On the drawdown of completely asymmetric Levy processes (original) (raw)
Related papers
On Future Drawdowns of L\'evy processes
On doubly reflected completely asymmetric Lévy processes
Stochastic processes and their applications, 2003
Tail asymptotics for exponential functionals of Lévy processes: The convolution equivalent case
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 2012
On the asymptotic behaviour of Lévy processes, Part I: Subexponential and exponential processes
Stochastic Processes and their Applications, 2009
Some Markov Processes in Finance and Kinetics
2008
Scale-invariant Truncated Levy Process
Leveraged Lévy processes as models for stock prices
Quantitative Finance, 2010
Quasi-stationary distributions for Lévy processes
Bernoulli, 2006
Parisian quasi-stationary distributions for asymmetric Lévy processes
Statistics & Probability Letters
Some remarks on first passage of Levy processes, the American put and pasting principles
Annals of Applied Probability, 2005
Duality and Symmetry with Time-Changed Lévy Processes
Brazilian Review of Econometrics, 2008
On maxima and ladder processes for a dense class of Lévy process
Journal of applied probability, 2006
Drawdowns and Rallies in a Finite Time-horizon
Methodology and Computing in Applied Probability, 2010
Stochastic Processes and their Applications
Evaluating the small deviation probabilities for subordinated Lévy processes
Stochastic Processes and their Applications, 2004
On suprema of Lévy processes and application in risk theory
Annales de l'Institut Henri Poincaré, …, 2008
Skewness premium with Lévy processes
Quantitative Finance, 2011
Time-changed Lévy processes and option pricing
Journal of Financial Economics, 2004
Cramér asymptotics for finite time first passage probabilities of general Lévy processes
Lévy processes for financial modeling
EIGHTH INTERNATIONAL CONFERENCE NEW TRENDS IN THE APPLICATIONS OF DIFFERENTIAL EQUATIONS IN SCIENCES (NTADES2021), 2022
Asymptotic behaviour of first passage time distributions for Lévy processes
Probability Theory and Related Fields, 2013
Time-Changed Levy Process and Option Pricing
SSRN Electronic Journal, 2000
Quantiles of Lévy processes and applications in finance
2006
Risks, 2019
Mini-Workshop: Lévy Processes and Related Topics in Modelling
Oberwolfach Reports, 2007
Quantiles of Levy processes and applications in finance a review
Option Pricing with Log-stable Lévy Processes
New Economic Windows
Asset Pricing Models with Underlying Time-varying Lévy Processes
2016
Right inverses of Lévy processes and stationary stopped local times
Probability Theory and Related Fields, 2000
On Lévy processes, Malliavin calculus and market models with jumps
Finance and Stochastics, 2002
Introduction to Lévy Processes
Wiley Encyclopedia of Operations Research and Management Science, 2013
The Theory of Scale Functions for Spectrally Negative Lévy Processes
Lecture Notes in Mathematics, 2012
Sinaıˇ's condition for real valued Lévy processes
Annales De L Institut Henri Poincare-probabilites Et Statistiques, 2007