Subordinating Levy processes and the measure of market activity

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10240977" target="_blank" >RIV/61989100:27510/17:10240977 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Subordinating Levy processes and the measure of market activity
Original language description
Modern approach to the analysis of financial asset prices and evolution of their returns requires utilization of stochastic processes that overcome the highest deficiency of Gaussian distribution, i.e., higher moments of the distribution are considered and/or fluctuation of parameters over time is allowed. In this contribution we focus on selected types of Levy models defined as subordinated Brownian motion and consider the impact of various levels of market activity. Within the illustrative study we utilize FX rates market data, stressing the impact of financial crises.
Czech name
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Czech description
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Project
<a href="/en/project/GA16-09541S" target="_blank" >GA16-09541S: Robust numerical schemes for pricing of selected options under various market conditions</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics: MME 2017 : 35th international conference : conference proceedings : Hradec Králové, Czech Republic, September 13th-15th, 2017, University of Hradec Králové
ISBN
978-80-7435-678-0
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
795-800
Publisher name
Gaudeamus
Place of publication
Hradec Králové
Event location
Hradec Králové
Event date
Sep 13, 2017
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000427151400136

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