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We develop a completely new and straightforward method for simulating the joint law of the position and running maximum at a fixed time of a general LÃ©vy process with a view to application inâ€¦ (More)

In this paper, we study the existence of the density associated to the exponential functional of the LÃ©vy process Î¾, Ieq := âˆ« eq 0 es ds, where eq is an independent exponential r.v. with parameter qâ€¦ (More)

We consider the problem of finding a stopping time that minimises the L1distance to Î¸, the time at which a LÃ©vy process attains its ultimate supremum. This problem was studied in [12] for a Brownianâ€¦ (More)

Recent models of the insurance risk process use a LÃ©vy process to generalise the traditional CramÃ©râ€“Lundberg compound Poisson model. This paper is concerned with the behaviour of the distributions ofâ€¦ (More)

A convertible bond is a security that the holder can convert into a specified number of underlying shares. We enrich the standard model by introducing some default risk of the issuer. Once defaultâ€¦ (More)

Following Baurdoux and Kyprianou [2] we consider the McKean stochastic game, a game version of the McKean optimal stopping problem (American put), driven by a spectrally negative LÃ©vy process. Weâ€¦ (More)

- Albert Ferreiro-Castilla, Kees van Schaik
- 2013

In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for LÃ©vy processes from Kuznetsov et al. [17] to path functionals, in particular first passageâ€¦ (More)

i Contents Contents ii 1 Utility theory 1 1.

We develop a completely new and straightforward method for simulating the joint law of the position and running maximum at a fixed time of a general LÃ©vy process with a view to application inâ€¦ (More)

- Florian Kleinert, Kees van Schaik
- 2013

We introduce an algorithm for the pricing of finite expiry American options driven by LÃ©vy processes. The idea is to tweak Carrâ€™s â€˜Canadisationâ€™ method, cf. Carr [9] (see also Bouchard et al [5]), inâ€¦ (More)