Found 89 Documents (Results 1–89)
Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims. (English) Zbl 1515.91139
Performance of advanced stock price models when it becomes exotic: an empirical study. (English) Zbl 1512.91145
Solving high-dimensional optimal stopping problems using optimization based model order reduction. (English) Zbl 1510.91169
Reviewer: Pavel Stoynov (Sofia)
Fat tails arise endogenously from supply/demand, with or without jump processes. (English) Zbl 1484.91312
Sequential hypothesis testing in machine learning, and crude oil price jump size detection. (English) Zbl 1466.91359
Pricing electricity forwards under future information on the stochastic mean-reversion level. (English) Zbl 1465.91115
Multiple curve Lévy forward price model allowing for negative interest rates. (English) Zbl 1508.91578
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. (English) Zbl 1437.91441
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. (English) Zbl 1430.91031
Reviewer: Emilia Di Lorenzo (Napoli)
Multivariate asset-pricing model based on subordinated stable processes. (English) Zbl 07883142
MSC:
62-XX
Asymptotics for a bidimensional risk model with two geometric Lévy price processes. (English) Zbl 1438.91119
Free boundary regularity in the parabolic fractional obstacle problem. (English) Zbl 1420.35428
Reviewer: Elisa Alòs (Barcelona)
Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility. (English) Zbl 1380.60010
A Lévy-driven asset price model with bankruptcy and liquidity risk. (English) Zbl 1383.62232
Ferger, Dietmar (ed.) et al., From statistics to mathematical finance. Festschrift in honour of Winfried Stute. Cham: Springer (ISBN 978-3-319-50985-3/hbk; 978-3-319-50986-0/ebook). 387-416 (2017).
Value function regularity in option pricing problems under a pure jump model. (English) Zbl 1406.91445
Essentials of stochastic processes. 3rd edition. (English) Zbl 1378.60001
Springer Texts in Statistics. Cham: Springer (ISBN 978-3-319-45613-3/hbk; 978-3-319-45614-0/ebook). ix, 275 p. (2016).
Reviewer: Yuliya S. Mishura (Kyïv)
The critical price of the American put near maturity in the jump diffusion model. (English) Zbl 1336.60130
Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes. (English) Zbl 1338.91077
MSC:
91B30
60G51
Generalized fractional Lévy processes with fractional Brownian motion limit. (English) Zbl 1333.60074
Applying the Wiener-Hopf Monte Carlo simulation technique for Lévy processes to path functionals. (English) Zbl 1319.65006
Reviewer: Abass Sagna (Evry)
Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes. (English) Zbl 1337.91087
Incompleteness of the bond market with Lévy noise under the physical measure. (English) Zbl 1318.91078
Palczewski, Andrzej (ed.) et al., Advances in mathematics of finance. Selected papers of the 6th general AMaMeF and Banach Center Conference, Warsaw, Poland, June 10–15, 2013. Warszawa: Polish Academy of Sciences, Institute of Mathematics (ISBN 978-83-86806-27-0). Banach Center Publications 104, 61-84 (2015).
Reviewer: Yuliya S. Mishura (Kyïv)
Extracting market information from equity options with exponential Lévy processes. (English) Zbl 1402.91774
Forward prices in markets driven by continuous-time autoregressive processes. (English) Zbl 1314.91204
Takahashi, Akihiko (ed.) et al., Recent advances in financial engineering 2012. Proceedings of the international workshop on finance, Tokyo, Japan, October 30–31, 2012. Hackensack, NJ: World Scientific (ISBN 978-981-4571-63-0/hbk; 978-981-4571-65-4/ebook). 1-24 (2014).
Asymptotic power utility-based pricing and hedging. (English) Zbl 1308.91142
Reviewer: Aleksandr D. Borisenko (Kyïv)
Modelling electricity futures by ambit fields. (English) Zbl 1304.91213
Reviewer: Johannes Muhle-Karbe (Zürich)
Representation of infinite-dimensional forward price models in commodity markets. (English) Zbl 1322.60100
Utility indifference pricing of products integrating reverse mortgage with long-term care insurance under a Lévy process financial market. (English) Zbl 1295.91055
A framework and an empirical study on the jump detection in the capital market. (Chinese. English summary) Zbl 1289.62127
Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions. (English) Zbl 1282.65023
Finance with Monte Carlo. (English) Zbl 1295.91003
Springer Undergraduate Texts in Mathematics and Technology. New York, NY: Springer (ISBN 978-1-4614-8510-0/hbk; 978-1-4614-8511-7/ebook). xix, 250 p. (2013).
