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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
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Local stochastic volatility with jumps : analytical approximations
Pagliarani, Stefano; Pascucci, Andrea - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-35
Persistent link: https://www.econbiz.de/10010243616
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Lévy jump risk : evidence from options and returns
Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90
Persistent link: https://www.econbiz.de/10010375952
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Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87
Persistent link: https://www.econbiz.de/10010385027
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Finite time ruin probabilities for tempered stable insurance risk processes
Griffin, Philip S.; Maller, Ross A.; Roberts, Dale - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 478-489
Persistent link: https://www.econbiz.de/10010195908
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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Behavior of long-term yields in a Lévy term structure
Biagini, Francesca; Härtel, Maximilian - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10010364765
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Prediction in a non-homogeneous Poisson cluster model
Matsui, Muneya - In: Insurance / Mathematics & economics 55 (2014), pp. 10-17
Persistent link: https://www.econbiz.de/10010366215
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Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
Yamazaki, Akira - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10011523937
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Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De; Kabanov, Jurij M.; Lépinette, … - In: Finance and stochastics 20 (2016) 3, pp. 705-740
Persistent link: https://www.econbiz.de/10011531437