106 citations · 361 across the 16 of their papers we have counts for
4 papers · 1 filter
Pricing of options on stocks driven by multi-dimensional operator stable Levy processes
Przemyslaw Repetowicz, Peter Richmond
We model the price of a stock via a Langévin equation with multi-dimensional fluctuations coupled in the price and in time. We generalize previous models in that we assume that the…
The Wick theorem for non-Gaussian distributions and its application for noise filtering of correlated q-Exponentialy distributed random variables
Przemyslaw Repetowicz, Peter Richmond
We derive the Wick theorem for the q-Exponential distribution. We use the theorem to derive an algorithm for finding parameters of the correlation matrix of q-Exponentialy distribu…
Modelling the term structure of interest rates á la Heath-Jarrow-Morton but with non Gaussian fluctuations
Przemyslaw Repetowicz, Brian Lucey, Peter Richmond
We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a genera…
Dynamics of Money and Income Distributions
Przemyslaw Repetowicz, Stefan Hutzler, Peter Richmond
We study the model of interacting agents proposed by Chatterjee et al that allows agents to both save and exchange wealth. Closed equations for the wealth distribution are develope…