Search Results - subject:"additive processes"

Handa, Masahiro; Sakuma, Noriyoshi; Suzuki, Ryoichi - In: Annals of finance 20 (2024) 3, pp. 329-352

Persistent link: https://www.econbiz.de/10015188744

Maglione, Federico - In: Quantitative finance 25 (2025) 2, pp. 269-290

Persistent link: https://www.econbiz.de/10015534090

Madan, Dilip B.; Wang, King - In: Applied mathematical finance 31 (2024) 1, pp. 37-56

Persistent link: https://www.econbiz.de/10015194418

Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724

Persistent link: https://www.econbiz.de/10012665200

Benth, Fred Espen; Deelstra, Griselda; Kozpınar, And Sinem - In: IMA journal of management mathematics 34 (2023) 1, pp. 187-220

Persistent link: https://www.econbiz.de/10013541856

Madan, Dilip B.; Wang, King - In: Quantitative finance 23 (2023) 4, pp. 579-593

Persistent link: https://www.econbiz.de/10014304273

Palmowski, Zbigniew; Stettner, Łukasz; Sulima, Anna - In: Risks 7 (2019) 1, pp. 1-13

described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into …

Persistent link: https://www.econbiz.de/10013200452

Palmowski, Zbigniew; Stettner, Łukasz; Sulima, Anna - In: Risks : open access journal 7 (2019) 1/34, pp. 1-13

described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into …

Persistent link: https://www.econbiz.de/10012015778

Gaß, Maximillian; Glau, Kathrin - In: The journal of computational finance 25 (2022) 4, pp. 79-105

Persistent link: https://www.econbiz.de/10014546290

Arai, Takuji; Imai, Yuto - In: Applied mathematical finance 25 (2018) 3/4, pp. 247-267

Persistent link: https://www.econbiz.de/10012128947

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