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Computational methods for Levy and jump diffusion processes : applications in financial engineering

Feng, Liming - 2006

Persistent link: https://www.econbiz.de/10003908099

Optimal portfolio execution with a Markov chain approximation approach

Chen, Jingnan; Feng, Liming; Peng, Jiming; Zhang, Yu - In: IMA journal of management mathematics 34 (2023) 1, pp. 165-186

Persistent link: https://www.econbiz.de/10013541854

Time-changed Markov processes in unified credit-equity modeling

Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 527-569

Persistent link: https://www.econbiz.de/10008666998

Positive eigenfunctions of Markovian pricing operators : Hansen-Scheinkman factorization, ross recovery, and long-term pricing

Qin, Likuan; Linetsky, Vadim - In: Operations research 64 (2016) 1, pp. 99-117

Persistent link: https://www.econbiz.de/10011447753

Multivariate subordination of Markov processes with financial applications

Mendoza-Arriaga, Rafael; Linetsky, Vadim - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 699-747

Persistent link: https://www.econbiz.de/10011583791

Multivariate Subordination of Markov Processes with Financial Applications

Mendoza-Arriaga, Rafael - 2014

This paper develops the procedure of multivariate subordination for a collection of independent Markov processes with killing. Starting from d independent Markov processes X<sup>i</sup> with killing and an independent d-dimensional time change T, we construct a new process by time changing each of the...

Persistent link: https://www.econbiz.de/10013069072