Results 71 to 80 of about 74,210 (205)

General Rough integration, Levy Rough paths and a Levy-Kintchine type formula [PDF]

, 2012
We consider rough paths with jumps. In particular, the analogue of Lyons' extension theorem and rough integration are established in a jump setting, offering a pathwise view on stochastic integration against cadlag processes.
Friz, Peter K., Shekhar, Atul
core   +1 more source

Convex hulls of Lévy processes

Electronic Communications in Probability, 2016
11 ...
Molchanov, Ilya, Wespi, Florian
openaire   +2 more sources

Profits: The Views of Jerome Levy and Michal Kalecki

, 2000
Profits are the incentive for production and therefore employment in almost all of the world's economies; they also may represent exploitation of workers and consumers.
Levy, S. Jay
core  

Monte-Carlo simulation results in estimating a pure-jump Cox-Ingersoll-Ross process [PDF]

ESAIM: Proceedings and Surveys
We consider a pure-jump stable Cox-Ingersoll-Ross (α-stable CIR) process driven by a non-symmetric stable Lévy process with jump activity α ∈ (1,2), for which estimators of the drift, scaling and jump activity parameters from high-frequency observations ...
Bayraktar Elise
doaj   +1 more source

Structural credit risk model driven by Lévy process under knight uncertainty. [PDF]

Ann Oper Res, 2023
Tang Z, Zhong B, Zhou L, Shen C.
europepmc   +1 more source

Meromorphic Lévy processes and their fluctuation identities

The Annals of Applied Probability, 2012
12 ...
Kuznetsov, A., Kyprianou, A. E., Pardo, J. C.   +2 more
openaire   +4 more sources

A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes [PDF]

Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price.
Alan L. Lewis
core  

Option pricing with Levy Process [PDF]

In this paper, we assume that log returns can be modelled by a Levy process. We give explicit formulae for option prices by means of the Fourier transform. We explain how to infer the characteristics of the Levy process from option prices.
Eric Benhamou
core  

Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode

Journal of Applied Mathematics, 2013
This paper deals with financial modeling to describe the behavior of asset returns, through consideration of economic cycles together with the stylized empirical features of asset returns such as fat tails.
Arthit Intarasit
doaj   +1 more source

Intrinsic Ultracontractivity for Levy processes

, 2006
We prove the intrinsic ultracontractivity for the semigroup generated by a large class of symmetric Levy processes such that the Levy measure satisfies some conditions in the neighborhood of 0, killed on exiting a bounded and connected Lipschitz domain.
openaire   +2 more sources