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Models driven by Levy processes are attractive since they allow for better statistical fitting than classical diffusion models. The dynamics of the forward swap rate process is derived in a semimartingale setting and a Levy swap market model is ...
J. Liinev, E. Eberlein
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, 2001 A considerable body of recent work uses Levy processes to model and analyse financial time series. Section 2 provides a brief review of this work. The review is to a large extent based on two papers Barndorff-Nielsen and Shephard (2001a,b) where more detailed information may be found. See also Barndorff-Nielsen and Shephard (2001c,d,e).
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Stability of entropy solutions for Levy mixed hyperbolic-parabolic equations
Electronic Journal of Differential Equations, 2011 We analyze entropy solutions for a class of Levy mixed hyperbolic-parabolic equations containing a non-local (or fractional) diffusion operator originating from a pure jump Levy process.
Kenneth H. Karlsen, Suleyman Ulusoy
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Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process. [PDF]
J Inequal Appl, 2018 Shen G, Li Y, Gao Z.
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NRS-22238 | Guidelines [Emergency Services Levy Insurance Monitor]
<p>Under section 21 of the Emergency Services Levy Insurance Monitor Act 2016 the ESLIM issued guidelines to insurers about when conduct may be regarded as prohibited conduct.
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Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process. [PDF]
ScientificWorldJournal, 2015 Yin C, Yuen KC, Shen Y.
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Dependence Structure for Levy Processes and Its Application in Finance [PDF]
, 2008 In this paper, we introduce DSPMD, discretely sampled process with pre-specified marginals and pre-specified dependence, and SRLMD, series representation for Levy process with pre-specified marginals and pre-specified dependence.
chen, qiwen
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Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution
In this paper we investigate the dependence structure for Ornstein-Uhlenbeck processes with totally skewed tempered stable structure. They are natural extension of Ornstein-Uhlenbeck processes with stable (and Gaussian) distribution.
Wylomanska-, Agnieszka
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Entropic Compressibility of Levy Processes
In contrast to their seemingly simple and shared structure of independence and stationarity, Levy processes exhibit a wide variety of behaviors, from the self-similar Wiener process to piecewise-constant compound Poisson processes. Inspired by the recent
Fallah, Alireza +2 more
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Determining the background driving process of the Ornstein-Uhlenbeck model
Electronic Journal of Differential Equations, 2023 Maria C. Mariani +4 more
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