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Publications by Tina Marquardt

Integrating Volatility Clustering Into Exponential Lévy Models

Journal of Applied Probability

English

Related publications

Financial Market Models With Lévy Processes and Time-Varying Volatility

Journal of Banking and Finance

English

Efficient Static Replication of European Options Under Exponential Lévy Models

Journal of Futures Markets

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Connecting Discrete and Continuous Lookback or Hindsight Options in Exponential Lévy Models

Advances in Applied Probability

Applied Mathematics

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On the Exponential Ergodicity of Lévy-Driven Ornstein--Uhlenbeck Processes

Journal of Applied Probability

English

Adjoint Expansions in Local Lévy Models

SSRN Electronic Journal

English

Integrating Cognitive Views Into Psychometric Models for Reading Comprehension Assessment

ETS Research Report Series

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Social Psychology

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A Framework for Integrating Non-Functional Requirements Into Conceptual Models

Requirements Engineering

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Modelling Energy Spot Prices by Volatility Modulated Lévy-Driven Volterra Processes

SSRN Electronic Journal

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Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode

Journal of Applied Mathematics

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