Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 63 for “"Lévy"”.
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Lévy copulae for stock returns
… Innertagesverhaltens der Vermögenswerte mittels Lévy-Prozesse und Lévy-Copulas. Das dynamische Modell basiert auf Annahmen der Form von margin-tail-Integralen und der Lévy-Copula-Familie. Es ermöglicht die Erfassung von zeitlich veränderlichen Zusammenhängen. Das ausgearbeitete Modell hat ein …
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SPDEs with Infinite-Variance Lévy Noise
… partial differential equations (SPDEs) driven by Lévy noise. The main contributions of this work are contained in the recent publications [32] and [5]. Article [32] focuses on a stochastic wave equation with multiplicative Lévy noise. We establish the existence and uniqueness of a random field …
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Approximations to the Lévy LIBOR Model
… thesis, we study the LIBOR Market Model and the Lévy-LIBOR. We first look at the construction of LIBOR Market Model (LMM) and address the major problems associated with specifically the drift component of LMM. Due to the complexity of the drift for LMM, the Monte Carlo method seems to be the …
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Statistical analysis for discretely observed Lévy processes
We consider Lévy processes X_t given by the Lévy triplet (mu(theta),sigma^2(theta),nu_theta(dx)), where mu(theta) denotes the drift, sigma^2(theta) the diffusion part, nu_theta(dx) the Lévy measure, and theta is some unknown parameter. Our aim is to establish efficiency results for the estimation …
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Simulation of asset prices using Lévy processes
This dissertation focuses on a Lévy process driven framework for the pricing of financial instruments. The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- …
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Lévy processes in credit risk and market models
… behavior than that implied by these models. Lévy processes are an appropriate tool to increase accuracy of models in finance. They have been used to model stock prices, and term structures of interest rates, thus allowing more accurate derivative pricing and risk management. <br>This study …
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Stochastic time-changed Lévy processes with their implementation
We focus on the implementation details for Lévy processes and their extension to stochastic volatility models for pricing European vanilla options and exotic options. We calibrated five models to European options on the S&P500 and used the calibrated models to price a cliquet option using Monte …
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Lévy Processes in Finance: Theory, Numerics, and Empirical Facts
Levy-Prozesse, das heißt stochastische Prozesse mit unabhängigen <br>und stationären Zuwächsen, stellen eine Verallgemeinerung der <br>Brownschen Bewegung dar. Aufgrund ihrer günstigen analytischen <br>Eigenschaften hat sich die Brownsche Bewegung als Standardmodell <br>für viele Prozesse in der …
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Computational option pricing under jump diffusion and Lévy processes
… for the option pricing under jump-diffusion and Lévy processes is presented and its effectiveness is demonstrated on a range of pricing models.
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Time-inhomogeneous Lévy processes in cross-currency market models
Anwendung von der zeit-inhomogenen Levy Prozessen <br>für die Bewertung von Cross-Currency Derivaten.
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Sampling error of the supremum of a Lévy process
… continuous supremum and discrete maximum of a Lévy process that is often used in finance. We will show that the expected difference is a quantity that highly depends on the variational property of the underlying Lévy process. Two techniques are used with respect to the cases of the complexity …
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Compound Lévy random bridges and credit risky asset pricing
… we study random bridges of a certain class of Lévy processes and their applications to credit risky asset pricing. In the first part, we construct the compound random bridges(CLRBs) and analyze some tools and properties that make them suitable models for information processes. We focus on the …
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Comparison of semimartingales and Lévy processes with applications to financial mathematics
… and the finite-dimensional distributions of Lévy processes. Appropriate ordering of the semimartingale characteristics implies ordering of the processes. We derive the propagation of order property for some classes of multivariate diffusions and mulitvariate diffusions with jumps. …
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Time-inhomogeneous Lévy processes in interest rate and credit risk models
… risk model, all driven <br>by time-inhomogeneous Lévy processes, i.e. stochastic processes whose increments <br>are independent but in general not stationary. <br> <br>In the interest rate part, we discuss a Heath-Jarrow-Morton forward rate <br>model (the Lévy term structure model), a model for …
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Intrinsic contractivity for some non-symmetric Lévy processes with non-local operators
In this thesis we consider two types of non-symmetric processes, which are similar to the symmetric α-stable process. We derive sharp estimates for the eigenfunctions of the Feynman- Kac semigroups of these two types of processes and established their intrinsic contractivities. Our methods are …
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Theorems of Wiener-Lévy type for integral operators in C<sub>p</sub>
The classical theorem of N. Wiener and P. Lévy states that if f(x) has an absolutely convergent Fourier series and W(z) is an analytic function whose domain contains the range of f(x), then W[f(x)] also has an absolutely convergent Fourier series. The main result of this paper is an analog of the …
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