Hi,does anyone know if there exists a solutions manual for the asset pricing book of Duffie?anyway is there on the web something of similar?thanks in advance, regards.

<t>I don't understand why the implied copula of a multivariate (iid) process is not costant in time.Assume the process has only linear dependence: if linear correlation coefficient is independent of time, is then the copula independent of time?Assume the process has non linear dependence and the lin...

is always a compound poisson process, whatever is the jump size distribution (i.e. gamma), a (Lévy) process of finite activity and finite variation?is always a compound poisson process a subordinated process where the jump size process is subordinated by a poisson process?thanks

Hidoes anyone know where I can get available historical series of daily number of trades for stocks?are they available on bloomberg?thanks

not, i mean the positive process called CMY such that CGMY = CMY - CGYthat is described in a Schoutens paper on credit (available at his webpage).I am interested in scaling property and in sum of CMY processes.any idea? thanks

I would know something about scaling property and sum between CMY processes.thanks for any suggestionsregards

<t>hi,as VG process can be represented by difference of two gamma processes, can NIG (or GH) be represented by the difference of two inverse gaussian (or gig) processes?In general, do there exist (Lévy) processes given by difference of positive processes (also if they have not the subordinator law i...

hi all,Does anyone know if it is possible to write double exponential process (kou) as a time change browninan motion?is it possible to get a closed forme formula for characteristic function of relative subordinator process?thanks in advamce, regards

<t>hi,i'm interesting about spread option between electricity and natural gas prices.I have same questions1) Given the payoff max(S2-S1-k,0): how are quantities S1 and S2 choosen?2) Any suggestions about how to find same prices on bloomberg or on the web.3) Which are models most used to price this k...

<t>Thanks for your help,What I try to do is only include in a generic way mean reversion in basic Lèvy models (VG, NIG, CGMY...) and using the char. fun. (as a generic function with argument the char fun (or exponent) of a specific Lèvy process) to calibrate price options by fft based pricing algori...

<t>SDE OUdS(t) = (a - kS(t))dt + dL(t) where L(t) is a generic Lévy processProcessS(t) = exp(-kt) S(0) + Int_0^t [ exp(-k(t -s)) (ads - dL(s)) ]Characteristic function of Sphi_{S(t)}(u) = exp[ iu exp(-kt) S(0) + iu (1- exp(-kt) a/k - Int_0^t [ psi_{L(t)}(u exp(-k(t-s)))ds ] ] where psi_{L(t)}(u) is ...

does anyone know not too complex references about mean-reversion (OU) models with a martingale component driven by a lèvy process whose it is known characteristic function in closed forme?thanks

<t>hi,I have a simple question: the quadratic variation of a compound poisson process on[ 0, T] is the sum of square jump sizes.This is clear because when process does not jump it is costant.My problem is to prove that the quadratic (first and cross...) variation has this form, because it has this f...

thanks, but if we think about f(t) as a non deterministic function can you also find a condition about non existence of f(t) such that f(t)*W(t^2-2t+2) be a BM?also here it's intuitively clear but i don't know how to formalize it.thanks again

<t>i should prove that there is not a function f(t) such that Z(t)=f(t) * W(t^2-2t+2) is a brownian motion.where W(t) is standard BM with zero mean and t variance.i know that variance of Z(t) should have a form like a*t with a positive and finite.i know that W(t^2-2t+2) is equal in low to W(t^2) - W...