The following pages link to (Q4486401):
Displaying 39 items.
- A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (Q2953304) (← links)
- PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749) (← links)
- Rational term structure models with geometric Lévy martingales (Q3145086) (← links)
- Diffusion approximation of Lévy processes with a view towards finance (Q3168628) (← links)
- Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use (Q3395499) (← links)
- Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case (Q3435398) (← links)
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (Q3521283) (← links)
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
- Inference in Lévy-type stochastic volatility models (Q3590750) (← links)
- (Q3633075) (← links)
- A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets (Q3652700) (← links)
- (Q4355847) (← links)
- The Defaultable Lévy Term Structure: Ratings and Restructuring (Q4409031) (← links)
- (Q4544440) (← links)
- Calibration to American options: numerical investigation of the de-Americanization method (Q4554482) (← links)
- The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension (Q4562477) (← links)
- A Multivariate Default Model with Spread and Event Risk (Q4585901) (← links)
- Variational Solutions of the Pricing PIDEs for European Options in Lévy Models (Q4586315) (← links)
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050) (← links)
- On the Method of Optimal Portfolio Choice by Cost-Efficiency (Q4682703) (← links)
- The Markov-switching jump diffusion LIBOR market model (Q4683051) (← links)
- A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model (Q4691176) (← links)
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type (Q4825509) (← links)
- A risk model driven by Lévy processes (Q4827960) (← links)
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226) (← links)
- On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process (Q4916404) (← links)
- Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion (Q5001154) (← links)
- Fast computation of the multidimensional fractional Laplacian (Q5095340) (← links)
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model (Q5139218) (← links)
- The Lévy Swap Market Model (Q5297934) (← links)
- Fast deterministic pricing of options on Lévy driven assets (Q5315443) (← links)
- Robust barrier option pricing by frame projection under exponential Lévy dynamics (Q5373910) (← links)
- Local asymptotic normality for Student-Lévy processes under high-frequency sampling (Q5384665) (← links)
- Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (Q5467712) (← links)
- VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS (Q5488974) (← links)
- Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes (Q5745541) (← links)
- Free random Lévy variables and financial probabilities (Q5947878) (← links)
- Option pricing under stochastic volatility models with latent volatility (Q6053121) (← links)
- Quasi-likelihood analysis for Student-Lévy regression (Q6635303) (← links)
