GTS lévy model on technology of financial engineering

被引：0
|
作者：
Wang, Ch. [1 ]
机构：
[1] Math Dept. China JiLiang Univ, HangZhou, 310018, China
来源：
Computer Modelling and New Technologies | 2013年 / 17卷 / 04期
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：270 / 276
相关论文
共 50 条
  • [1] Lévy matrices and financial covariances
    Burda, Zdzislaw
    Jurkiewicz, Jerzy
    Nowak, Maciej A.
    Papp, Gábor
    Zahed, Ismail
    Acta Physica Polonica, Series B., 2003, 34 (10): : 4747 - 4763
  • [2] The Lévy LIBOR model
    Ernst Eberlein
    Fehmi Özkan
    Finance and Stochastics, 2005, 9 : 327 - 348
  • [3] Consumption-investment optimization problem in a Lévy financial model with transaction costs and làdlàg strategies
    E. Lepinette
    T. Q. Tran
    Mathematics and Financial Economics, 2020, 14 : 399 - 431
  • [4] First steps towards an equilibrium theory for Lévy financial markets
    Herzberg F.S.
    Annals of Finance, 2013, 9 (3) : 543 - 572
  • [5] Stochastic control of SDEs associated with Lévy generators and application to financial optimization
    Jonathan Bennett
    Jiang-Lun Wu
    Frontiers of Mathematics in China, 2010, 5 : 89 - 102
  • [6] Stochastic analysis of cholera model with Lévy jumps
    Yang, Weiming
    Gan, Lu
    Liao, Shu
    INTERNATIONAL JOURNAL OF BIOMATHEMATICS, 2024,
  • [7] Stochastic control of SDEs associated with L,vy generators and application to financial optimization
    Bennett, Jonathan
    Wu, Jiang-Lun
    FRONTIERS OF MATHEMATICS IN CHINA, 2010, 5 (01) : 89 - 102
  • [8] Verhulst model with Lévy white noise excitation
    A. A. Dubkov
    B. Spagnolo
    The European Physical Journal B, 2008, 65 : 361 - 367
  • [9] L,vy flights and L,vy-Schrodinger semigroups
    Garbaczewski, Piotr
    CENTRAL EUROPEAN JOURNAL OF PHYSICS, 2010, 8 (05): : 699 - 708
  • [10] Implementation of Lévy CARMA model in Yuima package
    Stefano M. Iacus
    Lorenzo Mercuri
    Computational Statistics, 2015, 30 : 1111 - 1141
12345