Financial modeling with Lévy processes
نویسنده
چکیده
منابع مشابه
An Introduction to Lévy Processes with Applications in Finance
These notes aim at introducing Lévy processes in an informal and intuitive way. Several important results about Lévy processes, such as the Lévy-Khintchine formula, the Lévy-Itô decomposition and Girsanov’s transformations, are discussed. Applications of Lévy processes in financial modeling are presented and some popular models in finance are revisited from the point of view of Lévy processes.
متن کاملApplied Probability Trust (22 February 2007) DISTRIBUTION OF THE PRESENT VALUE OF DIVIDEND PAY- MENTS IN A LÉVY RISK MODEL
In this short paper, we show how uctuation identities for Lévy processes with no positive jumps yield the distribution of the present value of dividend payments until ruin in a Lévy insurance risk model with a dividend barrier.
متن کاملDistribution of the Present Value of Dividend Payments in a Lévy Risk Model
In this short paper, we show how fluctuation identities for Lévy processes with no positive jumps yield the distribution of the present value of dividends paid until ruin in a Lévy insurance risk model with a dividend barrier.
متن کاملEmpirical Likelihood Methods Based on Characteristic Functions With Applications to Lévy Processes
Lévy processes have been receiving increasing attention in financial modeling. One distinctive feature of such models is that their characteristic functions are readily available. Inference based on characteristic functions is very useful for studying Lévy processes. By incorporating the recent advances in nonparametric approaches, empirical likelihood methods based on characteristic functions ...
متن کاملModeling of Financial Data: Comparison of the Truncated Lévy Flight and the ARCH(1) and GARCH(1,1) processes
We compare our results on empirical analysis of financial data with simulations of two stochastic models of the dynamics of stock market prices. The two models are (i) the truncated Lévy flight recently introduced by us and (ii) the ARCH(1) and GARCH(1,1) processes. We find that the TLF well describes the scaling and its breakdown observed in empirical data, while it is not able to properly des...
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