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 15 of 15 for “"Levy processes"”.
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On intrinsic ultracontractivity of perturbed Levy processes and applications of Levy processes in actuarial mathematics
In this thesis, we study certain aspects of Levy processes and their applications. In the first part of this thesis, we study the applications of Levy processes in actuarial mathematics. Our topics are closely related to the generalized Ornstein-Uhlenbeck processes. We investigate their intimate …
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Stochastic Volatility with Levy Processes: Calibration and Pricing
In this thesis, stochastic volatility models with Levy processes are treated in parameter calibration by the Carr-Madan fast Fourier transform (FFT) method and pricing through the partial integro-differential equation (PIDE) approach. First, different models where the underlying log stock price or …
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Analytical Methods For Levy Processes With Applications To Finance
… a self-contained introduction to some popular Levy models and to two key objects from the theory of Levy processes: the Wiener-Hopf factors and the exponential functional. We pay special attention to techniques and results associated with two “analytically tractable” families of processes known …
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Pricing discretely monitored barrier options under exponential-Levy processes
… monitored barrier options under exponential-Levy ´ processes. Single-barrier knock-out options are evaluated under the Black-Scholes framework, the normal inverse Gaussian model and the Variance Gamma model. These models are widely implemented when dealing with pricing options sensitive to …
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Algebraic structures in stochastic differential equations
… for stochastic differential equations driven by Levy processes with uniformly lower mean square remainder than that of the scheme of the same strong order of convergence obtained by truncating the stochastic Taylor series. In doing so we generalize recent results concerning stochastic …
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Quantum stochastic flows on universal partial isometry matrix C*-algebras
… a specialisation of the above we then consider Levy processes on universal C*-bialgebras generated by partial isometry matrices. Similarly to the C*-algebra scenario this class of C*-bialgebras is a large class which includes all universal compact quantum groups. The added structure of the …
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Free products of operator spaces and free Markov processes
… of the two C*-algebras.</p><p>Free Markov processes are also investigated in Voiculescu's free probability theory. This highly non-commutative notion generalizes that of free Brownian motion and free Levy processes. Some free Markov processes are realized as solutions to free stochastic …
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Potential Theory for Subordinate Brownian Motion by Tempered Stable Subordinator
In this thesis, a class of processes called tempered stable subordinators is defined. By subordinating Brownian motion {Bt : t ≥ 0} with independent tempered stable subordinators {Zt : t ≥ 0}, we can get a class of Levy processes Xt := BZtw (o) in Rd (d ≥ 2). Some well known processes such …
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Small-time Chung Laws for L evy processes
… and functional Chung laws for a large class of Levy processes lying in the domain of attraction of strictly stable laws at zero. In particular, our results extend the work of Buchmann and Maller (2011) to encompass processes with vanishing Gaussian component lying in the domain of attraction of …
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Small-time Chung Laws for L evy processes
… and functional Chung laws for a large class of Levy processes lying in the domain of attraction of strictly stable laws at zero. In particular, our results extend the work of Buchmann and Maller (2011) to encompass processes with vanishing Gaussian component lying in the domain of attraction of …
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Contributions to Semiparametric Inference to Biased-Sampled and Financial Data
… part studies the use of empirical likelihood on Levy processes that are used to model the dynamics exhibited in the financial data. The second part is a study of inferential procedure for survival data collected under various biased sampling schemes in transformation and the accelerated failure …
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Pricing multi-asset options in exponential levy models
… dissertation looks at implementing exponential Levy models whereby the un- ´ derlyings are driven by Levy processes, which are able to account for stylised facts ´ that traditional models do not, in order to price basket options more efficiently. In particular, two exponential Levy models are …
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The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures
Finanzmathematische Modelle sind in den 90ern sowohl von der <br>Mathematik her deutlich weiterentwickelt, als auch verstärkt in <br>Finanzinstitutionenen angewandt worden. Hierbei geht der Trend dahin, <br>die in Standardansätzen verwandte Brownsche Bewegung durch <br>realistischere Prozesse, die …
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Malliavin Calculus in the Canonical Levy Process: White Noise Theory and Financial Applications.
… a white noise theory for the Canonical Levy process by Sole, Utzet, and Vives. The construction is based on the alternative construction of the chaos expansion of square integrable random variable. Then, we showed a Clark-Ocone theorem in L^2(P) and under the change of measure. The …
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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.