Madan, Dilip B.; Wang, King Financial activity time. (English) Zbl 07788143 Front. Math. Finance 2, No. 4, 416-437 (2023). MSC: 91G15 60G18 60G51 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Front. Math. Finance 2, No. 4, 416--437 (2023; Zbl 07788143) Full Text: DOI
Aksamit, Anna; Li, Libo; Rutkowski, Marek Generalized BSDE and reflected BSDE with random time horizon. (English) Zbl 07707082 Electron. J. Probab. 28, Paper No. 40, 41 p. (2023). MSC: 60H30 60H10 60G40 91G40 PDFBibTeX XMLCite \textit{A. Aksamit} et al., Electron. J. Probab. 28, Paper No. 40, 41 p. (2023; Zbl 07707082) Full Text: DOI Link
Madan, Dilip B.; Wang, King The economics of time as it is embedded in the prices of options§. (English) Zbl 1518.91285 Quant. Finance 23, No. 4, 579-593 (2023). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Quant. Finance 23, No. 4, 579--593 (2023; Zbl 1518.91285) Full Text: DOI
Brück, Florian Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences. (English) Zbl 1520.60001 J. Multivariate Anal. 193, Article ID 105117, 22 p. (2023). MSC: 60-08 60G18 60G70 PDFBibTeX XMLCite \textit{F. Brück}, J. Multivariate Anal. 193, Article ID 105117, 22 p. (2023; Zbl 1520.60001) Full Text: DOI arXiv
Madan, Dilip B.; Wang, King Option surface statistics with applications. (English) Zbl 1505.91385 Int. J. Theor. Appl. Finance 25, No. 6, Article ID 2250024, 16 p. (2022). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Int. J. Theor. Appl. Finance 25, No. 6, Article ID 2250024, 16 p. (2022; Zbl 1505.91385) Full Text: DOI
Elliott, Robert; Madan, Dilip B.; Wang, King High dimensional Markovian trading of a single stock. (English) Zbl 1500.91130 Front. Math. Finance 1, No. 3, 375-396 (2022). MSC: 91G15 60G15 60G51 PDFBibTeX XMLCite \textit{R. Elliott} et al., Front. Math. Finance 1, No. 3, 375--396 (2022; Zbl 1500.91130) Full Text: DOI
Madan, Dilip B.; Wang, King Implied price processes anchored in statistical realizations. (English) Zbl 1500.91138 Front. Math. Finance 1, No. 3, 321-342 (2022). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Front. Math. Finance 1, No. 3, 321--342 (2022; Zbl 1500.91138) Full Text: DOI
Madan, Dilip B.; Wang, King Two sided efficient frontiers at multiple time horizons. (English) Zbl 1498.91472 Ann. Finance 18, No. 3, 327-353 (2022). MSC: 91G30 91G10 PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Ann. Finance 18, No. 3, 327--353 (2022; Zbl 1498.91472) Full Text: DOI
Madan, Dilip B.; Wang, King Stationary increments reverting to a tempered fractional Lévy process (TFLP). (English) Zbl 07562216 Quant. Finance 22, No. 7, 1391-1404 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{D. B. Madan} and \textit{K. Wang}, Quant. Finance 22, No. 7, 1391--1404 (2022; Zbl 07562216) Full Text: DOI
Elliott, Robert J.; Madan, Dilip B.; Wang, King Filtering response directions. (English) Zbl 1476.91182 SIAM J. Financ. Math. 12, No. 3, 1285-1306 (2021). MSC: 91G20 62P05 62M20 PDFBibTeX XMLCite \textit{R. J. Elliott} et al., SIAM J. Financ. Math. 12, No. 3, 1285--1306 (2021; Zbl 1476.91182) Full Text: DOI
Brignone, Riccardo; Kyriakou, Ioannis; Fusai, Gianluca Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models. (English) Zbl 1460.91213 Insur. Math. Econ. 96, 232-247 (2021). MSC: 91G05 91G20 60J70 PDFBibTeX XMLCite \textit{R. Brignone} et al., Insur. Math. Econ. 96, 232--247 (2021; Zbl 1460.91213) Full Text: DOI
