Results 31 to 40 of about 183,836 (261)
Optimal Variance–Gamma approximation on the second Wiener chaos [PDF]
Journal of Functional Analysis, 2022 In this paper, we consider a target random variable $Y \sim \CVG$ distributed according to a centered Variance--Gamma distribution. For a generic random element $F=I_2(f)$ in the second Wiener chaos with $\E[F^2]= \E[Y^2]$ we establish a non-asymptotic optimal bound on the distance between $F$ and $Y$ in terms of the maximum of difference of the first ...
Azmoodeh, Ehsan +2 more
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Higher-order asymptotic corrections and their application to the Gamma Variance Model
European Physical Journal C: Particles and Fields, 2023 We present improved methods for calculating confidence intervals and p values in situations where standard asymptotic approaches fail due to small sample sizes.
Enzo Canonero +2 more
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Confidence interval estimation of the common mean of several gamma populations
PLoS ONE, 2022 Gamma distributions are widely used in applied fields due to its flexibility of accommodating right-skewed data. Although inference methods for a single gamma mean have been well studied, research on the common mean of several gamma populations are ...
Li Yan
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APPLICATION OF THE JSIR2S CODE PACKAGE FOR SHUTDOWN DOSE RATE CALCULATIONS ON JET [PDF]
EPJ Web of Conferences, 2021 In this paper we present a computational exercise for shut-down dose rate calculations for the JET tokamak using the in-house developed JSIR2S code package as part of its validation.
Ambrožič Klemen +3 more
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Efficient Option Pricing under Levy Processes, with CVA and FVA
Frontiers in Applied Mathematics and Statistics, 2015 We generalize the Piterbarg (2010) model to include 1) bilateral default risk as in Burgard and Kjaer (2012), and 2) jumps in the dynamics of the underlying asset using general classes of L'evy processes of exponential type.
Jimmy eLaw +2 more
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Stat, 2023 Lévy processes are useful tools for analysis and modeling of jump‐diffusion processes. Such processes are commonly used in the financial and physical sciences. One approach to building new Lévy processes is through subordination, or a random time change.
Caitlin M. Berry, William Kleiber
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Bayesian Option Pricing Framework with Stochastic Volatility for FX Data
Risks, 2016 The application of stochastic volatility (SV) models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters.
Ying Wang +2 more
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SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2020 We establish several closed pricing formulas for various path-independent payoffs, under an exponential Lévy model driven by the Variance Gamma process. These formulas take the form of quickly convergent series and are obtained via tools from Mellin transform theory as well as from multidimensional complex analysis.
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Econometrics, 2020 Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of explanatory variables on the outcome variable.
Annalisa Cadonna +2 more
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Option Pricing in a Dynamic Variance-Gamma Model [PDF]
, 2011 We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamma mixing density. We assume that the Gamma mixing density is time varying and follows an affine Garch model, trying to capture persistence of volatility shocks and also ...
MERCURI, LORENZO, BELLINI, FABIO
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