Integrating Volatility Clustering Into Exponential Lévy Models

DOI10.1239/jap/1253279842zbMath1188.91239OpenAlexW2033412868MaRDI QIDQ3182422

Tina Marquardt, Christian Bender

Publication date: 8 October 2009

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1253279842

zbMATH Keywords

subordinationvolatility clusteringfinancial modelingconvoluted Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional derivatives and integrals (26A33) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (11)

Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions ⋮ The closed-form option pricing formulas under the sub-fractional Poisson volatility models ⋮ Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws ⋮ Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory ⋮ Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes ⋮ Asymptotic Behaviour of the Distribution Density of the Fractional Lévy Motion ⋮ A normal inverse Gaussian model for a risky asset with dependence ⋮ Quantile clocks ⋮ Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk ⋮ Fractional Lévy Processes as a Result of Compact Interval Integral Transformation ⋮ Risky Asset Models with Tempered Stable Fractal Activity Time

Cites Work

• Stochastic calculus for convoluted Lévy processes
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Additive processes and stochastic integrals
• Equivalence of Volterra processes.
• Fractional Lévy processes with an application to long memory moving average processes
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• On simulation from infinitely divisible distributions
• Option Pricing With V. G. Martingale Components¹
• Stochastic Volatility for Lévy Processes
• Financial Modelling with Jump Processes
• Simulation and inference for stochastic volatility models driven by Levy processes
• Lévy-driven CARMA processes
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