60J75 — 2 articles found.

On a model for stock price movements and the power-variance family

C. R. Math. Rep. Acad. Sci. Canada Vol. 26 (4) 2004, pp. 102–109
Vol.26 (4) 2004
Vladimir Vinogradov Details
(Received: 2003-12-10 )
(Received: 2003-12-10 )

Vladimir Vinogradov

Abstract/Résumé:

No abstract available but the full text pdf may be downloaded at the title link below.

Keywords:

AMS Subject Classification: Large deviations, Functional limit theorems; invariance principles, Jump processes, None of the above; but in this section 60F10, 60F17, 60J75, 60K99

PDF(click to download): On a model for stock price movements and the power-variance family

On a class of Levy processes used to model stock price movements with possible downward jumps

C. R. Math. Rep. Acad. Sci. Canada Vol. 24 (4) 2002, pp. 152–159
Vol.24 (4) 2002
V. Vinogradov Details
(Received: 2002-06-04 )
(Received: 2002-06-04 )

V. Vinogradov

Abstract/Résumé:

No abstract available but the full text pdf may be downloaded at the title link below.

Keywords:

AMS Subject Classification: Large deviations, Sample path properties, Jump processes, Applications (reliability; demand theory; etc.) 60F10, 60G17, 60J75, 60K10

PDF(click to download): On a class of Levy processes used to model stock price movements with possible downward jumps