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  • Search: subject_exact:"Levy process"
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Year of publication
Subject
All
Lévy process 212 Stochastischer Prozess 131 Stochastic process 128 Option pricing theory 116 Optionspreistheorie 116 Levy process 97 Levy-Prozess 43 Theorie 43 Theory 40 Volatility 40 Volatilität 40 Option trading 31 Optionsgeschäft 31 Portfolio selection 25 Portfolio-Management 25 Statistical distribution 23 Statistische Verteilung 23 Stochastic volatility 21 Lévy-Prozess 18 Zeitreihenanalyse 17 Derivat 16 Derivative 16 Risiko 16 stochastic volatility 16 Hedging 15 Mathematical finance 15 Option pricing 15 Risk 15 Time series analysis 15 option pricing 15 CAPM 13 Finanzmathematik 13 Markov chain 11 Risk model 11 Risk premium 11 Schätztheorie 11 Estimation theory 10 Markov-Kette 10 Risikomodell 10 Credit derivative 9
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Online availability
All
Undetermined 171 Free 120 CC license 7
Type of publication
All
Article 221 Book / Working Paper 119 Other 1
Subcategories
All
Article in journal 220 Working paper 77 Proceedings 1 Textbook 1
Language
All
English 213 Undetermined 123 German 2 French 2 Czech 1
Author
All
Barndorff-Nielsen, Ole E. 11 Aguilar, Jean-Philippe 10 Shephard, Neil 10 Kim, Young Shin 9 Chen, Yu-Fu 7 Funke, Michael 7 Abbring, Jaap H. 6 Klüppelberg, Claudia 6 Campbell, John Y. 5 Martin, Ian 5 Schoutens, Wim 5 Seo, Sang Byung 5 Carr, Peter 4 Cont, Rama 4 Haug, Stephan 4 Kirkby, Justin Lars 4 Korbel, Jan 4 Madan, Dilip 4 Maller, Ross A. 4 Mittnik, Stefan 4 Palmowski, Zbigniew 4 Tankov, Peter 4 Wachter, Jessica 4 Yamazaki, Akira 4 Benth, Fred Espen 3 Dong, Chaohua 3 Ferrari, Giorgio 3 Gao, Jiti 3 Goutte, Stéphane 3 Griffin, Philip S. 3 Kappus, Johanna 3 Lee, Roger 3 Li, Shu 3 Pagliarani, Stefano 3 Papantonis, Ioannis 3 Polimenis, Vassilis 3 Račev, Svetlozar T. 3 Salminen, Paavo 3 Al-Hadad, Jonas 2 Andersen, Lars 2
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 9 Department of Economics, Oxford University 6 EconWPA 3 Economics Group, Nuffield College, University of Oxford 3 National Bureau of Economic Research 3 Department of Econometrics and Business Statistics, Monash Business School 2 Department of Economics Studies, University of Dundee 2 HAL 2 Judge Institute of Management Studies 2 CESifo 1 Christian-Albrechts-Universität zu Kiel 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Department of Economics, Florida International University 1 Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento 1 Duke University, Department of Economics 1 Eric Cuvillier <Firma> 1 Finance Research Centre, Oxford University 1 Institut für Makroökonomie und Wirtschaftspolitik, Fachbereich Volkswirtschaftslehre 1 Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1 London School of Economics (LSE) 1 School of Economics and Management, University of Aarhus 1 School of Economics, Singapore Management University 1 Scottish Institute for Research in Economics (SIRE) 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Tilburg University, Center for Economic Research 1 Tinbergen Institute 1 Tinbergen Instituut 1 Toulouse School of Economics (TSE) 1 University of Bonn, Germany 1 Université Paris-Dauphine (Paris IX) 1 Verlag Dr. Kovač 1 World Scientific Publishing Co. Pte. Ltd. 1 Økonomisk institutt, Universitetet i Oslo 1
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Published in...
