Construction of Lévy Drivers for Financial Models

Modelling by Lévy Processes for Financial Econometrics

This paper reviews some recent work in which Lévy processes are used to model and analyse time series from financial econometrics. A main feature of the paper is the use of positive OrnsteinUhlenbeck (OU) type processes inside stochastic volatility processes. The basic probability theory associated with such models is discussed in some detail.

Lévy-driven time series models for financial data

The ARCH and GARCH models of Engle (1982) and Bollerslev (1986) respectively have had great success in the modelling of financial time series. Discrete-time stochastic volatility models have also been found to be very useful in representing the time-variation of volatility observed in such data. In this review we discuss Lévy-driven continuous-time versions of these processes and some related i...

Integer-valued Lévy processes and low latency financial econometrics

Motivated by features of low latency data in financial econometrics we study in detail integervalued Lévy processes as the basis of price processes for high frequency econometrics. We propose using models built out of the difference of two subordinators. We apply these models in practice to low latency data for a variety of different types of futures contracts.

Identify and investigate the drivers to use the compact city (Case study: Ahvaz city)

The compact city as a tool to limit energy consumption and urban sprawl is a key element in the sustainable city debate. The purpose of this research is Identify and investigate the drivers to use the compact city in Ahvaz city. The present research is applied in terms of purpose and in terms of descriptive-analytical method. The statistical population includes 10 city managers and researchers ...

Financial modeling with Lévy processes