In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis at short timescales, along with the slow convergence to Gaussian at longer timescales. In this paper I further test the truncated Levy paradigm u...

We develop Bayesian Markov chain Monte Carlo methods for inferences of continuoustime models with stochastic volatility and infinite-activity Levy jumps using discretely sampled data. Simulation studies show that (i) our methods provide accurate joint identification of diffusion, stochastic volatility, and Levy jumps, and (ii) affine jumpdiffusion models fail to adequately approximate the behav...

We consider Burgers equation forced by a brownian in space and white noise in time process ∂tu+ 1 2 ∂x(u) = f(x, t), with E(f(x, t)f(y, s)) = 1 2 (|x|+ |y| − |x− y|)δ(t− s) and we show that there are Levy processes solutions, for which we give the evolution equation of the characteristic exponent. In particular we give the explicit solution in the case u0(x) = 0.

BACKGROUND Scientific research into mental health outcomes following trauma is undergoing a revolution as scientists refocus their efforts to identify underlying dimensions of health and psychopathology. This effort is in stark contrast to the previous focus which was to characterize individuals based on Diagnostic and Statistical Manual of Mental Disorders (DSM) diagnostic status (Insel et al....

Author affiliations: Institut National de la Santé et de la Recherche Médicale, Paris, France (A. Birgy, P. Bidet, S. Bonacorsi); Université Paris Diderot, Paris (A. Birgy, P. Bidet, S. Bonacorsi); Hôpital Universitaire Robert-Debré, Paris (A. Birgy, P. Bidet, S. Bonacorsi); Association Clinique Thérapeutique Infantile du Val de Marne, Saint Maur des Fossés, France (C. Levy, E. Sobral, R. Cohen...

We review the commonly used numerical algorithms for option pricing under Levy process via Fast Fourier transform (FFT) calculations. By treating option price analogous to a probability density function, option prices across the whole spectrum of strikes can be obtained via FFT calculations. We also show how the property of the Fourier transform of a convolution product can be used to value var...

This paper investigates two aspects of China's pollution levy system that has been implemented for about 20 years in China. First, the determinants of differences in enforcement of the pollution levy across urban areas are analyzed. The results show that actual collections of the uniformly designed pollution levy are sensitive to differences in economic development and environmental quality, wh...

The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Lévy process and the solution of Gerber and Shiu [Astin Bull. 24 (1994) 195–220], Boyarchenko and Levendorskǐi [Working paper series EERS 98/02 (1998), Unpublished manuscript (1999), SIAM J...

The Equity Default Swaps (EDS) has rapidly grabbed an increasing market share and hence drawn lots of attention recently. This newly invented financial instrument is designed to insure that if the underlying stock price drops to a specified low boundary during certain time horizon, the contract seller compensates the buyer by a designated amount of money. For instance, IBM stock is now traded a...

A functional limit theorem is proved establishing weak convergence of random walks generated by compound doubly stochastic Poisson processes to Lévy processes in the Skorokhod space. As corollaries, theorems are proved on convergence of random walks with jumps having finite variances to Lévy processes with mixed normal distributions, in particular, to stable Lévy processes. Statistical analysis...