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 22 for “"Lévy processes"”.
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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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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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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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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
… 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 mainly …
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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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Statistical inference based on characteristic functions for intractable likelihood problems
… functions. For some popular stochastic processes (e.g., Lévy processes, Lévy driven Ornstein-Uhlenbeck processes), the transition density may not be available. However, the (conditional) characteristic function is sometimes known. We study various statistical inference methods for …
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Approximation of prices for average-type options via bounds
… for underlying assets modelled as exponential Lévy processes and numerical examples are provided under a variety of these models.
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Efficient nonparametric inference for discretely observed compound Poisson processes
Compound Poisson processes are the textbook example of pure jump stochastic processes and the building blocks of Lévy processes. They have three defining parameters: the distribution of the jumps, the intensity driving the frequency at which these occur, and the drift. They are used in numerous …
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Stochastic Control, Optimal Saving, and Job Search in Continuous Time
… variables are here modeled as stochastic processes that each obey a specific stochastic differential equation, where uncertainty stems either from Poisson or Lévy processes. The results on the optimal behavior are derived by maximizing the individual expected lifetime utility. The first …
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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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An Exponential Formula for Random Variables Generated by Multiple Brownian Motions
… generated by classical Brownian motion, Lévy processes and fractional Brownian with Hurst index greater than 1/2.The relationship between the conditional expectation of a random variable (or fractional conditional expectation in the case of fractional Brownian motion)and that variable's …
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Stochastic Modelling and Approximate Bayesian Inference: Applications in Object Tracking and Intent Analysis
… providing accurate priors for underlying random processes and addressing the challenges of evaluating posterior distributions when exact computation is infeasible. Balancing novel contributions in both areas, this thesis highlights innovative stochastic models in Chapters 2 and 3, and puts …
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