On Kolmogorov equations for anisotropic multivariate Lévy processes
Year of publication: |
2010
|
---|---|
Authors: | Reich, N. ; Schwab, C. ; Winter, C. |
Published in: |
Finance and Stochastics. - Springer. - Vol. 14.2010, 4, p. 527-567
|
Publisher: |
Springer |
Subject: | Lévy copulas | Lévy processes | Integro-differential equations | Pseudo-differential operators | Dirichlet forms | Option pricing |
-
Dependent jump processes with coupled Lévy measures
El-Bachir, Naoufel, (2008)
-
Information flow dependence in financial markets
Michaelsen, Markus, (2020)
-
Functional analytic (ir-)regularity properties of SABR-type processes
Döring, Leif, (2017)
- More ...
-
Numerical methods for Lévy processes
Hilber, N., (2009)
-
Numerical methods for Lévy processes
Hilber, N., (2009)
-
On Kolmogorov equations for anisotropic multivariate Lévy processes
Reich, N., (2010)
- More ...