Pure -Jump Levy Processes and Self-decomposability in Financial Modeling
نویسندگان
چکیده
منابع مشابه
Financial Modeling and Option Theory with the Truncated Levy Process
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis at short timescales, along with the slow convergence to Gaussian at longer timescales. In this paper I further test the truncated Levy paradigm u...
متن کاملPure jump increasing processes and the change of variables formula
Given an increasing process (At)t≥0, we characterize the non-decreasing right-continuous functions f : R+ → R+ that map A to a pure-jump process. As an example of application, we show for instance that functions with bounded variation belong to the domain of the extended generator of any subordinator with no drift and infinite Lévy measure.
متن کاملResearch Article Jump Telegraph Processes and Financial Markets with Memory
The paper develops a new class of financial market models. These models are based on generalized telegraph processes with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in a certain correspondence with their velocity and with the behaviour of the interest rate. A risk...
متن کاملSafety Verification of Continuous-Space Pure Jump Markov Processes
We study the probabilistic safety verification problem for pure jumpMarkov processes, a class of models that generalizes continuous-time Markov chains over continuous (uncountable) state spaces. Solutions of these processes are piecewise constant, right-continuous functions from time to states. Their jump (or reset) times are realizations of a Poisson process, characterized by a jump rate funct...
متن کاملAdaptive Pointwise Estimation for Pure Jump Lévy Processes
This paper is concerned with adaptive kernel estimation of the Lévy density N(x) for bounded-variation pure-jump Lévy processes. The sample path is observed at n discrete instants in the ”high frequency” context (∆ = ∆(n) tends to zero while n∆ tends to infinity). We construct a collection of kernel estimators of the function g(x) = xN(x) and propose a method of local adaptive selection of the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mathematics Research
سال: 2011
ISSN: 1916-9809,1916-9795
DOI: 10.5539/jmr.v3n2p41