Construction of levy drivers for financial models

Jorge Hernández; Svetlozar T. Rachev

Construction of levy drivers for financial models

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	335-356
Number of pages	22
Journal	Journal of Computational Analysis and Applications
Volume	8
Issue number	4
State	Published - 2006

Keywords

Finance
Processes with independent increments
Semimartingales

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abstract = "We extend the L{\'e}vy-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.",

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KW - Semimartingales

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