Completion of a Lévy market by power-jump assets
José Manuel Corcuera, David Nualart, Wim Schoutens
Except for the geometric Brownian model and the geometric Poissonian model, the general geometric Lévy market models are incomplete models and there are many equivalent martingale measures. In this...
Bipower variation for Gaussian processes with stationary increments
José Manuel Corcuera, Mark Podolskij
Convergence in probability and central limit laws of bipower variation for Gaussian processes with stationary increments and for integrals with respect to such processes are derived. The main tools...
Power variation for Gaussian processes with stationary increments
José Manuel Corcuera, Mark Podolskij
We develop the asymptotic theory for the realised power variation of the processes X = f • G, where G is a Gaussian process with stationary increments. More specifically, under some mild...
Power variation for Gaussian processes with stationary increments
José Manuel Corcuera, Mark Podolskij
We develop the asymptotic theory for the realised power variation of the processes X = f • G, where G is a Gaussian process with stationary increments. More specifically, under some mild...