Madan, Dilip B. Multivariate distributions for financial returns. (English) Zbl 1457.91384 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050041, 32 p. (2020). MSC: 91G20 62P05 62H05 PDFBibTeX XMLCite \textit{D. B. Madan}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050041, 32 p. (2020; Zbl 1457.91384) Full Text: DOI
Jammalamadaka, S. Rao; Taufer, Emanuele Semi-parametric estimation of the autoregressive parameter in non-Gaussian Ornstein-Uhlenbeck processes. (English) Zbl 07551987 Commun. Stat., Simulation Comput. 48, No. 9, 2791-2811 (2019). MSC: 62-XX PDFBibTeX XMLCite \textit{S. R. Jammalamadaka} and \textit{E. Taufer}, Commun. Stat., Simulation Comput. 48, No. 9, 2791--2811 (2019; Zbl 07551987) Full Text: DOI
Li, Lingfei; Mendoza-Arriaga, Rafael Equivalent measure changes for subordinate diffusions. (English) Zbl 1505.60046 Stoch. Models 35, No. 4, 357-390 (2019). MSC: 60G30 60J76 PDFBibTeX XMLCite \textit{L. Li} and \textit{R. Mendoza-Arriaga}, Stoch. Models 35, No. 4, 357--390 (2019; Zbl 1505.60046) Full Text: DOI
Pindza, Edson; Youbi, Francis; Maré, Eben; Davison, Matt Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models. (English) Zbl 1418.91601 Discrete Contin. Dyn. Syst., Ser. S 12, No. 3, 625-643 (2019). MSC: 91G60 65M70 65R20 41A10 41A20 91G20 PDFBibTeX XMLCite \textit{E. Pindza} et al., Discrete Contin. Dyn. Syst., Ser. S 12, No. 3, 625--643 (2019; Zbl 1418.91601) Full Text: DOI
Bouzianis, George; Hughston, Lane P. Determination of the Lévy exponent in asset pricing models. (English) Zbl 1419.91605 Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1950008, 18 p. (2019). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{G. Bouzianis} and \textit{L. P. Hughston}, Int. J. Theor. Appl. Finance 22, No. 1, Article ID 1950008, 18 p. (2019; Zbl 1419.91605) Full Text: DOI arXiv
Szabłowski, Paweł J. Markov processes, polynomial martingales and orthogonal polynomials. (English) Zbl 1498.60313 Stochastics 90, No. 1, 61-77 (2018). MSC: 60J25 60G42 PDFBibTeX XMLCite \textit{P. J. Szabłowski}, Stochastics 90, No. 1, 61--77 (2018; Zbl 1498.60313) Full Text: DOI arXiv
Fengler, Matthias R.; Melnikov, Alexander GARCH option pricing models with Meixner innovations. (English) Zbl 1405.91614 Rev. Deriv. Res. 21, No. 3, 277-305 (2018). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{M. R. Fengler} and \textit{A. Melnikov}, Rev. Deriv. Res. 21, No. 3, 277--305 (2018; Zbl 1405.91614) Full Text: DOI Link
Hess, Markus Cliquet option pricing with Meixner processes. (English) Zbl 1390.91301 Mod. Stoch., Theory Appl. 5, No. 1, 81-97 (2018). MSC: 91G20 60G51 60H10 60H30 PDFBibTeX XMLCite \textit{M. Hess}, Mod. Stoch., Theory Appl. 5, No. 1, 81--97 (2018; Zbl 1390.91301) Full Text: DOI arXiv
Perera, Sandun; Buckley, Winston; Long, Hongwei Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps. (English) Zbl 1391.91127 Ann. Oper. Res. 262, No. 1, 213-238 (2018). MSC: 91B64 91G80 60J75 93E20 PDFBibTeX XMLCite \textit{S. Perera} et al., Ann. Oper. Res. 262, No. 1, 213--238 (2018; Zbl 1391.91127) Full Text: DOI
