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Lévy Matters IV · Study

BookLévy Matters IV

Denis Vital'evich Belomestny2014

Book2014

Lévy Matters IV

Denis Vital'evich Belomestny · Fabienne Comte · Valentine Genon‐Catalot · H. Masuda · Markus Reiß

21 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Probability and Statistical Research Point processes and geometric inequalities

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References

2003Financial Modelling with Jump Processes 1990The Variance Gamma (V.G.) Model for Share Market Returns 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling 1995Hyperbolic Distributions in Finance 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices 2002Modelling Extremal Events for Insurance and Finance 2005The application of continuous-time random walks in finance and economics 2006Limit theorems for multipower variation in the presence of jumps

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2017Efficient nonparametric inference for discretely observed compound Poisson processes

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2011Financial Economics, Fat-Tailed Distributionsother · 5 shared references 2003Hyperbolic Processes in Financechapter · 4 shared references 2004Fast deterministic pricing of options on Lévy driven assetsarticle · 4 shared references 2010Nonparametric adaptive estimation for pure jump Lévy processesarticle · 4 shared references 2011Estimation for Levy processes from high frequency data within a long time intervalarticle · 4 shared references 2008An introduction to Lévy processes with applications in financepreprint · 4 shared references

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Year2014

Typebook

Published2014-12-05

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-319-12373-8

openalex_workW4206920645

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