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Found 63 Documents (Results 1–63)

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Markovian short rates in multidimensional term structure Lévy models. (English) Zbl 1460.91279

Jakubowski, Jacek (ed.) et al., Stochastic modeling and control. Based on the Simons semester, Warsaw, Poland, January 2 – March 31, 2019. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Cent. Publ. 122, 93-106 (2020).
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A Lévy-driven asset price model with bankruptcy and liquidity risk. (English) Zbl 1383.62232

Ferger, Dietmar (ed.) et al., From statistics to mathematical finance. Festschrift in honour of Winfried Stute. Cham: Springer (ISBN 978-3-319-50985-3/hbk; 978-3-319-50986-0/ebook). 387-416 (2017).
MSC:  62P05 60G51 60H30 91B25
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Construction and hedging of optimal payoffs in Lévy models. (English) Zbl 1367.91170

Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 331-377 (2016).
MSC:  91G10 60G51
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Estimation of correlation between latent processes. (English) Zbl 1368.62156

Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 131-146 (2016).
MSC:  62H20 60G48
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Three non-Gaussian models of dependence in returns. (English) Zbl 1372.62052

Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 107-130 (2016).
MSC:  62P05 60G51 62H20
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Tail behaviour and tail dependence of generalized hyperbolic distributions. (English) Zbl 1384.60054

Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 3-40 (2016).
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