Company, Rafael; Egorova, Vera N.; El Fakharany, Mohamed; Jódar, Lucas; Soleymani, Fazlollah Numerical analysis of novel finite difference methods. (English) Zbl 1420.91504 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 171-214 (2017). MSC: 91G60 65M06 91G20 60G40 35Q91 PDFBibTeX XMLCite \textit{R. Company} et al., Math. Ind. 25, 171--214 (2017; Zbl 1420.91504) Full Text: DOI
Itkin, Andrey LSV models with stochastic interest rates and correlated jumps. (English) Zbl 1367.91193 Int. J. Comput. Math. 94, No. 7, 1291-1317 (2017). MSC: 91G60 91G30 65L12 35R09 91G20 PDFBibTeX XMLCite \textit{A. Itkin}, Int. J. Comput. Math. 94, No. 7, 1291--1317 (2017; Zbl 1367.91193) Full Text: DOI arXiv
Coqueret, Guillaume; Tavin, Bertrand An investigation of model risk in a market with jumps and stochastic volatility. (English) Zbl 1346.91263 Eur. J. Oper. Res. 253, No. 3, 648-658 (2016). MSC: 91G70 91B30 91G20 PDFBibTeX XMLCite \textit{G. Coqueret} and \textit{B. Tavin}, Eur. J. Oper. Res. 253, No. 3, 648--658 (2016; Zbl 1346.91263) Full Text: DOI
Li, Jing; Li, Lingfei; Mendoza-Arriaga, Rafael Additive subordination and its applications in finance. (English) Zbl 1372.60110 Finance Stoch. 20, No. 3, 589-634 (2016). Reviewer: Alexander Schnurr (Siegen) MSC: 60J25 60J35 60J60 60J75 91G20 91G80 47D06 47D07 PDFBibTeX XMLCite \textit{J. Li} et al., Finance Stoch. 20, No. 3, 589--634 (2016; Zbl 1372.60110) Full Text: DOI
Denisov, D. E.; Leonenko, N. N. Multifractal scenarios for products of geometric Lévy-based stationary models. (English) Zbl 1342.60075 Stochastic Anal. Appl. 34, No. 4, 610-643 (2016). MSC: 60G57 60G10 60G17 PDFBibTeX XMLCite \textit{D. E. Denisov} and \textit{N. N. Leonenko}, Stochastic Anal. Appl. 34, No. 4, 610--643 (2016; Zbl 1342.60075) Full Text: DOI Link
Fakharany, M.; Company, R.; Jódar, L. Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes. (English) Zbl 1342.91041 J. Comput. Appl. Math. 296, 739-752 (2016). MSC: 91G60 65M06 45K05 91G20 PDFBibTeX XMLCite \textit{M. Fakharany} et al., J. Comput. Appl. Math. 296, 739--752 (2016; Zbl 1342.91041) Full Text: DOI
Lefèvre, Claude; Picard, Philippe Risk models in insurance and epidemics: a bridge through randomized polynomials. (English) Zbl 1414.91212 Probab. Eng. Inf. Sci. 29, No. 3, 399-420 (2015). MSC: 91B30 92D30 33C65 33C45 PDFBibTeX XMLCite \textit{C. Lefèvre} and \textit{P. Picard}, Probab. Eng. Inf. Sci. 29, No. 3, 399--420 (2015; Zbl 1414.91212) Full Text: DOI
Szabłowski, Paweł J. On Markov processes with polynomial conditional moments. (English) Zbl 1334.60154 Trans. Am. Math. Soc. 367, No. 12, 8487-8519 (2015). Reviewer: Sophia L. Kalpazidou (Thessaloniki) MSC: 60J25 60G44 33C47 PDFBibTeX XMLCite \textit{P. J. Szabłowski}, Trans. Am. Math. Soc. 367, No. 12, 8487--8519 (2015; Zbl 1334.60154) Full Text: DOI arXiv
Kokonendji, Célestin C.; Moypemna Sembona, Cyrille C.; Sioké Rainaldy, Joachim A characterization of multivariate normal stable Tweedie models and their associated polynomials. (English) Zbl 1328.62308 J. Comput. Appl. Math. 288, 159-168 (2015). MSC: 62H05 62E10 PDFBibTeX XMLCite \textit{C. C. Kokonendji} et al., J. Comput. Appl. Math. 288, 159--168 (2015; Zbl 1328.62308) Full Text: DOI
Lefèvre, Claude; Picard, Philippe Appell pseudopolynomials and Erlang-type risk models. (English) Zbl 1337.60227 Stochastics 86, No. 4, 676-695 (2014). MSC: 60K10 60G40 12E10 91B30 PDFBibTeX XMLCite \textit{C. Lefèvre} and \textit{P. Picard}, Stochastics 86, No. 4, 676--695 (2014; Zbl 1337.60227) Full Text: DOI
