Výsledky vyhledávání - "Processos de Lévy"

Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate

Autor: Dalila Guerdouh, Nabil Khelfallah, Josep Vives

Publikováno v: Journal of Risk and Financial Management; Volume 15; Issue 3; Pages: 143

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing tha

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::091852a3fd51cc80642d2a2b0fc0652c
https://hdl.handle.net/10419/258866

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Numerical methods for option pricing models based on Lévy processes

Autor: Paiva, Maria Inês Patrício

Publikováno v: Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP

Dissertação de Mestrado em Matemática apresentada à Faculdade de Ciências e Tecnologia O modelo de Black-Scholes foi um dos primeiros modelos de preços de opções europeias a ser aceite. Ainda hoje, este modelo desempenha um papel fundamental

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::9fe00d3db4e79c39cff110e08347cd9b
https://hdl.handle.net/10316/95508

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Weak convergence to a class of two-parameter Gaussian processes from a Lévy sheet

Autor: Bardina i Simorra, Xavier, Rovira Escofet, Carles

In this paper, we show an approximation in law, in the space of the continuous functions on $[0,1]^2$, of two-parameter Gaussian processes that can be represented as a Wiener type integral by processes constructed from processes that converge to the

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______963::a81ca0eb62e216d3bc9e6a97ca994927
http://hdl.handle.net/2445/190547

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Infinity activity Lévy models

Autor: Danila Maria Silva Fernandes de Almeida

Publikováno v: Biblioteca Digital de Teses e Dissertações da USP
Universidade de São Paulo (USP)
instacron:USP
Repositório Institucional da UFSCAR
Universidade Federal de São Carlos (UFSCAR)
instacron:UFSCAR

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) In this work, we present a class of pure jump Lévy processes A, with internal filtration and Itô-Lévy decomposition and we established an explicit forms for martingale represe

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::930fccbd08f124706c7a849d36ce6572

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Pricing american-style options under the Heston model using the Cos approximation

Autor: Piedade, Miguel Ângelo Vieira da

Publikováno v: Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP

Tese de mestrado em Matemática Financeira, Universidade de Lisboa, Faculdade de Ciências, 2020 Submitted by Cristina Manessiez (camanessiez@fc.ul.pt) on 2021-05-22T13:09:36Z No. of bitstreams: 1 ulfc126297_tm_Miguel_Piedade.pdf: 1226782 bytes, chec

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______3056::05ec8dbad0b5251a6af0bd1f07cf4967

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Option pricing in exponential Lévy models with transaction costs

Autor: Cantarutti, Nicola

Publikováno v: Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP

Doutoramento em Matemática Aplicada à Economia e Gestão In this thesis we present a new model for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential Lévy process. The mo

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Weak approximation of the complex brownian sheet and applications to SPDES

Autor: Márquez Arias, Juan Pablo Roberto

Publikováno v: TDX (Tesis Doctorals en Xarxa)
TDR: Tesis Doctorales en Red
CBUC, CESCA
TDR. Tesis Doctorales en Red
Consejo Superior de Investigaciones Científicas (CSIC)

Aquest treball es desenvolupa en l'àrea de la teoria de la probabilitat i dels processos estocàstics. Més en concret en l'àrea de la convergència feble i en l'àrea de les equacions diferencials en derivades parcials estocàstiques. En ell consi

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::44f65907600dec712cb0d482aa36d7f2
http://hdl.handle.net/10803/669219

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Dissertation/ Thesis

Modelagem de séries temporais financeiras multidimensionais via processos estocásticos e cópulas de Lévy

Autor: Santos, Edson Bastos e

O principal objetivo deste estudo é descrever modelos para séries temporais de ativos financeiros que sejam robustos às tradicionais hipóteses: distribuição gaussiana e continuidade. O primeiro capítulo está preocupado em apresentar, de uma m

Externí odkaz: http://www.teses.usp.br/teses/disponiveis/12/12139/tde-09022006-153721/

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Processos de Lévy

Autor: Zamora Font, Oriol

Publikováno v: Dipòsit Digital de la UB
Universidad de Barcelona

Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2019, Director: Josep Vives i Santa Eulàlia
[en] The aim of this project is to prove the two fundamental theorems of the theory of Lévy Process

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::130a1337e457769772c88466317bdd2b
http://hdl.handle.net/2445/156379

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Dissertation/ Thesis

Teorema de decomposição de Lévy-Itô

Autor: Junior, S.A.A.P.

Publikováno v: Repositório Institucional da UFESUniversidade Federal do Espírito SantoUFES.

Made available in DSpace on 2018-08-01T22:30:14Z (GMT). No. of bitstreams: 1 tese_8194_dissertação corrigida 02-2015.pdf: 832808 bytes, checksum: 3885ca661448b9cac4e45a1c388cb40f (MD5) Previous issue date: 2014-12-15
Durante as últimas décad

Externí odkaz: http://repositorio.ufes.br/handle/10/7507

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