Nonparametric estimation for Lévy processes with a view towards mathematical finance

Abstract

Nonparametric methods for the estimation of the Lévy density of a Lévy process X are developed. Estimators that can be written in terms of the “jumps” of X are introduced, and so are discretedata based approximations. A model selection approach made up of two steps is investigated. The first step consists in the selection of a good estimator from a linear… (More)

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