搜索结果: 1-15 共查到“Levy processes.”相关记录29条 . 查询时间(0.076 秒)
Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results
Exponential Levy processes short-time asymptotics long-time asymp-totics implied volatility Lewis-Lipton formula.
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2012/9/14
Exponential Levy processes can be used to model the evolution of various nancial variables such as FX rates, stock prices, etc. Considerable e orts have been devoted to pricing derivatives written o...
Martingale transform and Levy Processes on Lie Groups
Martingale transform Levy Processes Lie Groups Probability
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2012/6/29
This paper constructs a class of martingale transforms based on L\'evy processes on Lie groups. From these, a natural class of bounded linear operators on the $L^p$-spaces of the group (with respect t...
Robust utility maximization for Levy processes:Penalization and solvability
Convex risk measures duality robust utility Levy processes.
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2012/9/14
In this paper the robust utility maximization problem for a market model based on Levy processes is analyzed. The interplay between the formof the utility function and the penalization function requir...
Asymptotic behaviour of first passage time distributions for Levy processes
Levy processes first passage time distribution local limit theorems fluctuation theory
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2011/9/19
Abstract: Let $X$ be a real valued L\'evy process that is in the domain of attraction of a stable law without centering with norming function $c.$ As an analogue of the random walk results in \cite{vw...
On the density of exponential functionals of Levy processes
Levy processes exponential functional subordinators self-similar Markov processes
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2011/9/14
Abstract: In this paper, we study the existence of the density associated to the exponential functional of the L\'evy process $\xi$, \[ I_{\ee_q}:=\int_0^{\ee_q} e^{\xi_s} \, \mathrm{d}s, \] where $\e...
On the drawdown of completely asymmetric Levy processes
Spectrally one-sided L´ evy process reflected process, drawdown fluctuation theory excursion theory sextuple law
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2011/3/31
The drawdown process $Y=\bar{X} - X$ of a completely asymmetric L\'{e}vy process $X$ is given by $X$ reflected at its running supremum $\bar{X}$.In this paper we explicitly express the law of the sext...
Finite Variation of Fractional Levy Processes
finite variation fractional integration fractional L´ evy process
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2011/3/1
Various characterizations for fractional L´evy process to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving L´evy process, while ot...
Fluctuations of stable processes and exponential functionals of hypergeometric Levy processes
Hypergeometric L´ evy processes Lamperti-stable processes exponential functional
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2011/1/18
We study the distribution and various properties of exponential functionals of hypergeometric
L´evy processes. We derive an explicit formula for the Mellin transform of the exponential function...
On the distribution of exponential functionals for Levy processes with jumps of rational transform
exponential functionals Levy processes rational transform
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2010/11/22
We derive explicit formulas for the Mellin transform and the distribution of the exponential functional for Levy processes with rational Laplace exponent. This extends recent results by Cai and Kou o...
CDO term structure modelling with Levy processes and the relation to market models
collateralized debt obligations loss process single tranche
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2010/10/21
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the ...
Distributions of suprema of Levy processes via the Heavy Traffic Invariance Principle
Livy process supremum heavy traflic queueing systems
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2009/9/21
We study the relationship between the distribution of
the supremum functional M, = sup,,,,,(X(t)-fit) for a process
X with stationary, but not necessarily independent increments, and the
I limiting...
FRACTIONAL DERIVATIVES OF LOCAL TIMES OF STABLE LEVY PROCESSES AS THE LIMITS OF THE OCCUPATION TIME PROBLEM IN BESOV SPACE
Stable processes local time fractional derivative occupittion time problem Besov space
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2009/9/21
In this paper, we firstly study the Besov regularity of
the local time of symmetric stable processes and of its fractional derivative.
Secondly, we establish Limit theorems for occupation times of
...
LEVY PROCESSES AND SELF-DECOMPOSABILITY IN FINANCE
Inlinite divisibility, self-decomposability,type G, elliptically contoured distributions
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2009/9/18
The main theme of Urbanik's work was infinite divisibility
and its r d c a t i o n s . The aim of this memorial article is to trace
the application of this theme in mathematical fmanoe, one of the m...
LEVY PROCESSES AND STOCHASTIC INTEGRALS IN BANACH SPACES
Uvy process LBvy measure type cotype LBvy-It6 decomposition stochastic integral
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2009/9/18
We review infinite divisibility and LBvy processes in
Banach spaces and discuss the relationship with notions of type and i cotype. The LBvy-It6 decomposition is described. Strong, weak and
Pettis-s...
Some properties of exponential integrals of Levy processes and examples
Generalized Ornstein-Uhlenbeck process L!aev process selfdecomposability
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2009/4/23
The improper stochastic integral $Z=int_0^{infty-}exp(-X_{s-})dY_s$ is studied, where ${ (X_t ,Y_t) , t ges 0 }$ is a L'evy process on $R ^{1+d}$ with ${X_t }$ and ${Y_t }$ being $R$-valued and $R ^d$...