C. Houdré

activity

20042021

most citedOn Layered Stable Processes

42 citations · 148 across the 13 of their papers we have counts for

collaborators

Showing 2010Show all

2 papers · 1 filter

q-fin.PR2010★ 22 cited

Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

J. E. Figueroa-López, R. Gong, C. Houdré

We consider a stochastic volatility model with Lévy jumps for a log-return process $Z = (Z_{t})_{t \geq 0}$ of the form $Z = U + X$ , where $U = (U_{t})_{t \geq 0}$ is a classical stochastic…

math.PR2010

A probabilistic approach to the asymptotics of the length of the longest alternating subsequence

Christian Houdré, Ricardo Restrepo

Let $L A_{n} (τ)$ be the length of the longest alternating subsequence of a uniform random permutation $τ \in [n]$ . Classical probabilistic arguments are used to rederive the asymptoti…