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Notes on discrete compound Poisson model with applications to risk theory
Zhang Huiming; Liu, Yunxiao; Li, Bo - In: Insurance / Mathematics & economics 59 (2014), pp. 325-336
Persistent link: https://www.econbiz.de/10010469967
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Generating tempered stable random variates from mixture representation
Jelonek, Piotr - 2012
Persistent link: https://www.econbiz.de/10009620536
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Intra-horizon expected shortfall and risk structure in models with jumps
Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola - 2019
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on...
Persistent link: https://www.econbiz.de/10012179511
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Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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Option pricing for symmetric Lévy returns with applications
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52
Persistent link: https://www.econbiz.de/10010511553
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Conditional law of the hitting time for a Lévy process in incomplete observation
Ngom, Waly - In: Journal of mathematical finance 5 (2015) 5, pp. 505-524
Persistent link: https://www.econbiz.de/10011440708
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Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
Grabchak, Michael - In: Annals of finance 10 (2014) 4, pp. 553-568
Persistent link: https://www.econbiz.de/10010463508
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Information flow dependence in financial markets
Michaelsen, Markus - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-34
Persistent link: https://www.econbiz.de/10012496727
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A flexible generalized hyperbolic option pricing model and its special cases
Yeap, Claudia; Kwok, Simon Sai Man; Choy, S. T. Boris - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 425-460
Persistent link: https://www.econbiz.de/10011987791