی, 2021 Objective: The main purpose of this paper is to investigate a developed stochastic algorithm for modeling financial markets using the Ornstein-uhlenbeck process combined with Levy noise. Using the closing prices of stock markets, it can be concluded that
Mina Mohammadi, Parisa Nabati
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Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid [PDF]
Electronic Journal of Probability, 2019 For a Levy process $X$ on a finite time interval consider the probability that it exceeds some fixed threshold $x>0$ while staying below $x$ at the points of a regular grid. We establish exact asymptotic behavior of this probability as the number of grid
Krzysztof Bisewski, J. Ivanovs
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Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process [PDF]
Stochastic Processes and their Applications, 2016 We address estimation of parametric coefficients of a pure-jump Levy driven univariate stochastic differential equation (SDE) model, which is observed at high frequency over a fixed time period.
Hiroki Masuda
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Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view [PDF]
Advances in Applied Probability, 2014 We study the distribution Ex[exp(-q∫0t1(a,b)(Xs)ds); Xt ∈ dy], where -∞ ≤ a < b < ∞, and where q, t > 0 and x ∈ R for a spectrally negative Lévy process X.
H'elene Gu'erin, J. Renaud
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Mathematics, 2021 This paper introduces a fuel-switching price to the Alberta market, which is designed for encouraging power plant companies to switch from coal to natural gas when they produce electricity; this has been successfully applied to the European market ...
Weiliang Lu +3 more
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ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS [PDF]
ASTIN Bulletin: The Journal of the International Actuarial Association, 2013 In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Lévy process before dividends are deducted.
C. Yin, Yuzhen Wen, Yongxia Zhao
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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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Extension of Short Rate Model Under a Lévy Process
Fountain Journal of Natural and Applied Sciences (FUJNAS), 2023 A lot of abnormalities occur in real-life scenarios, thus leading to some difficulties in modelling such scenarios without a deeper understanding of certain aspects of Lévy processes.
Dr A. M. Udoye
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PERSAMAAN DIFERENSIAL ORNSTEIN-UHLENBECK DALAM PERAMALAN HARGA SAHAM
Media Statistika, 2020 Geometric Brownian motion is one of the most widely used stock price model. One of the assumptions that is filled with stock return volatility is constant. Gamma Ornstein-Uhlenbeck process a model to describe volatility in finance.
Amam Taufiq Hidayat, Subanar Subanar
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Logarithmic Lévy process directed by Poisson subordinator
Modern Stochastics: Theory and Applications, 2019 Let $\{L(t),t\ge 0\}$ be a Lévy process with representative random variable $L(1)$ defined by the infinitely divisible logarithmic series distribution. We study here the transition probability and Lévy measure of this process.
Penka Mayster, Assen Tchorbadjieff
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