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Parisian ruin probability for spectrally negative Lévy processes
L´ evy process ruin probability Parisian ruin risk process
2011/3/23
In this note we give, for a spectrally negative L\'evy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below ze...
On the semimartingale property of discounted asset-price processes
semimartingale property discounted asset-price processes
2010/12/17
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, ...
On discrete stochastic processes with long-lasting time dependence
discrete stochastic processes long-lasting time dependence
2010/12/20
In this manuscript, we analytically and numerically study statistical properties of an heteroskedastic process based on the celebrated ARCH generator of random variables whose variance is defined by a...
An introduction to Lévy processes with applications in finance
introduction Lévy processes applications finance
2010/12/17
These lectures notes aim at introducing L\'{e}vy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of L\'{e}vy processes...
Mathematical analysis of long tail economy using stochastic ranking processes
Mathematical analysis long tail economy stochastic ranking processes
2010/12/17
We present a new method of estimating the distribution of sales rates of, e.g., book titles at an online bookstore, from the time evolution of ranking data found at websites of the store. The method i...
Reflection of globalization and integration processes in some modelling techniques
globalization processes global chains production model in international environment models of foreign trade relationships
2014/3/20
The paper deals with the modelling of globalization and integration processes which fundamentally influence enterprise functioning, subject and business forms in both the internal and external trade. ...
World trade with services in globalisation processes
world trade with services classification of services services in foreign trade structure of the trade with services
2014/3/20
Abstract: Services become an important participant of the international economic relationships during the last 20 to 30 years. Since the sector of services used formerly to be applied rather more on t...
World commodity trade in the globalisation processes
world commodity trade SITC nomenclature territorial structure European Union foreign trade
2014/3/20
The real trade development is estimated by the recalculation of nominal value through unit values (prices). The unit value indices reflect, besides the change of prices, also the changes in the struct...