Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price. But, for Levy processes the S-space transition densities are often very...

This article analyzes the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on (i) the structure of the jump component in the underlying return process, (ii) the source of stochastic volatility, and (iii) the specification of...

We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be calculated using this model. We use ultra-high-frequency data for blue-chip companies to motivate a particular choice of...

ENGLISH ABSTRACT: Life insurance and pension funds offer a wide range of products that are invested in a mix ofassets. These portfolios (II), underlying the products, are rebalanced back to predetermined fixedproportions on a regular basis. This is done by selling the better performing assets...

Thesis (MSc (Mathematical Sciences))--Stellenbosch University, 2011

Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011.

Purpose – The purpose of this research is to establish that data on chemicals detected in the environment are urgently needed to comply with the future environment and chemicals policy in the European Union. The availability of data on chemicals can be evaluated by environmetrical and...

ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. Inthe first part, we deal with single asset options and model the log stock prices with a Levyprocess. We employ pure jump Levy processes of infinite activity, in particular variancegamma...

Recent nancial crises have highlighted the sensitivity and vulnerability of nancial marketsto ination, which reduces the value of money and a ects the net returns of nancial instruments.In response to this, investors who are concerned with maintaining their investment'spurchasing power rather...