12 citations · 32 across the 26 of their papers we have counts for
3 papers · 1 filter
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes
Abootaleb Shirvani, Stefan Mittnik, W. Brent Lindquist +1
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin…
Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis
Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist +2
Applying the Cherny-Shiryaev-Yor invariance principle, we introduce a generalized Jarrow-Rudd (GJR) option pricing model with uncertainty driven by a skew random walk. The GJR pric…
Global Index on Financial Losses due to Crime in the United States
Thilini Mahanama, Abootaleb Shirvani, Svetlozar Rachev
Crime can have a volatile impact on investments. Despite the potential importance of crime rates in investments, there are no indices dedicated to evaluating the financial impact o…