Results 41 to 50 of about 1,093,895 (300)

The Downside and Upside Beta Valuation in the Variance-Gamma Model

International Journal of Analysis and Applications, 2021
The paper is aimed to assess the risks and gains of investment portfolio which relate to the impact of a particular asset. We consider the investment portfolios which consist of assets with variance-gamma, gamma distributed and deterministic returns. The
Roman V. Ivanov
doaj  

Asymptotic Normality in Linear Regression with Approximately Sparse Structure

Mathematics, 2022
In this paper, we study the asymptotic normality in high-dimensional linear regression. We focus on the case where the covariance matrix of the regression variables has a KMS structure, in asymptotic settings where the number of predictors, p, is ...
Saulius Jokubaitis, Remigijus Leipus
doaj   +1 more source

The Variance-Gamma Distribution: A Review

Statistical Science
The variance-gamma (VG) distributions form a four-parameter family which includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and distributional approximation on Wiener space.
Fischer, A, Gaunt, RE, Sarantsev, A
openaire   +3 more sources

LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES [PDF]

Mathematical Finance, 2014
In some options markets (e.g., commodities), options are listed with only a single maturity for each underlying. In others (e.g., equities, currencies), options are listed with multiple maturities. In this paper, we analyze a special class of pure jump Markov martingale models and provide an algorithm for calibrating such models to match the market ...
Carr, Peter, Nadtochiy, Sergey
openaire   +4 more sources

Multivariate Downside Risk: Normal Versus Variance Gamma [PDF]

SSRN Electronic Journal, 2010
AbstractAlthough several types of options on multiple assets are popular in today's financial markets, valuing multiasset options is still a challenge in finance. The standard framework of multivariate normality is often inappropriate, since it ignores fat tails and other stylized facts of asset returns.
Wallmeier, Martin, Diethelm, Martin
openaire   +2 more sources

DISTRIBUSI INVERS GAMMA PADA INFERENSI BAYESIAN

Media Statistika, 2010
One of the methods which can be used in statistical inferences  is Bayesian inference. It is combine sample distribution and prior distribution, that can be resulted posterior distribution.
Sugito Sugito, Dwi Ispriyanti
doaj   +1 more source

On the number of series parallel and outerplanar graphs [PDF]

Discrete Mathematics & Theoretical Computer Science, 2005
We show that the number $g_n$ of labelled series-parallel graphs on $n$ vertices is asymptotically $g_n \sim g \cdot n^{-5/2} \gamma^n n!$, where $\gamma$ and $g$ are explicit computable constants.
Manuel Bodirsky, Omer Gimenez, Mihyun Kang, Marc Noy   +3 more
doaj   +1 more source

Cell geometry and membrane protein crowding constrain Escherichia coli growth rate, overflow metabolism, respiration, and maintenance energy

FEBS Letters, EarlyView.
The physical dimensions and shape of bacterial cells define the surface area available to acquire nutrients and the volume available for synthesizing proteins and DNA. Here, we use computational systems biology to decode the importance of cell geometry as a major determinant of prokaryotic phenotype, including growth rate and metabolic efficiency. This
Ross P. Carlson, Tomáš Gedeon, Mauricio Garcia Benitez, Campbell Putnam, William R. Harcombe, Radhakrishnan Mahadevan, Ashley E. Beck   +6 more
wiley   +1 more source

Microbiome−host proteostasis crosstalk—An emerging perspective on mechanisms and interventions toward healthy longevity

FEBS Letters, EarlyView.
Proteostasis and the gut microbiota play a key role in shaping host physiology. Microbiota‐derived metabolites, vitamins, and RNA modulate host proteostasis. Findings from model systems, including C. elegans, indicate microbes can either stabilize or disrupt host proteostasis.
Abhishek Anil Dubey, Maria Ermolaeva
wiley   +1 more source

Reconstructing enzyme evolution by protein engineering

FEBS Letters, EarlyView.
Natural enzyme evolution can be retraced by protein engineering methods such as directed evolution, rational design, and ancestral sequence reconstruction. These approaches reveal how enzymes emerged from ligand‐binding scaffolds, developed varying substrate preferences, formed oligomeric complexes, adapted to environmental changes, and evolved novel ...
Lukas Drexler, Markus R. Busch, Reinhard Sterner   +2 more
wiley   +1 more source