Results 221 to 230 of about 185,692 (261)

Multivariate Birnbaum-Saunders accelerated lifetime regression model: estimation and residual analysis. [PDF]

Sci Rep
Oliveira MI, Cysneiros FJA, Barros M.
europepmc   +1 more source

Spectral dependence as a framework for neural coordination. [PDF]

Curr Res Neurobiol
Besosa C, Qin Y, Burke SN, Maurer AP.
europepmc   +1 more source

From multiplicity of infection to force of infection in sparsely sampled high-transmission <i>Plasmodium falciparum</i> populations. [PDF]

Elife
Zhan Q, Tiedje KE, Day KP, Pascual M.
europepmc   +1 more source

Looking Under the Hood: Using Time-Frequency Analysis to Bridge the Gap Between Event-Related Potential Biomarkers of Psychosis and Underlying Neural Circuitry. [PDF]

Biol Psychiatry Glob Open Sci
Erickson MA.
europepmc   +1 more source

Optimizing gamma irradiation for genotype-specific enhancement of pollen performance and haploid induction in cucumber (Cucumis sativus L.). [PDF]

Sci Rep
Ebadi Hasan Abadi M, Ghahremani Z, Borzouei A, Naserian B.   +3 more
europepmc   +1 more source

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Local variance gamma revisited

The Journal of Computational Finance, 2015
In this paper we develop a new method for implied volatility surface construction for FX options. The methodology is based on the local variance gamma model developed by Carr (2008). Our approach is to solve a simplified "one-step" version of the Dupire equation analytically under the assumption of a continuous five parameter diffusion function.
Markus Falck, Mikhail Vladimirovich Deryabin   +1 more
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The Variance Gamma Process and Option Pricing

Review of Finance, 1998
Abstract A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. Theprocess is obtained by evaluating Brownian motion with drift at a random time given by a gamma process.
Carr, P, Madan, DB, Chang, EC
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A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS [PDF]

International Journal of Theoretical and Applied Finance, 2008
In this paper we subordinate a multivariate Brownian motion with independent components by a multivariate gamma subordinator. The resulting process is a generalization of the bivariate variance gamma process proposed by Madan and Seneta [7], mentioned in Cont and Tankov [4] and calibrated in Luciano and Schoutens [5] as a price process.
openaire   +3 more sources

The β-variance gamma model

Review of Derivatives Research, 2010
Kuznetsov (Ann Appl Prob, 2009) introduces a 10-parameter family of Levy processes for which the Wiener-Hopf factors and the distribution of the running supremum (infimum) can be determined semi-analytically. In this text we will examine the numerical performance of this so-called β-family, both in the equity world and in the field of credit risk.
Wim Schoutens, Geert Van Damme
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Implementation of the Variance Gamma Model

SSRN Electronic Journal, 2017
The variance gamma model is a three parameter generalization of Brownian motion as a model for the dynamics of the logarithm of the stock price. Although it is possible to explicitly calculate call and put prices because of some misfortune correct formulas are not available in literature. Here I will present the correct expressions.
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