[كتاب][B] Queues and Lévy fluctuation theory
After having worked in the domain of Gaussian queues for about a decade, we got the idea
to look at similar problems, but now in the context of Lévy-driven queues. That step felt as …
to look at similar problems, but now in the context of Lévy-driven queues. That step felt as …
Pricing discretely monitored Asian options under Lévy processes
We present methodologies to price discretely monitored Asian options when the underlying
evolves according to a generic Lévy process. For geometric Asian options we provide …
evolves according to a generic Lévy process. For geometric Asian options we provide …
[PDF][PDF] Representing the CGMY and Meixner Lévy processes as time changed Brownian motions
We describe the Carr–Geman–Madan–Yor (CGMY) and Meixner processes as time
changed Brownian motions. The CGMY uses a time change that is absolutely continuous …
changed Brownian motions. The CGMY uses a time change that is absolutely continuous …
Fast and accurate pricing of barrier options under Lévy processes
We suggest two new fast and accurate methods, the fast Wiener–Hopf (FWH) method and
the iterative Wiener–Hopf (IWH) method, for pricing barrier options for a wide class of Lévy …
the iterative Wiener–Hopf (IWH) method, for pricing barrier options for a wide class of Lévy …
Tempered stable and tempered infinitely divisible GARCH models
In this paper, we introduce a new GARCH model with an infinitely divisible distributed
innovation. This model, which we refer to as the rapidly decreasing tempered stable (RDTS) …
innovation. This model, which we refer to as the rapidly decreasing tempered stable (RDTS) …
[كتاب][B] Advances in heavy tailed risk modeling: A handbook of operational risk
GW Peters, PV Shevchenko - 2015 - books.google.com
ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories,
applications, and statistical methodologies essential to heavy tailed risk modeling Focusing …
applications, and statistical methodologies essential to heavy tailed risk modeling Focusing …
On the jump activity index for semimartingales
Empirical evidence of asset price discontinuities or “jumps” in financial markets has been
well documented in the literature. Recently, Aït-Sahalia and Jacod (2009b) defined a …
well documented in the literature. Recently, Aït-Sahalia and Jacod (2009b) defined a …
[HTML][HTML] Jump-adapted discretization schemes for Lévy-driven SDEs
We present new algorithms for weak approximation of stochastic differential equations
driven by pure jump Lévy processes. The method uses adaptive non-uniform discretization …
driven by pure jump Lévy processes. The method uses adaptive non-uniform discretization …
Models for heavy-tailed asset returns
Many of the concepts in theoretical and empirical finance developed over the past decades–
including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the …
including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the …
Stable mixture GARCH models
A new model class for univariate asset returns is proposed which involves the use of
mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate …
mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate …