المؤلفون: Wendong Zheng, Chi Hung Yuen, Yue Kuen Kwok

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.math.ust.hk/~maykwok/piblications/Num_algorithm_variance_options_2014.pdf.

مصطلحات موضوعية: variance swaps, volatility swaps, variance options, time-changed Lévy processes, discrete

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.434.5161; http://www.math.ust.hk/~maykwok/piblications/Num_algorithm_variance_options_2014.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.434.5161
http://www.math.ust.hk/~maykwok/piblications/Num_algorithm_variance_options_2014.pdf

المؤلفون: Gurdip Bakshi A, Peter Carr B, Liuren Wu D

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.math.nyu.edu/research/carrp/papers/pdf/bcwjfe08.pdf.

مصطلحات موضوعية: Stochastic discount factors, International economy, Stochastic risk premium, Stochastic skewness, Currency options, Foreign exchange rate dynamics, Time-changed Lévy processes, Unscented Kalman filter

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.348.3966; http://www.math.nyu.edu/research/carrp/papers/pdf/bcwjfe08.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.348.3966
http://www.math.nyu.edu/research/carrp/papers/pdf/bcwjfe08.pdf

المؤلفون: Liuren Wu

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://faculty.baruch.cuny.edu/lwu/papers/VarianceDynamics.pdf.

مصطلحات موضوعية: Return variance dynamics, variance risk premium, options, variance swap rates, high-frequency returns, market microstructure, realized variance, quadratic variation, time-changed Lévy processes

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.619.1332; http://faculty.baruch.cuny.edu/lwu/papers/VarianceDynamics.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.619.1332
http://faculty.baruch.cuny.edu/lwu/papers/VarianceDynamics.pdf

المؤلفون: Peter Carra, B Liuren Wuc

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.wlu.ca/documents/19691/Carr-Peter-cdscurrency15.pdf.

مصطلحات موضوعية: Currency options, sovereign credit default swaps, default arrival rate, return variance dynamics, term structure of credit spread, option pricing, time-changed Lévy processes. We thank Giorgio Szego (the editor

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.583.4411; http://www.wlu.ca/documents/19691/Carr-Peter-cdscurrency15.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.583.4411
http://www.wlu.ca/documents/19691/Carr-Peter-cdscurrency15.pdf

المؤلفون: Belomestny, Denis, Schoenmakers, John G.M.

مصطلحات موضوعية: Skorohod embedding problem, Lévy process, Mellin transform, Laplace transform, variance mixture models, time-changed Lévy processes

Time: 510

وصف الملف: application/pdf

الاتاحة: https://doi.org/10.34657/3239
https://oa.tib.eu/renate/handle/123456789/2989

المؤلفون: Belomestny, Denis, Panov, Vladimir

مصطلحات موضوعية: ddc:310, ddc:330, ddc:620, Abelian theorem, Blumenthal-Getoor index, time-changed Levy processes

Relation: Discussion Paper / SFB 823;39/2012; http://hdl.handle.net/2003/29646; http://dx.doi.org/10.17877/DE290R-10364

الاتاحة: http://hdl.handle.net/2003/29646
https://doi.org/10.17877/DE290R-10364

المؤلفون: Belomestny, Denis, Schoenmakers, John G. M.

مصطلحات موضوعية: article, ddc:510, Skorohod embedding problem -- Levy process -- Mellin transform -- Laplace transform -- variance mixture models -- time-changed Levy processes

Relation: 0304-4149 -- Stochastic Processes and their Applications -- Stochastic Processes Appl. -- Stoch. Processes Appl. -- 184928-1 -- http://sherpa.ac.uk/romeo/issn/0304-4149/ -- http://www.elsevier.com/wps/product/cws_home/505572/description; https://doi.org/10.1016/j.spa.2016.01.005; https://archive.wias-berlin.de/receive/wias_mods_00005822

الاتاحة: https://doi.org/10.1016/j.spa.2016.01.005
https://archive.wias-berlin.de/receive/wias_mods_00005822

المؤلفون: Zeng, Pingping, Kwok, Yuekuen

مصطلحات موضوعية: Arithmetic Asian options, Conditioning variable approach, Partially exact and bounded approximations, Time-changed Lévy processes

Relation: https://repository.hkust.edu.hk/ir/Record/1783.1-80925; Quantitative Finance, v. 16, (9), September 2016, p. 1375-1391; https://doi.org/10.1080/14697688.2016.1149610; http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=1469-7688&rft.volume=16&rft.issue=9&rft.date=2016&rft.spage=1375&rft.aulast=Zeng&rft.aufirst=P.&rft.atitle=Pricing+bounds+and+approximations+for+discrete+arithmetic+Asian+options+under+time-changed+L%C3%A9vy+processes&rft.title=Quantitative+finance; http://www.scopus.com/record/display.url?eid=2-s2.0-84964434496&origin=inward; http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=000382559300005

الاتاحة: https://repository.hkust.edu.hk/ir/Record/1783.1-80925
https://doi.org/10.1080/14697688.2016.1149610
http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=1469-7688&rft.volume=16&rft.issue=9&rft.date=2016&rft.spage=1375&rft.aulast=Zeng&rft.aufirst=P.&rft.atitle=Pricing+bounds+and+approximations+for+discrete+arithmetic+Asian+options+under+time-changed+L%C3%A9vy+processes&rft.title=Quantitative+finance
http://www.scopus.com/record/display.url?eid=2-s2.0-84964434496&origin=inward
http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=000382559300005

المؤلفون: Zeng, Pingping, Kwok, Yue Kuen

مصطلحات موضوعية: Fast Hilbert transform, Time-changed Levy processes, Barrier options, Dividend-ruin model, Bermudan options

Relation: http://repository.ust.hk/ir/Record/1783.1-63386; SIAM Journal on Scientific Computing, v. 36, (3), 2014; https://doi.org/10.1137/130922495; http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=1064-8275&rft.volume=36&rft.issue=3&rft.date=2014&rft.spage=B450&rft.aulast=Zeng&rft.aufirst=Pingping&rft.atitle=PRICING+BARRIER+AND+BERMUDAN+STYLE+OPTIONS+UNDER+TIME-CHANGED+LEVY+PROCESSES%3A+FAST+HILBERT+TRANSFORM+APPROACH&rft.title=SIAM+journal+on+scientific+computing; http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=000338783300028; http://www.scopus.com/record/display.url?eid=2-s2.0-84903648823&origin=inward

الاتاحة: http://repository.ust.hk/ir/Record/1783.1-63386
https://doi.org/10.1137/130922495
http://lbdiscover.ust.hk/uresolver?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rfr_id=info:sid/HKUST:SPI&rft.genre=article&rft.issn=1064-8275&rft.volume=36&rft.issue=3&rft.date=2014&rft.spage=B450&rft.aulast=Zeng&rft.aufirst=Pingping&rft.atitle=PRICING+BARRIER+AND+BERMUDAN+STYLE+OPTIONS+UNDER+TIME-CHANGED+LEVY+PROCESSES%3A+FAST+HILBERT+TRANSFORM+APPROACH&rft.title=SIAM+journal+on+scientific+computing
http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=LinksAMR&SrcApp=PARTNER_APP&DestLinkType=FullRecord&DestApp=WOS&KeyUT=000338783300028
http://www.scopus.com/record/display.url?eid=2-s2.0-84903648823&origin=inward

المؤلفون: Belomestny, Denis, Panov, Vladimir

مصطلحات موضوعية: Time-changed Lévy processes, Abelian theorem, Blumenthal-Getoor index, 60G51, 62M99, 62F12

وصف الملف: application/pdf

Relation: http://projecteuclid.org/euclid.ejs/1386943910; Electron. J. Statist. 7 (2013), 2970-3003

الاتاحة: http://projecteuclid.org/euclid.ejs/1386943910
https://doi.org/10.1214/13-EJS870

المؤلفون: Ueltzhöfer, Florian Alexander Johann

المساهمون: Klüppelberg, Claudia (Prof. Dr.), Jacod, Jean (Prof. Dr.), Podolskij, Mark (Prof. Dr.)

مصطلحات موضوعية: Mathematik, Markow-Prozesse, Zeittransformierte Lévy-Prozesse, Lévy-Kern, Kerndichteschätzung, Zentraler Grenzwertsatz, Markov processes, Time-changed Lévy processes, Lévy kernel, Kernel density estimation, CLT, ddc:510

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=od_______518::71ddb05f912d080a0a937bba7879468a
https://mediatum.ub.tum.de/1126101

المؤلفون: Belomestny, Denis

مصطلحات موضوعية: Time-changed Lévy processes, dependence, pointwise and uniform rates of convergence, composite function estimation, 62F10, 62J12, 62F25, 62H12

وصف الملف: application/pdf

Relation: https://projecteuclid.org/euclid.aos/1319595463; Ann. Statist. 39, no. 4 (2011), 2205-2242

الاتاحة: https://projecteuclid.org/euclid.aos/1319595463
https://doi.org/10.1214/11-AOS901

المؤلفون: Vladimir Panov, Denis Belomestny

المصدر: Electron. J. Statist. 7 (2013), 2970-3003

مصطلحات موضوعية: Statistics and Probability, Discrete mathematics, Class (set theory), Stochastic process, Time-changed Lévy processes, Estimator, Abelian theorem, Minimax, Lévy process, Blumenthal-Getoor index, Convergence (routing), Consistent estimator, Mathematik, 62M99, Statistics, Probability and Uncertainty, 62F12, 60G51, Mathematics

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3ea3cd3a619e55748bc492a4f761af8f
https://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&origin=inward&scp=84892399865

المؤلفون: 陳正暉, 廖四郎, Liao, Szu-Lang

المساهمون: 金融系

مصطلحات موضوعية: Optimal portfolio choice, stochastic volatility, time-changed Lévy processes, leverage effect, volatility feedback effect, asymmetric volatility, 最適投資組合, 隨機波動度, 時間轉換Lévy過程, 槓桿效果, 波動度回饋效果, 波動度不對稱, eco

Relation: http://nccur.lib.nccu.edu.tw/bitstream/140.119/120954/1/135-166.pdf; http://nccur.lib.nccu.edu.tw//handle/140.119/120954

الاتاحة: http://nccur.lib.nccu.edu.tw/bitstream/140.119/120954/1/135-166.pdf
http://nccur.lib.nccu.edu.tw//handle/140.119/120954

المؤلفون: Denis Belomestny

المصدر: Ann. Statist. 39, no. 4 (2011), 2205-2242

مصطلحات موضوعية: Statistics and Probability, Characteristic function (probability theory), Time-changed Lévy processes, Inference, Mathematics - Statistics Theory, Statistics - Applications, Lévy process, Inverse Gaussian distribution, symbols.namesake, Statistical inference, Applied mathematics, 62F25, Statistics - Methodology, Mathematics, Pointwise convergence, dependence, composite function estimation, Minimax, Mathematik, symbols, 62J12, Identifiability, 62H12, pointwise and uniform rates of convergence, Statistics, Probability and Uncertainty, 62F10

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fd52ec8bf3eef287b11bff09b9eccec9
https://doi.org/10.1214/11-aos901

المؤلفون: Mathieu Rosenbaum, Peter Tankov

المساهمون: Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS)

المصدر: Stochastic Processes and their Applications
Stochastic Processes and their Applications, Elsevier, 2011, 121 (7), pp.1607-1632
Stochastic Processes and their Applications, 2011, 121 (7), pp.1607-1632. ⟨10.1016/j.spa.2011.03.013⟩

مصطلحات موضوعية: Statistics and Probability, Time-changed Lévy processes, Central limit theorem, Overshoots, 01 natural sciences, Lévy process, Stable process, Renormalization, 010104 statistics & probability, Blumenthal–Getoor index, Modelling and Simulation, 0502 economics and business, Convergence (routing), Calculus, Applied mathematics, 0101 mathematics, ComputingMilieux_MISCELLANEOUS, Mathematics, Hitting times, 050208 finance, Applied Mathematics, 05 social sciences, Hitting time, Estimator, Sampling (statistics), [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], Modeling and Simulation, Statistics of high frequency data, Stable processes

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::594debc93d165e88ff80ac0f00693a98
https://hal.archives-ouvertes.fr/hal-00659609

المؤلفون: Ueltzhöfer, Florian Alexander Johann

المساهمون: Klüppelberg, Claudia (Prof. Dr.), Jacod, Jean (Prof. Dr.), Podolskij, Mark (Prof. Dr.)

مصطلحات موضوعية: info:eu-repo/classification/ddc/510, Mathematik, Markov processes, Time-changed Lévy processes, Lévy kernel, Kernel density estimation, CLT, Markow-Prozesse, Zeittransformierte Lévy-Prozesse, Lévy-Kern, Kerndichteschätzung, Zentraler Grenzwertsatz

وصف الملف: application/pdf

Relation: https://mediatum.ub.tum.de/1126101; https://mediatum.ub.tum.de/doc/1126101/document.pdf

الاتاحة: https://mediatum.ub.tum.de/1126101
https://mediatum.ub.tum.de/doc/1126101/document.pdf
http://nbn-resolving.de/urn:nbn:de:bvb:91-diss-20130318-1126101-0-5

المؤلفون: 陳正暉

المساهمون: 廖四郎, Liao,Szu Lang

مصطلحات موضوعية: 最適投資組合, 隨機波動度, 時間轉換Lévy過程, 槓桿效果, 波動度回饋效果, 波動度不對稱, Optimal portfolio choice, stochastic volatility, time-changed Lévy processes, leverage effect, volatility feedback effect, asymmetric volatility, eco

Time: 43

Relation: http://nccur.lib.nccu.edu.tw//handle/140.119/49661

الاتاحة: http://nccur.lib.nccu.edu.tw//handle/140.119/49661

المؤلفون: 陳正暉, Chen,Zheng Hui

مصطلحات موضوعية: 最適投資組合, 隨機波動度, 時間轉換Lévy過程, 槓桿效果, 波動度回饋效果, 波動度不對稱, Optimal portfolio choice, stochastic volatility, time-changed Lévy processes, leverage effect, volatility feedback effect, asymmetric volatility

الاتاحة: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0093352510%22.

Additional Titles: Über die Schätzung des Sprungverhaltens zeitstetiger stochastischer Prozesse

المؤلفون: Jacod, Jean (Prof. Dr.), Klüppelberg, Claudia (Prof. Dr.), Podolskij, Mark (Prof. Dr.), Ueltzhöfer, Florian Alexander Johann

مصطلحات الفهرس: Markov processes;Time-changed Lévy processes;Lévy kernel;Kernel density estimation;CLT, Markow-Prozesse;Zeittransformierte Lévy-Prozesse;Lévy-Kern;Kerndichteschätzung;Zentraler Grenzwertsatz, ddc:510, Mathematik, thesis, doc-type:doctoralThesis