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  • Search: subject:"fractional Lévy"
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Subject
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Option pricing theory 3 Optionspreistheorie 3 Stochastic process 3 Stochastischer Prozess 3 Volatility 3 Volatilität 3 Time series analysis 2 Zeitreihenanalyse 2 fractional Lévy process 2 Aggregation models 1 CDS pricing 1 Class L distributions or selfdecomposable distributions 1 Class U distributions or generalized s-selfdecomposable distributions 1 Credit derivative 1 Credit risk 1 Decomposability group 1 Dilative stability 1 FARIMA process 1 Fractional Levy flights 1 Fractional Lévy processes 1 Fractional Lévy stable process 1 Fractional random walk 1 Heavy traffic 1 Incomplete market 1 Kreditderivat 1 Kreditrisiko 1 Long memory 1 Lévy process 1 Lévy-driven OU process 1 Moving average fractional Lévy process 1 Multifractal 1 Option pricing 1 Random integral representation 1 Ruin probability 1 Self-similar 1 Semi-selfsimilarity 1 Statistical distribution 1 Statistische Verteilung 1 Unvollkommener Markt 1 credit default swap 1
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Article 7
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Article in journal 3 Aufsatz in Zeitschrift 3
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Undetermined 4 English 3
Author
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Barbe, Ph. 1 Fink, Holger Maria 1 Heyde, C.C. 1 Jurek, Zbigniew J. 1 Kern, Peter 1 Kim, Young Shin 1 McCormick, W.P. 1 Scherr, Christian 1 Sly, Allan 1 Tong, Zhigang 1 Wedrich, Lina 1
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Published in...
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Statistics & Probability Letters 2 Applied mathematical finance 1 International journal of financial markets and derivatives 1 Journal of financial engineering 1 Physica A: Statistical Mechanics and its Applications 1 Stochastic Processes and their Applications 1
Source
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RePEc 4 ECONIS (ZBW) 3
Showing 1 - 7 of 7
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Option pricing in stochastic volatility models driven by fractional Lévy processes
Tong, Zhigang - In: International journal of financial markets and derivatives 5 (2016) 1, pp. 56-75
Persistent link: https://www.econbiz.de/10011589165
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Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse
Kim, Young Shin - In: Applied mathematical finance 23 (2016) 3/4, pp. 309-322
Persistent link: https://www.econbiz.de/10011704246
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Dilatively semistable stochastic processes
Kern, Peter; Wedrich, Lina - In: Statistics & Probability Letters 99 (2015) C, pp. 101-108
Dilative semistability extends the notion of semi-selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. It is shown that this scaling relation is a natural extension of dilative stability and some examples of dilatively...
Persistent link: https://www.econbiz.de/10011208332
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CDS pricing with long memory via fractional Lévy processes
Fink, Holger Maria; Scherr, Christian - In: Journal of financial engineering 1 (2014) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10010507970
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Invariant measures under random integral mappings and marginal distributions of fractional Lévy processes
Jurek, Zbigniew J. - In: Statistics & Probability Letters 83 (2013) 1, pp. 177-183
distributions. Some applications are given to the moving average fractional Lévy process (MAFLP). …
Persistent link: https://www.econbiz.de/10010593926
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Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution
Barbe, Ph.; McCormick, W.P. - In: Stochastic Processes and their Applications 122 (2012) 4, pp. 1276-1303
We prove some heavy-traffic limit theorems for processes which encompass the fractionally integrated random walk as well as some FARIMA processes, when the innovations are in the domain of attraction of a non-Gaussian stable distribution.
Persistent link: https://www.econbiz.de/10010577836
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A Cautionary note on modeling with fractional Lévy flights
Heyde, C.C.; Sly, Allan - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 21, pp. 5024-5032
. We find that because of their infinite moments samples from fractional Lévy flights produce bi-linear scaling functions … fractional Lévy flights which are inherently problematic. …
Persistent link: https://www.econbiz.de/10010872527
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