Derevyagin, Maxim; Tsujimoto, Satoshi; Vinet, Luc; Zhedanov, Alexei Bannai-Ito polynomials and dressing chains. (English) Zbl 1304.42063 Proc. Am. Math. Soc. 142, No. 12, 4191-4206 (2014). Reviewer: Alicia Cachafeiro López (Vigo) MSC: 42C05 17B80 33C45 47B36 PDFBibTeX XMLCite \textit{M. Derevyagin} et al., Proc. Am. Math. Soc. 142, No. 12, 4191--4206 (2014; Zbl 1304.42063) Full Text: DOI arXiv
Bryc, Wlodzimierz; Wesołowski, Jacek Infinitesimal generators of \(q\)-Meixner processes. (English) Zbl 1300.60091 Stochastic Processes Appl. 124, No. 1, 915-926 (2014). MSC: 60J35 PDFBibTeX XMLCite \textit{W. Bryc} and \textit{J. Wesołowski}, Stochastic Processes Appl. 124, No. 1, 915--926 (2014; Zbl 1300.60091) Full Text: DOI
Di Nardo, E.; Oliva, I. A new family of time-space harmonic polynomials with respect to Lévy processes. (English) Zbl 1278.60081 Ann. Mat. Pura Appl. (4) 192, No. 5, 917-929 (2013). MSC: 60G51 05A40 PDFBibTeX XMLCite \textit{E. Di Nardo} and \textit{I. Oliva}, Ann. Mat. Pura Appl. (4) 192, No. 5, 917--929 (2013; Zbl 1278.60081) Full Text: DOI arXiv
Kawai, Reiichiro Likelihood ratio gradient estimation for Meixner distribution and Lévy processes. (English) Zbl 1304.65044 Comput. Stat. 27, No. 4, 739-755 (2012). MSC: 62-08 PDFBibTeX XMLCite \textit{R. Kawai}, Comput. Stat. 27, No. 4, 739--755 (2012; Zbl 1304.65044) Full Text: DOI Link
Derevyagin, Maxim; Vinet, Luc; Zhedanov, Alexei CMV matrices and little and big \(-1\) Jacobi polynomials. (English) Zbl 1259.42018 Constr. Approx. 36, No. 3, 513-535 (2012). Reviewer: Peter Massopust (München) MSC: 42C05 33C45 47B36 PDFBibTeX XMLCite \textit{M. Derevyagin} et al., Constr. Approx. 36, No. 3, 513--535 (2012; Zbl 1259.42018) Full Text: DOI arXiv
Dingeç, Kemal Dinçer; Hörmann, Wolfgang A general control variate method for option pricing under Lévy processes. (English) Zbl 1253.91177 Eur. J. Oper. Res. 221, No. 2, 368-377 (2012). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{K. D. Dingeç} and \textit{W. Hörmann}, Eur. J. Oper. Res. 221, No. 2, 368--377 (2012; Zbl 1253.91177) Full Text: DOI
Feuillet, Mathieu; Robert, Philippe On the transient behavior of Ehrenfest and Engset processes. (English) Zbl 1254.60089 Adv. Appl. Probab. 44, No. 2, 562-582 (2012). Reviewer: János Sztrik (Debrecen) MSC: 60K25 90B22 PDFBibTeX XMLCite \textit{M. Feuillet} and \textit{P. Robert}, Adv. Appl. Probab. 44, No. 2, 562--582 (2012; Zbl 1254.60089) Full Text: DOI arXiv Euclid
Mazzola, E.; Muliere, P. Reviewing alternative characterizations of Meixner process. (English) Zbl 1244.60036 Probab. Surv. 8, 127-154 (2011). MSC: 60G07 60G51 60G05 PDFBibTeX XMLCite \textit{E. Mazzola} and \textit{P. Muliere}, Probab. Surv. 8, 127--154 (2011; Zbl 1244.60036) Full Text: DOI Euclid
Asai, Nobuhiro Probability measures on \(\mathbb C\) arising from the Jacobi-Szegő parameters for continuous dual Hahn polynomials. (English) Zbl 1232.44007 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 14, No. 3, 361-374 (2011). Reviewer: Florian-Horia Vasilescu (Villeneuve d’Ascq) MSC: 44A60 46L53 33C45 60E99 44A35 PDFBibTeX XMLCite \textit{N. Asai}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 14, No. 3, 361--374 (2011; Zbl 1232.44007) Full Text: DOI
