Construction of levy drivers for financial models

Jorge Hernández, Svetlozar T. Rachev

Research output: Contribution to journalArticlepeer-review

Abstract

We extend the Lévy-Khintchine representation for an infinitely divisible distribution to define a driving process in the context of the bond price framework developed earlier. We describe a methodology using subordination to construct such processes and we develop some examples in detail. COPYRIGHT 2006 EUDOXUS PRESS,LLC.

Original languageEnglish
Pages (from-to)335-356
Number of pages22
JournalJournal of Computational Analysis and Applications
Volume8
Issue number4
StatePublished - 2006

Keywords

  • Finance
  • Processes with independent increments
  • Semimartingales

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