The purpose of this paper is to introduce a stochastic volatility model for option pricing that
exhibits Lévy jump behavior. For this model, we derive the general formula for a European …

We derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly
follow a multivariate tempered stable distribution. These lead to processes that are more …

Given that the underlying assets in financial markets exhibit stylized facts such as
leptokurtosis, asymmetry, clustering properties and heteroskedasticity effect, this paper …

This paper investigates the risk-return trade-off by taking into account the model
specification problem. Market volatility is modeled to have two components, one due to the …

This article investigates time-changed infinite activity derivatives pricing models from the
sequential Bayesian perspective. It proposes a sequential Monte Carlo method with the …

The shot-noise jump-diffusion (SNJD) model aims to reflect how economic variables
respond to the arrival of sudden information. This paper analyzes the SNJD model …

A curse of dimensionality arises when using the Continuum-GMM procedure to estimate
large dimensional models. Two solutions are proposed, both of which convert the high …

This paper pays attention to Ornstein-Uhlenbeck (OU) based stochastic volatility models with
marginal law given by Classical Tempered Stable (CTS) distribution and Normal Inverse …

Probability transform-based inference, for example, characteristic function-based inference,
is a good alternative to likelihood methods when the probability density function is …

In this thesis, we introduce a methodology for the simulation and parameter estimation of
multivariate tempered stable distributions. Using the fact that tempered stable distributions …