Topic
Subordinator
About: Subordinator is a research topic. Over the lifetime, 771 publications have been published within this topic receiving 15383 citations.
Papers published on a yearly basis
Papers
More filters
TL;DR: In this article, a generalization of the Mittag-leffler Levy process with parameter α was introduced by extending its Levy measure through the Prabhakar function, which is a MittagLeffler with the additional parameters β and γ.
4 citations
TL;DR: In this paper , a fractional self-exciting model for the risk of corporate default is proposed, where the inverse of an α-stable subordinator is used as a time-changed version of an intensity-based model.
4 citations
TL;DR: In this paper, the authors derive invariance properties and other identities for the Dickman subordinator, related to the large jumps of the process, and the implications of this for size-biased sampling from theDickman distribution are drawn out.
4 citations
Posted Content•
TL;DR: In this article, the first-exit time of the log-return process of the Barndorff-Nielsen and Shephard model is analyzed and the probability density functions of the first exit time of some specific Levy subordinators, connected to stationary, self-decomposable variance processes, are studied.
Abstract: In this paper, an approximate version of the Barndorff-Nielsen and Shephard model, driven by a Brownian motion and a Levy subordinator, is formulated. The first-exit time of the log-return process for this model is analyzed. It is shown that with certain probability, the first-exit time process of the log-return is decomposable into the sum of the first exit time of the Brownian motion with drift, and the first exit time of a Levy subordinator with drift. Subsequently, the probability density functions of the first exit time of some specific Levy subordinators, connected to stationary, self-decomposable variance processes, are studied. Analytical expressions of the probability density function of the first-exit time of three such Levy subordinators are obtained in terms of various special functions. The results are implemented to empirical S&P 500 dataset.
3 citations
Posted Content•
TL;DR: In this article, the authors proposed an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps.
Abstract: We propose an efficient method to evaluate callable and putable bonds under a wide class of interest rate models, including the popular short rate diffusion models, as well as their time changed versions with jumps. The method is based on the eigenfunction expansion of the pricing operator. Given the set of call and put dates, the callable and putable bond pricing function is the value function of a stochastic game with stopping times. Under some technical conditions, it is shown to have an eigenfunction expansion in eigenfunctions of the pricing operator with the expansion coefficients determined through a backward recursion. For popular short rate diffusion models, such as CIR, Vasicek, 3/2, the method is orders of magnitude faster than the alternative approaches in the literature. In contrast to the alternative approaches in the literature that have so far been limited to diffusions, the method is equally applicable to short rate jump-diffusion and pure jump models constructed from diffusion models by Bochner's subordination with a L\'{e}vy subordinator.
3 citations