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- W2890125488 abstract "This work investigates financial models for option pricing, interest rates and credit risk with stochastic processes that have memory and discontinuities. These models are formulated in terms of the fractional Brownian motion, the fractional or filtered Levy process (also doubly stochastic) and their approximations by semimartingales. Their stochastic calculus is treated in the sense of Malliavin and Ito formulas are derived. We characterize the risk-neutral probability measures in terms of these processes for options pricing models of Black-Scholes type with jumps. We also study models of interest rates, in particular the models of Vasicek, Cox-Ingersoll-Ross and Heath-Jarrow-Morton. Finally we study credit risk models" @default.
- W2890125488 created "2018-09-27" @default.
- W2890125488 creator A5005876739 @default.
- W2890125488 date "2014-02-28" @default.
- W2890125488 modified "2023-09-27" @default.
- W2890125488 title "Financial modeling with Volterra Lévy processes and applications to options pricing, interest rates and credit risk modeling" @default.
- W2890125488 hasPublicationYear "2014" @default.
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