The following pages link to (Q2738733):
Displaying 50 items.
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
- A finite element discretization method for option pricing with the Bates model (Q435146) (← links)
- Moments of MGOU processes and positive semidefinite matrix processes (Q444969) (← links)
- Fubini theorem for multiparameter stable process (Q450172) (← links)
- Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702) (← links)
- On magnitude, asymptotics and duration of drawdowns for Lévy models (Q502880) (← links)
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- Local risk-minimization for Barndorff-Nielsen and Shephard models (Q522068) (← links)
- Affine processes on positive semidefinite matrices (Q535197) (← links)
- Lévy random bridges and the modelling of financial information (Q544493) (← links)
- Estimation for Lévy processes from high frequency data within a long time interval (Q548536) (← links)
- Approximation of the distribution of a stationary Markov process with application to option pricing (Q605850) (← links)
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
- Extremes of Lévy driven mixed MA processes with convolution equivalent distributions (Q626294) (← links)
- Two-parameter Lévy processes along decreasing paths (Q633138) (← links)
- Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes (Q655929) (← links)
- The fractional multivariate normal tempered stable process (Q714607) (← links)
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling (Q745333) (← links)
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes (Q817968) (← links)
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) (← links)
- Parametric estimation of discretely sampled Gamma-OU processes (Q867775) (← links)
- Fitting bivariate cumulative returns with copulas (Q956837) (← links)
- Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model (Q961412) (← links)
- On subordinated multivariate Gaussian Lévy processes (Q996741) (← links)
- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection (Q997294) (← links)
- Implicit-explicit numerical schemes for jump-diffusion processes (Q997571) (← links)
- Continuous-time GARCH processes (Q997951) (← links)
- Probability measures, Lévy measures and analyticity in time (Q1002550) (← links)
- A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility (Q1009405) (← links)
- Exact simulation of IG-OU processes (Q1042535) (← links)
- New methods of simulating Lévy processes (Q1620568) (← links)
- Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models (Q1658343) (← links)
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index (Q1682600) (← links)
- Tempered stable process, first passage time, and path-dependent option pricing (Q1722755) (← links)
- Moments of the asset price for the Barndorff-Nielsen and Shephard model (Q1728116) (← links)
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts. (Q1766027) (← links)
- Self-similar processes with independent increments associated with Lévy and Bessel processes. (Q1766032) (← links)
- Ornstein-Uhlenbeck processes for geophysical data analysis (Q1782641) (← links)
- A new factorization property of the selfdecomposable probability measures. (Q1879827) (← links)
- A multiple-curve HJM model of interbank risk (Q1938982) (← links)
- Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes (Q1945501) (← links)
- Nonparametric adaptive estimation for pure jump Lévy processes (Q1958507) (← links)
- Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging (Q2063058) (← links)
- Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral (Q2066759) (← links)
- Aumann-Serrano index of risk in portfolio optimization (Q2067257) (← links)
- Probability-conservative simulation for \textit{Lévy} financial model by a mixed finite element method (Q2074132) (← links)
- Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus (Q2119814) (← links)
- Modeling and complexity of stochastic interacting Lévy type financial price dynamics (Q2150375) (← links)
- Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing (Q2174174) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
