Number of items: 5.
2022
González Cázares, Jorge and Mijatović, Aleksandar
(2022)
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation.
Finance and Stochastics, 26
(4).
pp. 671-732.
doi:10.1007/s00780-022-00486-7
González Cázares, Jorge Ignacio and Mijatović, Aleksandar
(2022)
Convex minorants and the fluctuation theory of Lévy processes.
Latin American Journal of Probability and Mathematical Statistics, 19
(1).
pp. 983-999.
doi:10.30757/ALEA.v19-39
2021
González Cázares, Jorge Ignacio
(2021)
Convex minorants and the simulation of the extrema of Lévy processes.
PhD thesis, University of Warwick.
Fomichov, Vladimir, González Cázares, Jorge and Ivanovs, Jevgenijs
(2021)
Implementable coupling of Lévy process and Brownian motion.
Stochastic Processes and their Applications, 142
.
pp. 407-431.
doi:10.1016/j.spa.2021.09.008
González Cázares, Jorge and Ivanovs, Jevgenijs
(2021)
Recovering Brownian and jump parts from high-frequency observations of a Lévy process.
Bernoulli, 27
(4).
pp. 2413-2436.
doi:10.3150/20-bej1314
This list was generated on Sat Jan 28 02:23:28 2023 GMT.
