Pages that link to "Item:Q4821616"
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The following pages link to Financial Modelling with Jump Processes (Q4821616):
Displaying 50 items.
- Vine constructions of Lévy copulas (Q391652) (← links)
- Estimation of the activity of jumps in time-changed Lévy models (Q391841) (← links)
- Optimal proportional reinsurance under dependent risks (Q394398) (← links)
- A spectral element framework for option pricing under general exponential Lévy processes (Q395363) (← links)
- Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias (Q395995) (← links)
- Optimal continuous dependence estimates for fractional degenerate parabolic equations (Q398708) (← links)
- Asymptotic stability in the \(p\)th moment for stochastic differential equations with Lévy noise (Q402962) (← links)
- A heat kernel approach to interest rate models (Q403855) (← links)
- New families of subordinators with explicit transition probability semigroup (Q404140) (← links)
- Estimation of the instantaneous volatility (Q411549) (← links)
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps (Q413924) (← links)
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503) (← links)
- An operational interpretation and existence of the Aumann-Serrano index of riskiness (Q429156) (← links)
- Heavy traffic approximation for the stationary distribution of stochastic fluid networks (Q430001) (← links)
- Reviewing alternative characterizations of Meixner process (Q431510) (← links)
- The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920) (← links)
- On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps (Q432503) (← links)
- On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs (Q432512) (← links)
- A finite element discretization method for option pricing with the Bates model (Q435146) (← links)
- Option pricing and hedging under a stochastic volatility Lévy process model (Q437103) (← links)
- Hitchhiker's guide to the fractional Sobolev spaces (Q441901) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions (Q448585) (← links)
- Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
- Sieve-based confidence intervals and bands for Lévy densities (Q453294) (← links)
- Nonparametric tests for pathwise properties of semimartingales (Q453304) (← links)
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem (Q453330) (← links)
- Confidence sets in nonparametric calibration of exponential Lévy models (Q457186) (← links)
- On some dependence structures for multidimensional Lévy driven moving averages (Q457632) (← links)
- Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression (Q458120) (← links)
- Approximate boundary controllability of Sobolev-type stochastic differential systems (Q458911) (← links)
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406) (← links)
- Computing survival probabilities based on stochastic differential models (Q464647) (← links)
- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility (Q465438) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- Statistical estimation of Lévy-type stochastic volatility models (Q470521) (← links)
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
- Time-varying jump tails (Q473227) (← links)
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
- Optimal investment and excess of loss reinsurance with short-selling constraint (Q475706) (← links)
- Convex ordering criteria for Lévy processes (Q477990) (← links)
- Concentration phenomenon for fractional nonlinear Schrödinger equations (Q479540) (← links)
- On mean-variance hedging of bond options with stochastic risk premium factor (Q481005) (← links)
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (Q481380) (← links)
- Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702) (← links)
- Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
- The efficient hedging problem for American options (Q483722) (← links)
- On the calibration of local jump-diffusion asset price models (Q484208) (← links)
- The large-maturity smile for the Heston model (Q484212) (← links)
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710) (← links)
