UB Paderborn / Katalog / Suche / in CDI

Introductory Lectures on Fluctuations of Lévy Processes with Applications

Kyprianou, Andreas E

1, 2006

Volltextzugriff (PDF)

Pricing discretely monitored Asian options under Lévy processes

Journal of banking & finance, 2008-10, Vol.32 (10), p.2076-2088

2008

Volltextzugriff (PDF)

Levy Processes in Credit Risk

1. Aufl., 2009

Volltextzugriff (PDF)

Nonparametric estimation for a class of Lévy processes

Journal of econometrics, 2010-08, Vol.157 (2), p.257-271

2010

Volltextzugriff (PDF)

A note on scale functions and the time value of ruin for Lévy insurance risk processes

Insurance, mathematics & economics, 2010-02, Vol.46 (1), p.85-91

2010

Volltextzugriff (PDF)

Lévy Matters IV: Estimation for Discretely Observed Lévy Processes

2015, 2015

Volltextzugriff (PDF)

Financial models with Lévy processes and volatility clustering

1, 2011

Volltextzugriff (PDF)

Multivariate models for operational risk

Quantitative finance, 2010-10, Vol.10 (8), p.855-869

2010

Volltextzugriff (PDF)

Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market

Insurance, mathematics & economics, 2010-06, Vol.46 (3), p.479-484

Perera, Ryle S.

2010

Volltextzugriff (PDF)

Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

Insurance, mathematics & economics, 2010-04, Vol.46 (2), p.362-370

2010

Volltextzugriff (PDF)

Econometric analysis of jump-driven stochastic volatility models

Journal of econometrics, 2011, Vol.160 (1), p.12-21

Todorov, Viktor

2011

Volltextzugriff (PDF)

Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

Quantitative finance, 2006-04, Vol.6 (2), p.125-145

2006

Volltextzugriff (PDF)

Generalized spectral testing for multivariate continuous-time models

Journal of econometrics, 2011-10, Vol.164 (2), p.268-293

2011

Volltextzugriff (PDF)

An FFT-network for Lévy option pricing

Journal of banking & finance, 2011-04, Vol.35 (4), p.988-999

2011

Volltextzugriff (PDF)

Nonparametric inference of discretely sampled stable Lévy processes

Journal of econometrics, 2009-11, Vol.153 (1), p.83-92

2009

Volltextzugriff (PDF)

Optimal loss-carry-forward taxation for the Lévy risk model

Insurance, mathematics & economics, 2012, Vol.50 (1), p.121-130

2012

Volltextzugriff (PDF)

The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure

Insurance, mathematics & economics, 2009-10, Vol.45 (2), p.242-246

Renaud, Jean-François

2009

Volltextzugriff (PDF)

CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES

Mathematical finance, 2013-01, Vol.23 (1), p.1-38

2013

Volltextzugriff (PDF)

U.S. stock market crash risk, 1926–2010

Journal of financial economics, 2012-08, Vol.105 (2), p.229-259

Bates, David S

2012

Volltextzugriff (PDF)

Advances in Mathematical Finance

1. Aufl., 2007

Volltextzugriff (PDF)

Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models

Journal of economic dynamics & control, 2013-07, Vol.37 (7), p.1284-1299

2013

Volltextzugriff (PDF)

Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes

Applied economics, 2019-06, Vol.51 (29), p.3153-3169

2019

Volltextzugriff (PDF)

A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing

Quantitative finance, 2010-01, Vol.10 (1), p.75-90

Eriksson, Anders

2010

Volltextzugriff (PDF)

Symmetry and duality in Lévy markets

Quantitative finance, 2006-06, Vol.6 (3), p.219-227

2006

Volltextzugriff (PDF)

Multiple curve Lévy forward price model allowing for negative interest rates

Mathematical finance, 2020-01, Vol.30 (1), p.167-195

2020

Volltextzugriff (PDF)

Menü

Weitere Dienste

Einstellungen

Introductory Lectures on Fluctuations of Lévy Processes with Applications

Pricing discretely monitored Asian options under Lévy processes

Levy Processes in Credit Risk

Nonparametric estimation for a class of Lévy processes

A note on scale functions and the time value of ruin for Lévy insurance risk processes

Lévy Matters IV: Estimation for Discretely Observed Lévy Processes

Financial models with Lévy processes and volatility clustering

Multivariate models for operational risk

Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market

Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

Econometric analysis of jump-driven stochastic volatility models

Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

Generalized spectral testing for multivariate continuous-time models

An FFT-network for Lévy option pricing

Nonparametric inference of discretely sampled stable Lévy processes

Optimal loss-carry-forward taxation for the Lévy risk model

The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure

CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES

U.S. stock market crash risk, 1926–2010

Advances in Mathematical Finance

Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models

Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes

A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing

Symmetry and duality in Lévy markets

Multiple curve Lévy forward price model allowing for negative interest rates

Aktive Filter

Suchergebnisse filtern