Gerhold, Stefan The longstaff-Schwartz algorithm for Lévy models: results on fast and slow convergence. (English) Zbl 1219.62161 Ann. Appl. Probab. 21, No. 2, 589-608 (2011). MSC: 62P05 33C45 60G51 91G70 PDFBibTeX XMLCite \textit{S. Gerhold}, Ann. Appl. Probab. 21, No. 2, 589--608 (2011; Zbl 1219.62161) Full Text: DOI arXiv
Kawai, Reiichiro; Masuda, Hiroki On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling. (English) Zbl 1208.62037 Stat. Probab. Lett. 81, No. 4, 460-469 (2011). MSC: 62F12 62M09 60G51 62E20 PDFBibTeX XMLCite \textit{R. Kawai} and \textit{H. Masuda}, Stat. Probab. Lett. 81, No. 4, 460--469 (2011; Zbl 1208.62037) Full Text: DOI Link
Kubo, Izumi; Kuo, Hui-Hsiung MRM-factors for the probability measures in the Meixner class. (English) Zbl 1207.33014 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 13, No. 4, 525-550 (2010). MSC: 33C45 60E05 33D45 44A15 PDFBibTeX XMLCite \textit{I. Kubo} and \textit{H.-H. Kuo}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 13, No. 4, 525--550 (2010; Zbl 1207.33014) Full Text: DOI
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis Analysis of Fourier transform valuation formulas and applications. (English) Zbl 1233.91267 Appl. Math. Finance 17, No. 3-4, 211-240 (2010). MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{E. Eberlein} et al., Appl. Math. Finance 17, No. 3--4, 211--240 (2010; Zbl 1233.91267) Full Text: DOI arXiv
Bryc, Włodek; Wesołowski, Jacek Askey-Wilson polynomials, quadratic harnesses and martingales. (English) Zbl 1201.60077 Ann. Probab. 38, No. 3, 1221-1262 (2010). Reviewer: Alexander I. Zejfman (Vologda) MSC: 60J25 46L53 33C45 PDFBibTeX XMLCite \textit{W. Bryc} and \textit{J. Wesołowski}, Ann. Probab. 38, No. 3, 1221--1262 (2010; Zbl 1201.60077) Full Text: DOI arXiv
Taufer, Emanuele; Leonenko, Nikolai Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution. (English) Zbl 1453.60005 Comput. Stat. Data Anal. 53, No. 6, 2427-2437 (2009). MSC: 60-08 60G51 PDFBibTeX XMLCite \textit{E. Taufer} and \textit{N. Leonenko}, Comput. Stat. Data Anal. 53, No. 6, 2427--2437 (2009; Zbl 1453.60005) Full Text: DOI
Yano, Kouji; Yano, Yuko; Yor, Marc On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes. (English) Zbl 1201.60043 Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLII. Berlin: Springer (ISBN 978-3-642-01762-9/pbk; 978-3-642-01763-6/ebook). Lecture Notes in Mathematics 1979, 187-227 (2009). Reviewer: Peter Kern (Düsseldorf) MSC: 60G51 60G52 60G40 PDFBibTeX XMLCite \textit{K. Yano} et al., Lect. Notes Math. 1979, 187--227 (2009; Zbl 1201.60043) Full Text: DOI arXiv
Kawai, Reiichiro A multivariate Lévy process model with linear correlation. (English) Zbl 1176.91165 Quant. Finance 9, No. 5, 597-606 (2009). MSC: 91G80 91G20 91B25 60G51 PDFBibTeX XMLCite \textit{R. Kawai}, Quant. Finance 9, No. 5, 597--606 (2009; Zbl 1176.91165) Full Text: DOI Link
Taufer, Emanuele; Leonenko, Nikolai Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes. (English) Zbl 1168.62074 J. Stat. Plann. Inference 139, No. 9, 3050-3063 (2009). MSC: 62M05 62F10 62P05 62F12 PDFBibTeX XMLCite \textit{E. Taufer} and \textit{N. Leonenko}, J. Stat. Plann. Inference 139, No. 9, 3050--3063 (2009; Zbl 1168.62074) Full Text: DOI