All
Stochastic Processes and their Applications 16 Insurance 15 International journal of theoretical and applied finance 11 Insurance: Mathematics and Economics 9 International Journal of Theoretical and Applied Finance (IJTAF) 9 MPRA Paper 9 Quantitative Finance 9 Finance and Stochastics 7 Quantitative finance 7 Economics Series Working Papers / Department of Economics, Oxford University 6 Finance and stochastics 6 Risks 6 Statistics & Probability Letters 6 Journal of Risk and Financial Management 5 Journal of econometrics 5 Journal of risk and financial management : JRFM 5 Annals of the Institute of Statistical Mathematics 4 Applied mathematical finance 4 Asia-Pacific Financial Markets 4 Computational economics 4 Discussion Paper 4 European journal of operational research : EJOR 4 International journal of financial engineering 4 Risks : open access journal 4 Economics Papers / Economics Group, Nuffield College, University of Oxford 3 Review of Derivatives Research 3 Scandinavian actuarial journal 3 Annals of Finance 2 Annals of finance 2 Bonn Econ Discussion Papers 2 CEMMAP working papers / Centre for Microdata Methods and Practice 2 Center for Mathematical Economics Working Papers 2 Computational Statistics 2 Dundee Discussion Papers in Economics 2 ECON PhD dissertations 2 Econometric reviews 2 Energy economics 2 Finance 2 Journal of risk : JOR 2 Mathematics and financial economics 2
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Source
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ECONIS (ZBW) 174 RePEc 133 EconStor 22 BASE 6 USB Cologne (EcoSocSci) 4 Other ZBW resources 2
Showing 1 - 50 of 293
 
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Cramér-Lundberg asymptotics for spectrally positive Markov additive processes
Kreveld, Lucas van; Mandjes, Michel; Dorsman, Jan-Pieter - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015052470
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Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014332830
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Pricing European options under stochastic volatility models : case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire - 2023
Article
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Multi-population mortality modeling with Lévy processes
Jevtić, Petar; Qin, Chengwei; Zhou, Hongjuan - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014443756
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A Fourier cosine expansion method for pricing FX-TARN under Lévy processes
Tong, Kevin Z. - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015120993
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Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework
Leung, Tim; Lu, Kevin W. - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015051244
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Analyzing cryptocurrency risk with a stochastic volatility normal tempered stable process via hybrid optimization
Darvishi, Moshtagh; Modarresi, Navideh - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654789
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Efficient evaluation of expectations of functions of a Lévy process and its extremum
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394806
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Asymptotics for fractional processes
Davidson, James E. H. - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015423358
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Asymptotics for fractional processes
Davidson, James E. H. - 2025
Book / Working Paper
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Sustainability in a risky world
Campbell, John Y.; Martin, Ian - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015443887
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Sustainability in a Risky World
Campbell, John Y.; Martin, Ian - 2021
Book / Working Paper
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Sustainability in a risky world
Campbell, John Y.; Martin, Ian - 2021 - First draft: March 2021
Edition: First draft: March 2021
Book / Working Paper
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Sustainability in a Risky World
Campbell, John Y.; Martin, Ian - 2021
Book / Working Paper
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Return to the barrier : option pricing and calibration in foreign exchange markets
Kirkby, Justin Lars; Aglieri Rinella, Claudio; Aguilar, … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653286
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Enhancing valuation of variable annuities in Lévy models with stochastic interest rate
Goudenege, Ludovic; Molent, Andrea; Wei, Xiao; Zanette, … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534477
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Poisson voting games under proportional rule
De Sinopoli, Francesco; Meroni, Claudia - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013197666
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Pricing time-capped American options using a least squares Monte Carlo method
Stȩpniak, Paweł; Palmowski, Zbigniew - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654988
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Valuation of mortgages by using Lévy models
Chiang, Shu Ling; Tsai, Ming-shann - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014582188
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Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Kim, Young Shin - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611634
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Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Kim, Young Shin - 2021
Article
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Pricing perpetual American put options with asset-dependent discounting
Al-Hadad, Jonas; Palmowski, Zbigniew - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611687
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Quanto pricing beyond Black-Scholes
Fink, Holger Maria; Mittnik, Stefan - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611693
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Systemic risk modeling with Lévy copulas
Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611808
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Lévy interest rate models with a long memory
Hainaut, Donatien - 2021
This article proposes an interest rate model ruled by mean reverting Lévy processes with a sub-exponential memory of their sample path. This feature is achieved by considering an Ornstein-Uhlenbeck process in which the exponential decaying kernel is replaced by a Mittag-Leffler function. Based...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012804840
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Lévy interest rate models with a long memory
Hainaut, Donatien - 2021
Article
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Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Gonon, Lukas; Schwab, Christoph - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014497566
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Optimal prediction problems and the last zero of spectrally negative Lévy processes
Pedraza Ramírez, José Manuel - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012938989
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Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Gonon, Lukas; Schwab, Christoph - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012665197
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Approximation method using black-scholes formula for barrier option pricing under Lévy models
Li, Yuan; Miyachi, Kaimon; Shiraya, Kenichiro; … - 2021 - This version : June 7, 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012807890
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Pricing perpetual American put options with asset-dependent discounting
Al-Hadad, Jonas; Palmowski, Zbigniew - 2021
The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as VωAPut(s)=supτ∈TEs[e−∫0τω(Sw)dw(K−Sτ)+], where T is a family of stopping times, ω is...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012520043
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Quanto pricing beyond Black-Scholes
Fink, Holger Maria; Mittnik, Stefan - 2021
Since their introduction, quanto options have steadily gained popularity. Matching Black-Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012520134
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Systemic risk modeling with Lévy copulas
Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - 2021
We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and introduce the normal tempered stable (NTS) copula based...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012588056
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Pricing, risk and volatility in subordinated market models
Aguilar, Jean-Philippe; Kirkby, Justin Lars; Korbel, Jan - 2020
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200657
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Do rare events explain CDX tranche spreads?
