1 citations · 1 across the 2 of their papers we have counts for
3 papers
math.PR2019★ 1 cited
Wiener-Hopf Factorization for the Normal Inverse Gaussian Process
Daniel Hackmann
We derive the Lévy-Khintchine representation of the Wiener-Hopf factors for the Normal Inverse Gaussian (NIG) process as well as a representation which is similar to the moment gen…
q-fin.MF2017
Analytic techniques for option pricing under a hyperexponential Lévy model
Daniel Hackmann
We develop series expansions in powers of and of solutions of the equation , where is the Laplace exponent of a hyperexponential Lévy process.…
math.PR2016
Karhunen-Loeve expansions of Levy processes
Daniel Hackmann
Karhunen-Loeve expansions (KLE) of stochastic processes are important tools in mathematics, the sciences, economics, and engineering. However, the KLE is primarily useful for those…