Albin, J. M. P.; Sundén, Mattias On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes. (English) Zbl 1156.60029 Stochastic Processes Appl. 119, No. 1, 281-304 (2009). MSC: 60G51 60G70 40E05 44A10 60F10 91B84 91G80 PDFBibTeX XMLCite \textit{J. M. P. Albin} and \textit{M. Sundén}, Stochastic Processes Appl. 119, No. 1, 281--304 (2009; Zbl 1156.60029) Full Text: DOI
Galloway, Mack L.; Nolder, Craig A. Subordination, self-similarity, and option pricing. (English) Zbl 1156.91454 J. Appl. Math. Decis. Sci. 2008, Article ID 397028, 30 p. (2008). MSC: 91G20 62P05 PDFBibTeX XMLCite \textit{M. L. Galloway} and \textit{C. A. Nolder}, J. Appl. Math. Decis. Sci. 2008, Article ID 397028, 30 p. (2008; Zbl 1156.91454) Full Text: DOI EuDML
Solé, Josep Lluís; Utzet, Frederic Time-space harmonic polynomials relative to a Lévy process. (English) Zbl 1157.60318 Bernoulli 14, No. 1, 1-13 (2008). MSC: 60G51 60H99 PDFBibTeX XMLCite \textit{J. L. Solé} and \textit{F. Utzet}, Bernoulli 14, No. 1, 1--13 (2008; Zbl 1157.60318) Full Text: DOI arXiv
Anh, V. V.; Leonenko, Nikolai N.; Shieh, Narn-Rueih Multifractality of products of geometric Ornstein-Uhlenbeck-type processes. (English) Zbl 1181.60061 Adv. Appl. Probab. 40, No. 4, 1129-1156 (2008). Reviewer: Peter Mörters (Bath) MSC: 60G18 60G10 60G17 60G51 PDFBibTeX XMLCite \textit{V. V. Anh} et al., Adv. Appl. Probab. 40, No. 4, 1129--1156 (2008; Zbl 1181.60061) Full Text: DOI
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N. On the duality principle in option pricing: semimartingale setting. (English) Zbl 1150.91016 Finance Stoch. 12, No. 2, 265-292 (2008). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60G48 PDFBibTeX XMLCite \textit{E. Eberlein} et al., Finance Stoch. 12, No. 2, 265--292 (2008; Zbl 1150.91016) Full Text: DOI
Schoutens, Wim Exotic options under Lévy models: an overview. (English) Zbl 1089.91029 J. Comput. Appl. Math. 189, No. 1-2, 526-538 (2006). MSC: 91B28 91B26 PDFBibTeX XMLCite \textit{W. Schoutens}, J. Comput. Appl. Math. 189, No. 1--2, 526--538 (2006; Zbl 1089.91029) Full Text: DOI
Barrieu, Pauline; Schoutens, Wim Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process. (English) Zbl 1085.60051 J. Comput. Appl. Math. 186, No. 1, 300-323 (2006). Reviewer: Mohamed Hmissi (Tunis) MSC: 60J35 60J45 60G44 PDFBibTeX XMLCite \textit{P. Barrieu} and \textit{W. Schoutens}, J. Comput. Appl. Math. 186, No. 1, 300--323 (2006; Zbl 1085.60051) Full Text: DOI
Leonenko, Nikolai; Taufer, Emanuele Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion. (English) Zbl 1082.60014 Stochastics 77, No. 6, 477-499 (2005). MSC: 60F05 60F17 62F12 62M10 PDFBibTeX XMLCite \textit{N. Leonenko} and \textit{E. Taufer}, Stochastics 77, No. 6, 477--499 (2005; Zbl 1082.60014) Full Text: DOI
Asai, Nobuhiro Hilbert space of analytic functions associated with the modified Bessel function and related orthogonal polynomials. (English) Zbl 1087.46020 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 8, No. 3, 505-514 (2005). Reviewer: Victor Sharapov (Volgograd) MSC: 46E20 46L53 33D45 PDFBibTeX XMLCite \textit{N. Asai}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 8, No. 3, 505--514 (2005; Zbl 1087.46020) Full Text: DOI
