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The objective of this paper is to study the arbitrage free pricing of variance and volatility swaps for Barndorff-Nielsen and Shephard type Levy process driven financial markets. One of the major… Expand

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The objective of this paper is to study the arbitrage free pricing of the covariance swap for Barndorff–Nielsen and Shephard (BN–S) type Levy process driven financial markets. One of the major… Expand

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For a component or a system subject to stochastic degradation with sporadic jumps that occur at random times and have random sizes, we propose to model the cumulative degradation with random jumps… Expand

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ABSTRACT We use Lévy subordinators and non-Gaussian Ornstein–Uhlenbeck processes to model the evolution of degradation with random jumps. The superiority of our models stems from the flexibility of… Expand

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This dissertation uses Barndoff-Nielsen and Shephard (BN-S) models to model swap, a type of financial derivative, and analyze geophysical data for estimation of major earthquakes to demonstrate the significance of BN-S models to phenomena that follow non-Gaussian distributions. Expand

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