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Identifying trend nature in time series using autocorrelation functions and stationarity tests

Boutahar, Mohamed; Royer-Carenzi, M. - In: International journal of computational economics and … 14 (2024) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10015062771

Weather derivatives with applications to Canadian data

Sviščuk, Anatolij; Cui, Kaijie - In: Journal of mathematical finance 3 (2013) 1, pp. 81-95

Persistent link: https://www.econbiz.de/10010240221

Testing for strict stationarity in a random coefficient autoregressive model

Trapani, Lorenzo - In: Econometric reviews 40 (2021) 3, pp. 220-256

Persistent link: https://www.econbiz.de/10012515596

Modeling mortality and pricing life annuities with Lévy processes

Ahmadi, Seyed Saeed; Gaillardetz, Patrice - In: Insurance / Mathematics & economics 64 (2015), pp. 337-350

Persistent link: https://www.econbiz.de/10011398092

Option pricing in the variance-gamma model under the drift jump

Ivanov, Roman V. - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10011892547

Locally risk-neutral valuation of options in GARCH models based on variance-gamma process

Kao, Lie Jane - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10009624510

An approach to arrive at stationarity in time series data

Basariya, M. I. Nafeesathul; Murugesan, Punniyamoorthy - In: International journal of applied management science : IJAMS 14 (2022) 3, pp. 221-245

Persistent link: https://www.econbiz.de/10014231197

Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform

Hao, Xuemiao; Li, Xuan - In: Insurance / Mathematics & economics 65 (2015), pp. 103-110

Persistent link: https://www.econbiz.de/10011422882

Mixed hitting-time models

Abbring, Jaap H. - 2009

We study a mixed hitting-time (MHT) model that specifies durations as the first time a Lévy process - a continuous-time process with stationary and independent increments - crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from...

Persistent link: https://www.econbiz.de/10011372965

An explicit option-based strategy that outperforms dollar cost averaging

Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10009624518

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