Seo, Sang Byung; Wachter, Jessica - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011563045
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Do rare events explain CDX tranche spreads?
Seo, Sang Byung; Wachter, Jessica - 2016
Book / Working Paper
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Do Rare Events Explain CDX Tranche Spreads?
Seo, Sang Byung - 2020
Book / Working Paper
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Do Rare Events Explain CDX Tranche Spreads?
Seo, Sang Byung - 2016
Book / Working Paper
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Do Rare Events Explain Cdx Tranche Spreads?
Seo, Sang Byung - 2016
Book / Working Paper
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Pricing, risk and volatility in subordinated market models
Aguilar, Jean-Philippe; Kirkby, Justin Lars; Korbel, Jan - 2020
We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012390928
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Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe; Kirkby, Justin Lars - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014232627
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VIX modeling for a market insider
Hess, Markus - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014497258
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Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
Nguyen, Duy Phat; Borovkov, Konstantin A. - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014282476
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Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes
Mehrdoust, Farshid; Noorani, Idin - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014228463
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A semigroup approach to nonlinear Lévy processes
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012042149
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Simple formulas for pricing and hedging European options in the finite moment log-stable model
Aguilar, Jean-Philippe; Korbel, Jan - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200454
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Rough volatility and portfolio optimisation under small transaction costs
Schelling, Denis Matthias - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012533244
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Lévy processes on the cryptocurrency market
Zięba, Damian - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012196575
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Simple formulas for pricing and hedging European options in the finite moment log-stable model
Aguilar, Jean-Philippe; Korbel, Jan - 2019
We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012019316
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A semigroup approach to nonlinear Lévy processes
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
We study the relation between Lévy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear Lévy processes and nonlinear Markovian convolution semigroups. Second, we provide a condition on a family of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012009874
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Tempered stable processes with time-varying exponential tails
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013167779
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Crypto-assets portfolio selection and optimization : a COGARCH-Rvine approach
Mba, Jules Clement; Mwambi, Sutene Mwambetania - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013334682
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The Parisian and ultimate drawdowns of Lévy insurance models
Li, Shu; Zhou, Xiaowen - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013471204
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An unsupervised deep learning approach to solving partial integro-differential equations
Fu, Weilong; Hirsa, Ali - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013367923
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Smiles & smirks : volatility and leverage by jumps
Ballotta, Laura; Rayée, Grégory - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013206930
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Geometrically convergent simulation of the extrema of Lévy processes
González Cázares, Jorge Ignacio; Mijatović, Aleksandar; … - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013365090
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European option pricing using Gumbel distribution
Purohit, Seema Uday; Lalit, Prasad Narahar - 2022
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013188781
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On the running maximum of brownian motion and associated lookback options
Ho, Tak Yui - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012533193
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Actuarial geometry
Mildenhall, Stephen J. - 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011996651
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Actuarial geometry
Mildenhall, Stephen J. - 2017
Article
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Approximate pricing of barrier options in Lévy models
Jahncke, Giso - 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011776870
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No country for old distributions? : on the comparison of implied option parameters between the Brownian motion and variance gamma process
Ulze, Markus; Stadler, Johannes; Rathgeber, Andreas W. - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013258472
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