Search Results - subject:"Levy Processes"

Linking dividends and capital injections : a probabilistic approach

Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Scandinavian actuarial journal (2018) 1, pp. 76-83

Persistent link: https://www.econbiz.de/10011880818

Pricing multivariate barrier reverse convertibles with factor-based subordinators

Marena, Marina; Romeo, Andrea; Semeraro, Patrizia - In: The journal of computational finance 21 (2017/2018) 5, pp. 97-129

Persistent link: https://www.econbiz.de/10011860940

Multivariate option pricing models with Lévy and Sato VG marginal processes

Guillaume, Florence - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10011854500

Skewed Lévy models and implied volatility skew

Olivera, Federico de; Barbachan, José Santiago Fajardo; … - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011854458

Modelling credit risk in the jump threshold framework

Chiu, Chun-Yuan; Kercheval, Alec - In: Applied mathematical finance 25 (2018) 5/6, pp. 411-433

Persistent link: https://www.econbiz.de/10012129172

Hybrid Lévy models : design and computational aspects

Eberlein, Ernst; Rudmann, Marcus - In: Applied mathematical finance 25 (2018) 5/6, pp. 533-556

Persistent link: https://www.econbiz.de/10012129180

Two-armed restless bandits with imperfect information : stochastic control and indexability

Fryer, Roland G. <Jr.>; Harms, Philipp - In: Mathematics of operations research 43 (2018) 2, pp. 399-427

Persistent link: https://www.econbiz.de/10011868611

On optimal periodic dividend strategies for Lévy risk processes

Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; … - In: Insurance / Mathematics & economics 80 (2018), pp. 29-44

Persistent link: https://www.econbiz.de/10011872906

Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus

Framstad, Nils Chr. - 2013

While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the Gaussian distribution, the usual textbook exposition relies on dynamic programming and thus Itô stochastic calculus and the appropriate regularity conditions. This...

Persistent link: https://www.econbiz.de/10010330268

Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus

Framstad, Nils Chr. - 2013 - This version August 16, 2013

Persistent link: https://www.econbiz.de/10009787073