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.
Results
Showing 1 to 2 of 2 for “"time-inhomogeneous Lévy processes"”.
-
Time-inhomogeneous Lévy processes in cross-currency market models
Anwendung von der zeit-inhomogenen Levy Prozessen <br>für die Bewertung von Cross-Currency Derivaten.
-
Time-inhomogeneous Lévy processes in interest rate and credit risk models
… and a credit 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 …