Narrow search
Showing 1 - 7 of 7
Cover Image
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi - In: Finance and stochastics 21 (2017) 2, pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Cover Image
Variation and share-weighted variation swaps on time-changed Lévy processes
Carr, Peter; Lee, Roger - In: Finance and stochastics 17 (2013) 4, pp. 685-716
Persistent link: https://www.econbiz.de/10010190886
Cover Image
Pricing vulnerable claims in a Lévy-driven model
Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano - In: Finance and stochastics 18 (2014) 4, pp. 755-789
Persistent link: https://www.econbiz.de/10010413669
Cover Image
Consumption-investment problem with transaction costs for Lévy-driven price processes
Vallière, Dimitri De; Kabanov, Jurij M.; Lépinette, … - In: Finance and stochastics 20 (2016) 3, pp. 705-740
Persistent link: https://www.econbiz.de/10011531437
Cover Image
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
Cover Image
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Gonon, Lukas; Schwab, Christoph - In: Finance and stochastics 25 (2021) 4, pp. 615-657
Persistent link: https://www.econbiz.de/10012665197
Cover Image
Efficient evaluation of expectations of functions of a Lévy process and its extremum
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Finance and stochastics 29 (2025) 2, pp. 443-468
Persistent link: https://www.econbiz.de/10015394806