Reviewer: Vassil Grozdanov (Blagoevgrad)
Lévy preservation and associated properties for \(f\)-divergence minimal equivalent martingale measures. (English) Zbl 1279.60044
Shiryaev, Albert N. (ed.) et al., Prokhorov and contemporary probability theory. In honor of Yuri V. Prokhorov on the occasion of his 80th birthday. Berlin: Springer (ISBN 978-3-642-33548-8/hbk; 978-3-642-33549-5/ebook). Springer Proceedings in Mathematics & Statistics 33, 163-196 (2013).
Reviewer: Ludger Rüschendorf (Freiburg i. Br.)
Utility maximisation and utility indifference price for exponential semi-martingale models with random factor. arXiv:1303.1134
Preprint, arXiv:1303.1134 [q-fin.PR] (2013).
Tangent Lévy market models. (English) Zbl 1259.91047
MSC:
91B24
\(hp\)-DGFEM for Kolmogorov-Fokker-Planck equations of multivariate Lévy processes. (English) Zbl 1252.65214
A Wiener-Hopf Monte Carlo simulation technique for Lévy processes. (English) Zbl 1245.65005
Reviewer: Vassil Grozdanov (Blagoevgrad)
Quantile clocks. (English) Zbl 1246.60027
Reviewer: Aleksander Iksanov (Kiev)
On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps. (English) Zbl 1211.91235
On sequential calibration for an asset price model with piecewise Lévy processes. (English) Zbl 1229.91311
Deducing the implications of jump models for the structure of stock market crashes, rallies, jump arrival rates, and extremes. (English) Zbl 1209.91172
Sensitivity analysis for averaged asset price dynamics with gamma processes. (English) Zbl 1186.60044
Sato processes and the valuation of structured products. (English) Zbl 1171.91327
Quant. Finance 9, No. 1, 27-42 (2009); corrections ibid. 9, No. 4, 491-494 (2009).
MSC:
91B24
Anticipative stochastic control for Lévy processes with application to insider trading. (English) Zbl 1180.91142
Bensoussan, Alain (ed.) et al., Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance. Amsterdam: Elsevier/North-Holland (ISBN 978-0-444-51879-8/hbk). Handbook of Numerical Analysis 15, 573-593 (2009).
On the error of the Monte Carlo pricing method. (English) Zbl 1164.91007
Reviewer: Aleksandr D. Borisenko (Kyïv)
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. (English) Zbl 1141.91438
The early years of the variance-gamma process. (English) Zbl 1161.60300
Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 3-19 (2007).
Reviewer: Antonis Papapantoleon (Wien)
Quadratic hedging for the Bates model. (English) Zbl 1140.91354
MSC:
91B24
Anisotropic stable Lévy copula processes – analytical and numerical aspects. (English) Zbl 1137.91446
The relative entropy in CGMY processes and its applications to finance. (English) Zbl 1143.60035
Reviewer: Klaus Schürger (Bonn)
What is the natural scale for a Lévy process in modelling term structure of interest rates? (English) Zbl 1283.91187
[GLP & MEMM] pricing models and related problems. (English) Zbl 1186.91198
Akahori, Jiro (ed.) et al., Stochastic processes and applications to mathematical finance. Proceedings of the 5th Ritsumeikan international symposium, Kyoto, Japan, March 3–6, 2005. Hackensack, NJ: World Scientific (ISBN 981-256-519-1/hbk). 125-156 (2006).
Symmetries in Lévy term structure models. (English) Zbl 1138.91435
MSC:
91B28
60G51
Comparison of semimartingales and Lévy processes with applications to financial mathematics. (English) Zbl 1116.60007
Freiburg i. Br.: Universität Freiburg, Fakultät für Mathematik und Physik. iii, 118 p. (2005).
