Processus de LÃ©vy en Finance - Laboratoire de ProbabilitÃ©s et ...

More documents

Recommendations

Info

198 BIBLIOGRAPHY
Index a posteriori parameter choice, 103 alternative principle, 108 basket option, 182 best-of option, 182 calibration problem continuity of solutions, 67 discretized, 96 least squares, 59 minimum entropy least squares, 70 numerical solution, 113 regularized, 86 with exact constraints, 58 Cauchy process, 137 characteristic triplet, 34 complete dependence, 140 compound Poisson model, 45 control variate, 182 copula, 136, 146 discrepancy principle, 104 distribution function, 142 drift, 34 exponential Lévy model, 41 absence of arbitrage, 41 risk-neutral, 43 F-volume, 141 Fast Fourier transform, 51 generalized hyperbolic model, 47 grounded function, 142 implied volatility, 129 increasing function, 142 jump-diffusion, 43 Kou model, 44, 119 Lévy copula, 147, 154 archimedean, 168 of a stable process, 163 of complete dependence, 159 of independence, 159 Lévy-Khintchine representation, 34 Lévy measure, 34 Lévy process, 33 absolute continuity, 38 convergence, 40 cumulants, 35 exponential moments, 35 jump-diffusion, 39 moments, 35 simulation, 174 199
Page 1 and 2:
Thèse présentée pour obtenir le
Page 3:
Abstract This thesis deals with the
Page 7 and 8:
Contents Remarks on notation 11 Int
Page 9:
CONTENTS 9 II Multidimensional mode
Page 12 and 13:
12 For {P n } n≥1 , P ∈ P(Ω) t
Page 14 and 15:
14 INTRODUCTION EN FRANCAIS corresp
Page 16 and 17:
16 INTRODUCTION EN FRANCAIS Lévy p
Page 18 and 19:
18 INTRODUCTION EN FRANCAIS Calibra
Page 20 and 21:
20 INTRODUCTION EN FRANCAIS • Si
Page 22 and 23:
22 INTRODUCTION EN FRANCAIS et Scai
Page 24 and 25:
24 INTRODUCTION EN FRANCAIS Ce rés
Page 26 and 27:
26 INTRODUCTION EN FRANCAIS dans un
Page 28 and 29:
28 INTRODUCTION 7500 Taux de change
Page 30 and 31:
30 INTRODUCTION Lévy models by Fou
Page 33 and 34:
Chapter 1 Lévy processes and exp-L
Page 35 and 36:
1.1. LEVY PROCESSES 35 Proposition
Page 37 and 38:
1.1. LEVY PROCESSES 37 The characte
Page 39 and 40:
1.1. LEVY PROCESSES 39 On the other
Page 41 and 42:
1.2. EXPONENTIAL LEVY MODELS 41 (b)
Page 43 and 44:
1.3. EXP-LEVY MODELS IN FINANCE 43
Page 45 and 46:
1.3. EXP-LEVY MODELS IN FINANCE 45
Page 47 and 48:
1.4. PRICING EUROPEAN OPTIONS 47 wi
Page 49 and 50:
1.4. PRICING EUROPEAN OPTIONS 49 Pr
Page 51 and 52:
1.4. PRICING EUROPEAN OPTIONS 51 Nu
Page 53 and 54:
1.4. PRICING EUROPEAN OPTIONS 53 By
Page 55 and 56:
1.4. PRICING EUROPEAN OPTIONS 55 Si
Page 57 and 58:
Chapter 2 The calibration problem a
Page 59 and 60:
2.1. LEAST SQUARES CALIBRATION 59 m
Page 61 and 62:
2.1. LEAST SQUARES CALIBRATION 61 i
Page 63 and 64:
2.1. LEAST SQUARES CALIBRATION 63 w
Page 65 and 66:
2.1. LEAST SQUARES CALIBRATION 65 A
Page 67 and 68:
2.1. LEAST SQUARES CALIBRATION 67 i
Page 69 and 70:
2.2. SELECTION USING RELATIVE ENTRO
Page 71 and 72:
2.2. SELECTION USING RELATIVE ENTRO
Page 73 and 74:
2.3. RELATIVE ENTROPY IN THE LITERA
Page 75 and 76:
Page 77 and 78:
Page 79 and 80:
Page 81 and 82:
2.4. RELATIVE ENTROPY OF LEVY PROCE
Page 83 and 84:
2.4. RELATIVE ENTROPY OF LEVY PROCE
Page 85 and 86:
2.5. REGULARIZING THE CALIBRATION P
Page 87 and 88:
Page 89 and 90:
Page 91 and 92:
Page 93 and 94:
Page 95 and 96:
Chapter 3 Numerical implementation
Page 97 and 98:
3.1. DISCRETIZING THE CALIBRATION P
Page 99 and 100:
3.2. CHOICE OF THE PRIOR 99 Since
Page 101 and 102:
3.2. CHOICE OF THE PRIOR 101 twice
Page 103 and 104:
3.3. CHOICE OF THE REGULARIZATION P
Page 105 and 106:
Page 107 and 108:
Page 109 and 110:
Page 111 and 112:
3.4. CHOICE OF THE WEIGHTS 111 Then
Page 113 and 114:
3.5. NUMERICAL SOLUTION 113 have th
Page 115 and 116:
3.5. NUMERICAL SOLUTION 115 of X t
Page 117 and 118:
3.5. NUMERICAL SOLUTION 117 since
Page 119 and 120:
3.6. NUMERICAL AND EMPIRICAL TESTS
Page 121 and 122:
Page 123 and 124:
Page 125 and 126:
Page 127 and 128:
Page 129 and 130:
Page 131:
Part II Multidimensional modelling
Page 134 and 135:
134 CHAPTER 4. DEPENDENCE OF LEVY P
Page 136 and 137:
Page 138 and 139:
Page 140 and 141:
Page 142 and 143:
Page 144 and 145:
Page 146 and 147:
Page 148 and 149: 148 CHAPTER 4. DEPENDENCE OF LEVY P
Page 166 and 167: 166 CHAPTER 5. APPLICATIONS OF LEVY
Page 188 and 189: 188 CONCLUSIONS AND PERSPECTIVES ge
Page 190 and 191: 190 BIBLIOGRAPHY [9] O. E. Barndorf
Page 192 and 193: 192 BIBLIOGRAPHY [33] F. Delbaen, P
Page 194 and 195: 194 BIBLIOGRAPHY [57] P. Jorion, On
Page 196 and 197: 196 BIBLIOGRAPHY [81] S. Raible, L
Page 200: 200 INDEX tightness, 40 levycalibra
show all

Processus de LÃ©vy en Finance - Laboratoire de ProbabilitÃ©s et ...

Create successful ePaper yourself

Delete template?

Save as template?