Privault, Nicolas; Zambrini, Jean-Claude Euclidean quantum mechanics in the momentum representation. (English) Zbl 1076.81030 J. Math. Phys. 46, No. 3, 032105, 25 p. (2005). MSC: 81T08 81S40 47D07 47N50 60G51 60H05 60H30 PDFBibTeX XMLCite \textit{N. Privault} and \textit{J.-C. Zambrini}, J. Math. Phys. 46, No. 3, 032105, 25 p. (2005; Zbl 1076.81030) Full Text: DOI
Kokonendji, Célestin C. On \(d\)-orthogonality of the Sheffer systems associated to a convolution semigroup. (English) Zbl 1082.60008 J. Comput. Appl. Math. 181, No. 1, 83-91 (2005). Reviewer: Ludwig Paditz (Dresden) MSC: 60E05 60E10 60G51 42C05 PDFBibTeX XMLCite \textit{C. C. Kokonendji}, J. Comput. Appl. Math. 181, No. 1, 83--91 (2005; Zbl 1082.60008) Full Text: DOI
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross A continuous-time GARCH process driven by a Lévy process: Stationarity and second-order behaviour. (English) Zbl 1068.62093 J. Appl. Probab. 41, No. 3, 601-622 (2004). Reviewer: Nikolai N. Leonenko (Cardiff) MSC: 62M10 60G10 60J25 62P05 91B28 60H10 PDFBibTeX XMLCite \textit{C. Klüppelberg} et al., J. Appl. Probab. 41, No. 3, 601--622 (2004; Zbl 1068.62093) Full Text: DOI Link
Schoutens, Wim; Symens, Stijn The pricing of exotic options by Monte-Carlo simulationsin a Lévy market with stochastic volatility. (English) Zbl 1079.91042 Int. J. Theor. Appl. Finance 6, No. 8, 839-864 (2003). MSC: 91G60 91G20 60G51 PDFBibTeX XMLCite \textit{W. Schoutens} and \textit{S. Symens}, Int. J. Theor. Appl. Finance 6, No. 8, 839--864 (2003; Zbl 1079.91042) Full Text: DOI
Morales, Manuel; Schoutens, Wim A risk model driven by Lévy processes. (English) Zbl 1051.60051 Appl. Stoch. Models Bus. Ind. 19, No. 2, 147-167 (2003). Reviewer: N. M. Zinchenko (Kyïv) MSC: 60G51 62P05 91B30 PDFBibTeX XMLCite \textit{M. Morales} and \textit{W. Schoutens}, Appl. Stoch. Models Bus. Ind. 19, No. 2, 147--167 (2003; Zbl 1051.60051) Full Text: DOI
Lytvynov, Eugene Orthogonal decompositions for Lévy processes with an application to the gamma, Pascal, and Meixner processes. (English) Zbl 1048.60037 Infin. Dimens. Anal. Quantum Probab. Relat. Top. 6, No. 1, 73-102 (2003). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G51 33C90 60G57 60H40 PDFBibTeX XMLCite \textit{E. Lytvynov}, Infin. Dimens. Anal. Quantum Probab. Relat. Top. 6, No. 1, 73--102 (2003; Zbl 1048.60037) Full Text: DOI arXiv
Schoutens, Wim; Studer, Michael Short-term risk management using stochastic Taylor expansions under Lévy models. (English) Zbl 1028.60084 Insur. Math. Econ. 33, No. 1, 173-188 (2003). MSC: 60J70 91B28 PDFBibTeX XMLCite \textit{W. Schoutens} and \textit{M. Studer}, Insur. Math. Econ. 33, No. 1, 173--188 (2003; Zbl 1028.60084) Full Text: DOI
Lytvynov, Eugene Polynomials of Meixner’s type in infinite dimensions: Jacobi fields and orthogonality measures. (English) Zbl 1020.60041 J. Funct. Anal. 200, No. 1, 118-149 (2003). Reviewer: Elisaveta Pancheva (Sofia) MSC: 60G51 60G57 PDFBibTeX XMLCite \textit{E. Lytvynov}, J. Funct. Anal. 200, No. 1, 118--149 (2003; Zbl 1020.60041) Full Text: DOI arXiv
Privault, Nicolas; Schoutens, Wim Discrete chaotic calculus and covariance identities. (English) Zbl 1007.60047 Stochastics Stochastics Rep. 72, No. 3-4, 289-315 (2002). Reviewer: Tomasz Bojdecki (Warszawa) MSC: 60H05 60E15 05E35 PDFBibTeX XMLCite \textit{N. Privault} and \textit{W. Schoutens}, Stochastics Stochastics Rep. 72, No. 3--4, 289--315 (2002; Zbl 1007.60047) Full Text: DOI
