Poissonian potential measures for Lévy risk models
نویسندگان
چکیده
منابع مشابه
Functional estimation for Lévy measures of semimartingales with Poissonian jumps
We consider semimartingales with jumps that have finite Lévy measures. This paper is devoted to the estimation of integral-type functionals of the Lévy measures, which are sometimes functions on a compact space, and our main interest is the inference from discrete observations. However we first consider the case where continuous observations are obtained. It would give us an important insight t...
متن کاملOn q-optimal martingale measures in exponential Lévy models
We give a sufficient condition to identify the q-optimal signed and the q-optimal absolutely continuous martingale measures in exponential Lévy models. As a consequence we find that, in the onedimensional case, the q-optimal equivalent martingale measures may exist only, if the tails for upward jumps are extraordinarily light. Moreover, we derive convergence of the q-optimal signed, resp. absol...
متن کاملEstimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange
This paper aims to estimate the Value-at-Risk (VaR) using GARCH type models with improved return distribution. Value at Risk (VaR) is an essential benchmark for measuring the risk of financial markets quantitatively. The parametric method, historical simulation, and Monte Carlo simulation have been proposed in several financial mathematics and engineering studies to calculate VaR, that each of ...
متن کاملTangent Lévy market models
In this paper, we introduce a new class of models for the time evolution of the prices of call options of all strikes and maturities. We capture the information contained in the option prices in the density of some time-inhomogeneous Lévy measure (an alternative to the implied volatility surface), and we set this static code-book in motion by means of stochastic dynamics of Itôs type in a funct...
متن کاملNew control variates for Lévy process models
We present a general control variate method for Monte Carlo estimation of the expectations of the functionals of Lévy processes. It is based on fast numerical inversion of the cumulative distribution functions and exploits the strong correlation between the increments of the original process and Brownian motion. In the suggested control variate framework, a similar functional of Brownian motion...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2018
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2018.07.004