Time Changes for Lévy Processes

By Helyette Geman, Dilip B Madan 5, Marc Yor. 2001

244 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ec0665d0678b18c2f8ce5dacdb4ae2a756f5af0c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Finance

In Management Science and Operations Research

Citations in the corpus

Stochastic Volatility for Lévy Processes (2003, unknown): “The dates employed were Jan:12 ;F eb:9 ;M ar:8 ;A pr:12 ;M ay10 ;J un:14; Jul:12 ;A ug:9 ;S ept:13 ;O ct:11 ;N ov:8; and Dec:13: Similar data was obtained for some 20 other underliers.”
Ruin theory revisited: stochastic models for operational risk (2002, methodology): “[42, 43] and more recently Barndorff–Nielsen and Shephard [8]; they use time–change techniques to transform a financial time series with randomness in the volatility to a standard Black–Scholes–Merton”
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (2006, background): “Time-deformed Lévy processes have recently been introduced into financial economics by Geman, Madan, and Yor (2003) and Carr and Wu (2003).”
Optimal portfolio allocation with higher moments (2007, background): “Substituting back π∗ in the HJB equation, we see that the equation is satisfied with J , if F solves (20).”
Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals (2013, background): “For more applications in finance and insurance, see e.g., Geman et al. (2001) and Palmowski and Zwart (2007), among many others.”
Pricing American options under variance gamma (2003, background): “Further it is argued in Geman, Madan and Yor [8] that such processes are the norm when it is recognized that time changes with martingale components are involved in describing the price evolution.”
TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012, methodology): “As such, our models can be viewed as a commodity markets counterpart of the time-changed Lévy process-based models in equity markets by Madan, Carr, and Chang (1998), Barndorff-Nielsen (1998), Geman, Madan, and Yor (2001), Carr et al. (2003), and Carr and Wu (2004).”
Potential Theory of Geometric Stable Processes (2006, unknown): “For any α ∈ (0, 2] , we have u(x) ∼ 2 αx(log x) 2 , x → 0 + .”
From local volatility to local Lévy models (2004, unknown): “This class of processes is increasingly being used in the study of financial market prices (Eberlein et al 1998, Barndorff-Nielsen and Shephard 2001, Geman et al 2001, Eberlein et al 2003).”
Properties of Realized Variance Under Alternative Sampling Schemes (2006, background): “…1983; Carr, Geman, Madan, and Yor 2002; Maheu and McCurdy 2004) and high-frequency transaction data (e.g., Bowsher 2002; Large 2005; Rogers and Zane 1998; Rydberg and Shephard 2003) to the pricing of derivatives (e.g., Carr and Wu 2004; Cox and Ross 1976; Geman, Madan, and Yor 2001; Mürmann 2001).”
Lévy Processes in Finance: Inverse Problems and Dependence Modelling (2004, background): “The interpretation of the subordinator as “business time” [44] makes models of this type easier to understand and interpret.”
Green Function Estimates and Harnack Inequality for Subordinate Brownian Motions (2006, background): “In [12] (see also the references therein) it has been argued that asset price processes should be modelled as subordinate Brownian motion instead of Brownian motion itself.”