Search Results - subject:"Levy Processes"

Consumption processes and positively homogeneous projection properties

Fischer, Tom - In: Finance and stochastics 12 (2008) 3, pp. 357-380

Persistent link: https://www.econbiz.de/10003899197

American and European options in multi-factor jump-diffusion models, near expiry

Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560

Persistent link: https://www.econbiz.de/10003899270

Dependence properties and comparison results for Lévy processes

Bäuerle, Nicole; Blatter, Anja; Müller, Alfred - In: Computational Statistics 67 (2008) 1, pp. 161-186

In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In … supermodular dependence of Lévy processes can be characterized in terms of the Lévy measure as well as in terms of the Lévy copula …. As far as comparisons of Lévy processes are concerned we consider the supermodular and the concordance order and …

Persistent link: https://www.econbiz.de/10010847741

Dependence properties and comparison results for Lévy processes

Bäuerle, Nicole; Blatter, Anja; Müller, Alfred - In: Mathematical Methods of Operations Research 67 (2008) 1, pp. 161-186

Persistent link: https://www.econbiz.de/10010999766

A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS

SEMERARO, PATRIZIA - In: International Journal of Theoretical and Applied … 11 (2008) 01, pp. 1-18

In this paper we subordinate a multivariate Brownian motion with independent components by a multivariate gamma subordinator. The resulting process is a generalization of the bivariate variance gamma process proposed by Madan and Seneta [7], mentioned in Cont and Tankov [4] and calibrated in...

Persistent link: https://www.econbiz.de/10005080477

Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan; Fabozzi, … - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1572-1572

Analyzing comovements in equity markets is important for risk diversification in portfolio management. Copulas have several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH model for analyzing the comovement of indexes in...

Persistent link: https://www.econbiz.de/10005046500

Single name credit default swaptions meet single sided jump models

Jönsson, Henrik; Schoutens, Wim - In: Review of Derivatives Research 11 (2008) 1, pp. 153-169

Persistent link: https://www.econbiz.de/10005542786

Selfdecomposability and selfsimilarity: A concise primer

Cufaro Petroni, Nicola - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 8, pp. 1875-1894

We summarize the relations among three classes of laws: infinitely divisible, selfdecomposable and stable. First we look at them as the solutions of the Central Limit Problem; then their role is scrutinized in relation to the Lévy and the additive processes with an emphasis on stationarity and...

Persistent link: https://www.econbiz.de/10010590629

Median, concentration and fluctuations for Lévy processes

Houdré, Christian; Marchal, Philippe - In: Stochastic Processes and their Applications 118 (2008) 5, pp. 852-863

We estimate a median of f(Xt) where f is a Lipschitz function, X is a Lévy process and t is an arbitrary time. This leads to concentration inequalities for f(Xt). In turn, corresponding fluctuation estimates are obtained under assumptions typically satisfied if the process has a regular...

Persistent link: https://www.econbiz.de/10008875409

Consumption processes and positively homogeneous projection properties

Fischer, Tom - In: Finance and Stochastics 12 (2008) 3, pp. 357-380

Persistent link: https://www.econbiz.de/10005390642