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Showing 1 to 4 of 4 for “"Lévy-Prozesse"”.

  1. Empirischer Vergleich von Optionspreismodellen auf Basis zeitdeformierter Lévy-Prozesse: Kalibrierung, Hedging, Modellrisiko

    Dahlbokum, AchimUniversität Köln2007

    regensburg-diss

  2. Harnack inequalities and applications for stochastic equations

    Ouyang, Shun-XiangUniversität Bielefeld

    … Differentialgleichungen mit Gauß'schem oder Lévy-Rauschen, mehrwertige stochastische Differentialgleichungen in endlich-dimensionalen Räumen und mehrwertige stochastische Evolutionsgleichungen in Banach-Räumen. Die Anwendungen der Harnack-Ungleichungen beinhalten das Studium von …

    bielefeld Repository record

  3. Time-inhomogeneous Lévy processes in interest rate and credit risk models

    Kluge, Wolfgang

    … 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 …

    freiburg-diss Repository record

  4. Stochastic Control, Optimal Saving, and Job Search in Continuous Time

    Sennewald, KenTechnische Universität Dresden

    … 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 chapter is concerned with the necessary mathematical tools, the change-of-variables formula and the …

    qucosa-diss