Browsing School of Mathematics Faculty Publications by Subject "Variance Gamma process"
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Nonparametric estimation for Levy processes with a view towards mathematical finance
(Georgia Institute of Technology, 2004-11)Nonparametric methods for the estimation of the Levy density of a Levy process X are developed. Estimators that can be written in terms of the "jumps" of X are introduced, and so are discrete-data based approximations. A ...