Carr, Peter; Geman, Helyette; Madan, Dilip; Yor, Marc - In: Quantitative Finance 4 (2004) 5, pp. 581-588
We define the class of local Levy processes. These are Levy processes time changed by an inhomogeneous local speed function. The local speed function is a deterministic function of time and the level of the process itself. We show how to reverse engineer the local speed function from traded...