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Lévy Processes and Applications · Study

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ChapterLévy Processes and Applications

Andreas E. Kyprianou2014

Chapter2014

Lévy Processes and Applications

Andreas E. Kyprianou

27 citations·0/0 files stored·Universitext

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

2003Stochastic Volatility for Lévy Processes 1997Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 1977On the Probability of the Extinction of Families 2004A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour 2001Application of Generalized Hyperbolic Lévy Motions to Finance 2001Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives 2002Stochastic Integration with Jumps 2002Perpetual American Options Under Lévy Processes

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1996An operational calculus for probability distributions via Laplace transformsarticle · 4 shared references 2005Exotic options under Lévy models: An overviewarticle · 4 shared references 2005Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processesarticle · 3 shared references 2010Refracted Lévy processesarticle · 3 shared references 2011Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Processarticle · 3 shared references 2008A Lévy Insurance Risk Process with Taxarticle · 3 shared references

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Year2014

Typechapter

Published2014-01-01

VenueUniversitext

ISSN-L0172-5939

Languageen

Citations27

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-37632-0_1

openalex_workW131806911

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