Add to ORKGThe goal of the paper is to show that some types of Levy processes such as the hyperbolic motion and the CGMY are particularly suitable for asset price modelling and option pricing. We wish to review some fundamental mathematic properties of Levy distributions, such as the one of infinite divisibility, and how they translate observed features of asset price returns. We explain how these processes are related to Brownian motion, the central process in finance, through stochastic time changes which can in turn be interpreted as a measure of the economic activity. Lastly, we focus on two particular classes of pure jump Levy processes, the general-ized hyperbolic model and the CGMYmodels, and report on the goodness of fit obtained both on stock...
Adopting a constant elasticity of variance formulation in the context of a general Levy process as t...
Three processes reecting persistence of volatility are formulated by evaluating three Levy processes...
The goal of this paper is to consider pure jump Lévy processes of finite variation with an infinite ...
In this paper we present parametric estimation of models for stock returns by describing price dynam...
It is widely accepted the use of the standard Brownian motion to model risky financial object, like ...
The assumption that observations are normally distributed is predominant in many areas of statistics...
In this study, the stock prices process is modelled by stochastic differential equation driven by a ...
This paper shows that the MSM estimator of European Option Pricing Models developed by Bossaerts and...
Mestrado em Matemática FinanceiraPrices fluctuations in markets, both liquid and illiquid, exhibit d...
In this paper, we introduce a class of quite general Lévy processes, with both a diffusion part and ...
This paper argues that asset price processes arising from market clearing conditions should be model...
This thesis is concerned with the small-time asymptotics and expansions of call option prices, when ...
We examine the performances of Levy jump models and affine jump-diffusion models in capturing the jo...
In the Black-Scholes option price model Brownian motion and the un-derlying Normal distribution play...
W ostatnich 20 latach teoria procesów Lévyego oraz innych procesów sto-chastycznych ze skokami, staj...
Adopting a constant elasticity of variance formulation in the context of a general Levy process as t...
Three processes reecting persistence of volatility are formulated by evaluating three Levy processes...
The goal of this paper is to consider pure jump Lévy processes of finite variation with an infinite ...
In this paper we present parametric estimation of models for stock returns by describing price dynam...
It is widely accepted the use of the standard Brownian motion to model risky financial object, like ...
The assumption that observations are normally distributed is predominant in many areas of statistics...
In this study, the stock prices process is modelled by stochastic differential equation driven by a ...
This paper shows that the MSM estimator of European Option Pricing Models developed by Bossaerts and...
Mestrado em Matemática FinanceiraPrices fluctuations in markets, both liquid and illiquid, exhibit d...
In this paper, we introduce a class of quite general Lévy processes, with both a diffusion part and ...
This paper argues that asset price processes arising from market clearing conditions should be model...
This thesis is concerned with the small-time asymptotics and expansions of call option prices, when ...
We examine the performances of Levy jump models and affine jump-diffusion models in capturing the jo...
In the Black-Scholes option price model Brownian motion and the un-derlying Normal distribution play...
W ostatnich 20 latach teoria procesów Lévyego oraz innych procesów sto-chastycznych ze skokami, staj...
Adopting a constant elasticity of variance formulation in the context of a general Levy process as t...
Three processes reecting persistence of volatility are formulated by evaluating three Levy processes...
The goal of this paper is to consider pure jump Lévy processes of finite variation with an infinite ...