anomalous diffusions – 457
asymptotic normality – 37
Banach lattices – 501
Bessel transforms – 167
binomial distribution – 385
Bismut–Elworthy–Li formula – 145
characteristic function – 81, 207, 353
Cliquet option pricing – 81, 317
compound Poisson process – 317
computation of greeks – 145
concentration function – 207
conditionally Gaussian processes – 483
confidence ellipsoid – 225
confidence region – 37
consistent estimator – 37
continuous-time nonlinear regression – 191
convex stochastic process – 471
Cox proportional hazards model – 37
dependence measure – 353
discrete and distributed delays – 337
distance covariance – 353
distribution function – 317
drifted Brownian motion – 445
EM-algorithm – 225
entire asymptotic separation – 415
equity indexed annuity – 81, 317
errors in variables – 247
exponential bound – 129
exponential mean square stability – 337
factorial moments – 207
Fejèr sums – 429
finite mixture model – 225
finite speed of propagation – 457
Fourier transform – 81, 317
fractional advection-dispersion – 521
fractional Cox–Ingersoll–Ross process – 99
fractional diffusion – 521
fractional gradient – 457
fractional Poisson process – 509
fractional processes – 297
functional model – 247
Gaussian random field – 353
generalized integer-valued autoregressive processes – 53
Greeks – 317
heavy-tailed particle tracking – 521
Hermite–Hadamard inequality – 471
high frequency data – 297
hitting times – 167
hybrid stochastic volatility models – 145
inference for mixtures – 1
infinite divisibility – 509
inhomogeneity – 129
inverse subordinators – 509
jointly strictly sub-Gaussian noise – 191
jump-diffusion model – 317
Kolmogorov metric – 207
large deviations – 483
large financial market – 415
least squares estimator – 191
Lévy processes – 297, 317
limit theorems – 297
linear regression – 225, 247
log-return of financial asset – 81
Lundberg’s inequality – 129
Malliavin calculus – 145
Markov Binomial distribution – 207
martingales – 501
maximum likelihood – 225
measurement error model – 247
measurement errors – 37
Meixner distribution – 81
Meixner–Lévy process – 81
method of moments – 1
mild solution – 429
minimum distance – 1
mixed fractional Brownian motion – 415
mixture with varying concentrations – 225
model-based clustering – 1
moving averages – 297
multitype Galton–Watson branching processes with immigration – 53
multivariate regression – 247
negative definite function – 353
nonlinear stochastic differential equation – 337
nonparametric estimation – 225
numerical methods – 385
optimal value of absolute constant in Berry–Esseen inequality – 385
autoorder of nonlinearity higher than one – 337
path-dependent exotic option – 81, 317
Poisson process – 167
Poisson-Gamma subordinator – 167
probabilities of large deviations – 191
probability measure change – 81
random flights – 457
regions of stability – 337
relative entropy – 415
risk model – 129
ruin probability – 129
ruin problem – 483
sensitivity analysis – 317
simultaneous estimation of baseline hazard rate and regression parameter – 37
stability in probability – 337
stable convergence – 297
stable Lévy diffusion – 521
stochastic differential equation – 81, 99, 317
stochastic Fourier series – 429
stochastic fractional integrals – 471
stochastic independence – 353
stochastic measure – 429
stochastic wave equation – 429
Stratonovich integral – 99
strong asymptotic arbitrage – 415
strong consistency – 247
structured product – 317
subordinators – 509
supremum of sums – 129
tail probability – 129
tempered fractional derivatives – 445
temporal and contemporaneous aggregation – 53
time-change – 167
total least squares – 247
varying coefficients – 337
weighted random variables – 207