My bibliography
Save this item
Spectral calibration of exponential Lévy Models [1]
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Nickl, Richard & Reiß, Markus, 2012. "A Donsker theorem for Lévy measures," SFB 649 Discussion Papers 2012-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Kappus, Johanna, 2012. "Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes," SFB 649 Discussion Papers 2012-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Söhl, Jakob, 2010. "Polar sets for anisotropic Gaussian random fields," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 840-847, May.
- Kappus, Johanna, 2014. "Adaptive nonparametric estimation for Lévy processes observed at low frequency," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 730-758.
- Söhl, Jakob, 2012. "Confidence sets in nonparametric calibration of exponential Lévy models," SFB 649 Discussion Papers 2012-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Reiß, Markus, 2013. "Testing the characteristics of a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2808-2828.
- Rama Cont & Peter Tankov, 2009.
"Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices,"
Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401, July.
- Rama Cont & Peter Tankov, 2007. "Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices," Working Papers hal-00129413, HAL.
- Rama Cont & Peter Tankov, 2009. "Constant proportion portfolio insurance in presence of jumps in asset prices," Post-Print hal-00445646, HAL.
- Trabs, Mathias, 2011. "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers 2011-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Jan Kallsen & Paul Kruhner, 2013. "On a Heath-Jarrow-Morton approach for stock options," Papers 1305.5621, arXiv.org, revised Aug 2013.
- repec:hum:wpaper:sfb649dp2012-003 is not listed on IDEAS
- repec:hum:wpaper:sfb649dp2011-073 is not listed on IDEAS
- Denis Belomestny & John Schoenmakers, 2010.
"A jump-diffusion Libor model and its robust calibration,"
Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 529-546.
- Denis Belomestny & John Schoenmakers, 2006. "A jump-diffusion Libor model and its robust calibration," SFB 649 Discussion Papers SFB649DP2006-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Belomestny, Denis & Schoenmakers, John G. M., 2006. "A jump-diffusion Libor model and its robust calibration," SFB 649 Discussion Papers 2006-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Trabs, Mathias, 2014. "On infinitely divisible distributions with polynomially decaying characteristic functions," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 56-62.
- Belomestny Denis & Mathew Stanley & Schoenmakers John, 2009. "Multiple stochastic volatility extension of the Libor market model and its implementation," Monte Carlo Methods and Applications, De Gruyter, vol. 15(4), pages 285-310, January.
- Trabs, Mathias, 2015. "Quantile estimation for Lévy measures," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3484-3521.
- Jakob Sohl, 2012. "Confidence sets in nonparametric calibration of exponential L\'evy models," Papers 1202.6611, arXiv.org, revised Sep 2013.
- Jan Kallsen & Paul Krühner, 2015. "On a Heath–Jarrow–Morton approach for stock options," Finance and Stochastics, Springer, vol. 19(3), pages 583-615, July.
- Söhl, Jakob & Trabs, Mathias, 2012. "Option calibration of exponential Lévy models: Implementation and empirical results," SFB 649 Discussion Papers 2012-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Chen, Song X. & Delaigle, Aurore & Hall, Peter, 2010. "Nonparametric estimation for a class of Lévy processes," Journal of Econometrics, Elsevier, vol. 157(2), pages 257-271, August.
- Johanna Kappus & Markus Reiß, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 314-328.
- repec:hum:wpaper:sfb649dp2012-012 is not listed on IDEAS
- Todorov, Viktor, 2021. "Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 671-705.
- repec:hum:wpaper:sfb649dp2012-016 is not listed on IDEAS
- Denis Belomestny & Mathias Trabs & Alexandre Tsybakov, 2017. "Sparse covariance matrix estimation in high-dimensional deconvolution," Working Papers 2017-25, Center for Research in Economics and Statistics.
- Belomestny, Denis, 2009. "Spectral estimation of the fractional order of a Lévy process," SFB 649 Discussion Papers 2009-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Jakob Sohl & Mathias Trabs, 2012. "Option calibration of exponential L\'evy models: Confidence intervals and empirical results," Papers 1202.5983, arXiv.org, revised Oct 2012.
- Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
- repec:hum:wpaper:sfb649dp2012-017 is not listed on IDEAS
- Song, Seongjoo, 2010. "Lévy density estimation via information projection onto wavelet subspaces," Statistics & Probability Letters, Elsevier, vol. 80(21-22), pages 1623-1632, November.
- Mark Anthony Caruana, 2017. "Estimation of Lévy Processes via Stochastic Programming and Kalman Filtering," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1211-1225, December.
- Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
- Jakob Söhl, 2014. "Confidence sets in nonparametric calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 18(3), pages 617-649, July.
- Jeonggyu Huh, 2018. "Pricing Options with Exponential Levy Neural Network," Papers 1802.06520, arXiv.org, revised Sep 2018.
- repec:hum:wpaper:sfb649dp2009-021 is not listed on IDEAS