FX and cross-currency options modelling with Levy processes timechanged by other Levy processes John Crosby Global Head of Quantitative Analytics and Research, Lloyds TSB - Neil Shephard - Document - PDFSEARCH.IO

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	FX and cross-currency options modelling with Levy processes timechanged by other Levy processes John Crosby Global Head of Quantitative Analytics and Research, Lloyds TSB Add to Reading List Document Date: 2008-07-21 09:34:03 Open Document File Size: 608,41 KB Share Result on Facebook Company Lloyds TSB / FX Options / / Person Ole Barndorff-Nielsen / John Crosby / Neil Shephard / Kaya / / Position Global Head / / Technology simulation / / SocialTag Ole Barndorff-Nielsen Neil Shephard Stochastic CIR process Lévy process Dynamics Statistics Stochastic processes Ornstein–Uhlenbeck process

FX and cross-currency options modelling with Levy processes timechanged by other Levy processes John Crosby Global Head of Quantitative Analytics and Research, Lloyds TSBAdd to Reading List