Gutierrez-Rubio, David; López-Blázquez, Fernando; Pommeret, Denys A characterization of simple quadratic natural exponential families with a reverse martingale property. (Une caractérisation des familles exponentielles naturelles quadratiques simples par une propriété de martingale inverse.) (French. Abridged English version) Zbl 0997.60002 C. R., Math., Acad. Sci. Paris 334, No. 5, 405-409 (2002). MSC: 60E05 PDFBibTeX XMLCite \textit{D. Gutierrez-Rubio} et al., C. R., Math., Acad. Sci. Paris 334, No. 5, 405--409 (2002; Zbl 0997.60002) Full Text: DOI
Schoutens, Wim An application in stochastics of the Laguerre-type polynomials. (English) Zbl 0983.60035 J. Comput. Appl. Math. 133, No. 1-2, 593-600 (2001). MSC: 60G46 33C45 PDFBibTeX XMLCite \textit{W. Schoutens}, J. Comput. Appl. Math. 133, No. 1--2, 593--600 (2001; Zbl 0983.60035) Full Text: DOI
Pommeret, Denys \(K\) terms recurrence relations and polynomial variance functions of the \(K\)th degree. (English) Zbl 1019.62012 J. Comput. Appl. Math. 133, No. 1-2, 555-565 (2001). MSC: 62E10 62H05 PDFBibTeX XMLCite \textit{D. Pommeret}, J. Comput. Appl. Math. 133, No. 1--2, 555--565 (2001; Zbl 1019.62012) Full Text: DOI
Pommeret, Denys Orthogonal and pseudo-orthogonal multi-dimensional Appell polynomials. (English) Zbl 1083.33009 Appl. Math. Comput. 117, No. 2-3, 285-299 (2001). MSC: 33C50 33C45 PDFBibTeX XMLCite \textit{D. Pommeret}, Appl. Math. Comput. 117, No. 2--3, 285--299 (2001; Zbl 1083.33009) Full Text: DOI
Nualart, David; Schoutens, Wim Chaotic and predictable representations for Lévy processes. (English) Zbl 1047.60088 Stochastic Processes Appl. 90, No. 1, 109-122 (2000). MSC: 60J99 60H05 PDFBibTeX XMLCite \textit{D. Nualart} and \textit{W. Schoutens}, Stochastic Processes Appl. 90, No. 1, 109--122 (2000; Zbl 1047.60088) Full Text: DOI
López-Blázquez, Fernando; Salamanca-Miño, Begoña A reverse martingale property that characterizes the natural exponential family with quadratic variance function. (English) Zbl 0962.62009 Stat. Probab. Lett. 49, No. 1, 63-68 (2000). MSC: 62E10 60G42 PDFBibTeX XMLCite \textit{F. López-Blázquez} and \textit{B. Salamanca-Miño}, Stat. Probab. Lett. 49, No. 1, 63--68 (2000; Zbl 0962.62009) Full Text: DOI
Pommeret, Denys Orthogonality of the Sheffer system associated to a Lévy process. (English) Zbl 0961.60024 J. Stat. Plann. Inference 86, No. 1, 1-10 (2000). Reviewer: Uwe Franz (Greifswald) MSC: 60E07 62E10 62H05 33C45 PDFBibTeX XMLCite \textit{D. Pommeret}, J. Stat. Plann. Inference 86, No. 1, 1--10 (2000; Zbl 0961.60024) Full Text: DOI
Grigelionis, B. Processes of Meixner type. (English) Zbl 0959.60034 Lith. Math. J. 39, No. 1, 33-41 (1999) and Liet. Mat. Rink. 39, No. 1, 40-51 (1999). Reviewer: René L.Schilling (Brighton) MSC: 60G51 60J75 60E10 60G18 60G10 62P20 PDFBibTeX XMLCite \textit{B. Grigelionis}, Lith. Math. J. 39, No. 1, 33--41 (1999) and Liet. Mat. Rink. 39, No. 1, 40--51 (1999; Zbl 0959.60034) Full Text: DOI
Schoutens, Wim Lévy-Sheffer and iid-Sheffer polynomials with applications to stochastic integrals. (English) Zbl 0929.60028 J. Comput. Appl. Math. 99, No. 1-2, 365-372 (1998). MSC: 60G42 60G51 60H05 11B83 33C45 PDFBibTeX XMLCite \textit{W. Schoutens}, J. Comput. Appl. Math. 99, No. 1--2, 365--372 (1998; Zbl 0929.60028) Full Text: DOI