Reviewer: Ludger Rüschendorf (Freiburg i. Br.)
Computational methods for option pricing. (English) Zbl 1078.91008
Frontiers in Applied Mathematics 30. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (ISBN 0-89871-573-3/pbk; 978-0-89871-749-5/ebook). xviii, 297 p. (2005).
Reviewer: Klaus Schürger (Bonn)
On stochastic integrals up to infinity and predictable criteria for integrability. (English) Zbl 1068.60075
Émery, Michel (ed.) et al., 38th seminar on probability. Dedicated Jacques Azéma on the occasion on his 65th birthday. Berlin: Springer (ISBN 3-540-23973-1/pbk). Lecture Notes in Mathematics 1857, 165-185 (2005).
Reviewer: Jacques Franchi (Strasbourg)
The normal inverse Gaussian distribution and spot price modelling in energy markets. (English) Zbl 1107.91309
MSC:
91B24
Generalized hyperbolic and inverse Gaussian distributions: limiting cases and approximation of processes. (English) Zbl 1057.60050
Dalang, Robert C. (ed.) et al., Seminar on stochastic analysis, random fields and applications IV, Centro Stefano Franscini, Ascona, Switzerland, May 20–24, 2002. Proceedings. Basel: Birkhäuser (ISBN 3-7643-7131-5/hbk). Progress in Probability 58, 221-264 (2004).
Reviewer: Elisaveta Pancheva (Sofia)
Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance. (English) Zbl 1053.60040
Reviewer: Henri Schurz (Carbondale)
Financial modelling with jump processes. (English) Zbl 1052.91043
Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: Chapman and Hall/CRC (ISBN 1-58488-413-4/hbk; 978-0-203-48521-7/ebook). xvi, 535 p. (2004).
Reviewer: Vasile Postolică (Piatra Neamt)
Stochastic volatility for Lévy processes. (English) Zbl 1092.91022
Reviewer: Klaus Schürger (Bonn)
The minimal entropy martingale measures for geometric Lévy processes. (English) Zbl 1035.60040
Reviewer: Yuliya Mishura (Kyïv)
Market forces and dynamic asset pricing. (English) Zbl 1039.91018
Reviewer: Miguel Ángel Mirás Calvo (Vigo)
The generalized hyperbolic model: Financial derivatives and risk measures. (English) Zbl 0996.91067
Geman, Helyette (ed.) et al., Mathematical finance - Bachelier congress 2000. Selected papers from the 1st world congress of the Bachelier Finance Society, Paris, France, June 29 - July 1, 2000. Berlin: Springer. Springer Finance. 245-267 (2002).
Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance. (English) Zbl 0991.60045
Reviewer: Gheorghe Stoica (Saint John)
Option pricing and hedging under regular Lévy processes of exponential type. (English) Zbl 1008.91043
Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 121-130 (2001).
On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options. (English) Zbl 0979.60073
Reviewer: Neculai Curteanu (Iaşi)
An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis. (English) Zbl 0994.91020
Reviewer: Oleksandr Kukush (Kiev)
The marginal distributions of returns and volatility. (English) Zbl 0937.62107
Dodge, Yadolah (ed.), \(L_1\)-statistical procedures and related topics. Papers of the 3rd international conference on \(L_1\) norm and related methods held in Neuchâtel, Switzerland, August 11-15, 1997. Hayward, CA: IMS, Institute of Mathematical Statistics. IMS Lect. Notes, Monogr. Ser. 31, 301-314 (1997).
Realistic modelling of financial derivatives. (English) Zbl 0888.90018
Freiburg im Breisgau: Univ. Freiburg im Breisgau, Mathematische Fakultät, 165 p. (1997).
Reviewer: Youri M. Kabanov (Besançon)
MSC:
91B28
91B24
On forecasting discontinuous non-normal stochastic processes. (English) Zbl 0455.62076
Time series, Proc. int. Conf., Nottingham Univ. 1979, 277-285 (1980).
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