Risky Asset Models with Tempered Stable Fractal Activity Time

DOI10.1080/07362994.2014.913183zbMath1305.60039OpenAlexW2129885524MaRDI QIDQ2875522

Alla Sikorskii, A. D. J. Kerss, Nikolai N. Leonenko

Publication date: 8 August 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2014.913183

zbMATH Keywords

Lévy processesrandom time changefractional Lévy motiontempered stable distributionOrnstein-Uhlenbeck-type processesnormal tempered stable distributionfractal activity time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic processes (60G99)

Related Items (2)

Student-like models for risky asset with dependence ⋮ Weak dependence and GMM estimation of supOU and mixed moving average processes

Cites Work

• Unnamed Item
• The past and future of empirical finance: some personal comments
• Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
• Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations
• A normal inverse Gaussian model for a risky asset with dependence
• Quantile clocks
• Tempering stable processes
• Scaling issues for risky asset modelling
• Alternative forms of fractional Brownian motion
• Stochastic models for fractal processes
• Processes of normal inverse Gaussian type
• Diffusion-type models with given marginal distribution and autocorrelation function
• On fractional tempered stable motion
• GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
• The Student Subordinator Model with Dependence for Risky Asset Returns
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• An Inverse Gamma Activity Time Process with Noninteger Parameters and a Self-Similar Limit
• Integrating Volatility Clustering Into Exponential Lévy Models
• On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
• Stationary-increment Student and variance-gamma processes
• OPTION PRICING WITH VG–LIKE MODELS
• Some stationary processes in discrete and continuous time
• Trading volume in models of financial derivatives
• Financial Markets with Memory I: Dynamic Models
• Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• The Variance Gamma Process and Option Pricing
• A risky asset model with strong dependence through fractal activity time
• Student processes

This page was built for publication: Risky Asset Models with Tempered Stable Fractal Activity Time