EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"conditional Lévy processes"
Narrow search

Narrow search

Year of publication
Subject
All
CAPM 1 Lévy time change 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 affine jump-diffusions 1 asset pricing models 1 conditional Lévy processes 1 polynomial jump-diffusions 1 polynomial transformations 1 stochastic volatility 1
more ... less ...
Online availability
All
Free 1
Type of publication
All
Book / Working Paper 1
Type of publication (narrower categories)
All
Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
All
English 1
Author
All
Filipović, Damir 1 Larsson, Martin 1
Published in...
All
Research paper series / Swiss Finance Institute 1
Source
All
ECONIS (ZBW) 1
Showing 1 - 1 of 1
Cover Image
Polynomial jump-diffusion models
Filipović, Damir; Larsson, Martin - 2017
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial transformations and Lévy time change. We...
Persistent link: https://www.econbiz.de/10011874871
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...