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PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
International Journal of Theoretical and Applied Finance, 2004 We calculate prices of first touch digitals under normal inverse Gaussian (NIG) processes, and compare them to prices in the Brownian model and double exponential jump-diffusion model. Numerical results are produced to show that for typical parameters values, the relative error of the Brownian motion approximation to NIG price can be 2–3 dozen percent
OLEG KUDRYAVTSEV, SERGEI LEVENDORSKIǏ
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Feller processes of normal inverse Gaussian type
Quantitative Finance, 2001We consider the construction of normal inverse Gaussian (NIG) (and some related) Levy processes from the probabilistic viewpoint and from that of the theory of pseudo-differential operators; we then introduce and analyse natural generalizations of these constructions.
Barndorff-Nielsen, O.E. +1 more
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The normal inverse Gaussian distribution: a versatile model for heavy-tailed stochastic processes
2001 IEEE International Conference on Acoustics, Speech, and Signal Processing. Proceedings (Cat. No.01CH37221), 2002The normal inverse Gaussian (NIG) distribution is a recent flexible closed form distribution that may be applied as a model of heavy-tailed processes. The NIG distribution is completely specified by four real valued parameters that have natural interpretations in terms of the shape of the resulting probability density function.
Alfred Hanssen, Tor Arne Øigård
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The normal inverse gaussian lévy process: simulation and approximation
Stochastic Models, 1997Summary: The one- and two-dimensional normal inverse Gaussian Lévy process is studied in relation to German and Danish financial data. In order to investigate if the normal inverse Gaussian Lévy process is a suitable model we calculate the uniform residuals by means of an algorithm which simulates random variables from the normal inverse Gaussian ...
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Annals of Operations Research, 2002
A partial equillibrium comsumption-based pricing model is analyzed, where the returns submit a normal inverse Gaussian distribution which is found promising in fitting with the real asset return. The modelling is given by constructing a partial equillibrium model with a representative agent and an Levy aggregate comsumption processes submiting an ...
K. Aase
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A partial equillibrium comsumption-based pricing model is analyzed, where the returns submit a normal inverse Gaussian distribution which is found promising in fitting with the real asset return. The modelling is given by constructing a partial equillibrium model with a representative agent and an Levy aggregate comsumption processes submiting an ...
K. Aase
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Risk Processes with Normal Inverse Gaussian Claims and Premiums
2014We study risk processes where claims and premiums are modeled by independent normal inverse Gaussian (NIG) Levy processes; claims by a spectrally positive NIG Levy process. Using martingale technique, the Lundberg inequality for ruin probability is proved.
Dean Teneng, Kalev Pärna
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Approximation of Distribution of Log-returns with Normal Inverse Gaussian Process
2018 59th International Scientific Conference on Information Technology and Management Science of Riga Technical University (ITMS), 2018Normal inverse Gaussian (NIG) distribution is a quit a new distribution introduced in 1997. This is distribution, which describes evolution of NIG process. It appears that in many cases NIG distribution describes log-returns of stock prices with a high accuracy.
Andrejs Matvejevs
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2017
This thesis aims to study a new Levy-driven diffusion process, where the random innovations that underlie the realised values are governed by a normal inverse Gaussian (NIG) process. A diffusion process driven by Brownian motion with compound Poisson jumps is often used to capture random jumps in an asset's price.
M. Liu
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This thesis aims to study a new Levy-driven diffusion process, where the random innovations that underlie the realised values are governed by a normal inverse Gaussian (NIG) process. A diffusion process driven by Brownian motion with compound Poisson jumps is often used to capture random jumps in an asset's price.
M. Liu
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Fractional normal inverse Gaussian diffusion
Statistics and Probability Letters, 2011Mark M Meerschaert, P Vellaisamy
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MAP Estimators for Speech Enhancement Under Normal and Rayleigh Inverse Gaussian Distributions
IEEE Transactions on Audio Speech and Language Processing, 2007Richard C Hendriks, Rainer Martin
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