Related papers: Product Formula of Multiple Integrals of Levy Proc…
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is…
We recast Byerly's formula for integrals of products of Legendre polynomials. Then we adopt the idea to the case of Jacobi polynomials. After that, we use the formula to derive an asymptotic formula for integrals of products of Jacobi…
We discuss a product formula for $F$-polynomials in cluster algebras, and provide two proofs. One proof is inductive and uses only the mutation rule for $F$-polynomials. The other is based on the Fock-Goncharov decomposition of mutations.…
In the paper we study stochastic convolution appearing in Volterra equation driven by so called L\'evy process. By L\'evy process we mean a process with homogeneous independent increments, continuous in probability and cadlag.
In the present article, we review a continual effort on generalization of the Trotter formula to higher-order exponential product formulas. The exponential product formula is a good and useful approximant, particularly because it conserves…
In this paper the analogy between differential forms arising from integrals in additive calculus and forms arising from the integrals in product calculus is investigated. It is found that with an appropriate definition of scalar…
This papers develops a stochastic integration theory with respect to volatility modulated L\'{e}vy-driven Volterra (VMLV) processes. It extends recent results in the literature to allow for stochastic volatility and pure jump processes in…
A distributional equation as a criterion for invariant measures of Markov processes associated to L\'evy-type operators is established. This is obtained via a characterization of infinitesimally invariant measures of the associated…
We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. driven by a L\'evy process. Our results are valid for a large…
A method for extracting the Levy stability index $\mu$ from the multi-fractal spectrum $f(\alpha)$ in high energy multiparticle production is proposed. This index is an important parameter, characterizing the non-linear behaviour of…
We establish several closed pricing formula for various path-independent payoffs, under an exponential L\'evy model driven by the Variance Gamma process. These formulas take the form of quickly convergent series and are obtained via tools…
Nonparametric methods for the estimation of the Levy density of a Levy process are developed. Estimators that can be written in terms of the ``jumps'' of the process are introduced, and so are discrete-data based approximations. A model…
We consider a stochastic differential equations which is driven by a Levy process. It turns out that the solution process is a Feller process if the coefficient of the SDE is bounded. Using a probabilistic formula we calculate the symbol,…
We construct a multiple star product method and by using this method, show that integral forms of some star products can be written in terms of the path-integral. This method can be applied to some examples. Especially, the associativity of…
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock…
We prove a theorem on additive Levy processes and give applications
The aim of this note is to prove the inversion formula, which can be used to compute the Levi measure of an infinitely divisible distribution from its characteristic function. Obtained formula is similar to the well-known inversion formula…
We construct an efficient integrator for stochastic differential systems driven by Levy processes. An efficient integrator is a strong approximation that is more accurate than the corresponding stochastic Taylor approximation, to all orders…
In this paper, we obtain a restricted decomposition formula for interpolated multiple zeta values using t-stuffle product. We then derive a recursive formula of t-stuffle product, which also provides a route to the same formula. In both…
In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the…