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Option Pricing under the Variance Gamma Process [PDF]
, 2009 In this dissertation we price European and American vanilla and barrier options assuming that the underlying follows the variance gamma process. We solve numerically the problem implementing a finite difference algorithm and we present numerical experiments on the option pricing.
openaire +1 more source
Multivariate Variance Gamma and Gaussian dependence: a study with copulas [PDF]
This paper explores the dynamic dependence properties of a Levy process, the Variance Gamma, which has non Gaussian marginal features and non Gaussian dependence.
Elisa Luciano, Patrizia Semeraro
core
FEBS Open Bio, EarlyView.IGFBP4 knockdown (KD) impairs preadipocyte proliferation and is associated with IGF1R protein downregulation and attenuated AKT phosphorylation. The mechanisms by which IGFBP4 KD influences the IGF1R/AKT signaling pathway involve newly synthesized proteins and lysosomal degradation pathways. Created in BioRender.
Yujia Guo +6 more
wiley +1 more source
Business Time and New Credit Risk Models [PDF]
This paper examines a new model of credit risk measurement, the Variance Gamma- Merton one, which seems to be adequate for describing single default occurrence and default correlation in turbulent times.
E. Luciano
core
Malformin A1–mediated cytotoxicity in ovarian cancer cells occurs through pyroptosis and autophagy
FEBS Open Bio, EarlyView.This study investigated the effects of the natural compound Malformin A1 (MA1) on the cytoskeleton that regulates cell proliferation and migration. Disruption of the cytoskeleton can impair these processes and promote cancer cell death. MA1 disrupted cytoskeletal organization, induced DNA damage, inflammation, activated autophagy, and pyroptosis ...
Nada Abdullah Hassan +11 more
wiley +1 more source
The Variance Gamma++ Process and Applications to Energy Markets [PDF]
, 2021 The purpose of this article is to introduce a new L\'evy process, termed Variance Gamma++ process, to model the dynamic of assets in illiquid markets. Such a process has the mathematical tractability of the Variance Gamma process and is obtained applying
Gardini, M., Sasso, E., Sabino, P.
core +1 more source
Variance gamma process simulation and it's parameters estimation
, 2010 Variance gamma process is a three parameter process. Variance gamma process is simulated as a gamma time-change Brownian motion and as a difference of two independent gamma processes.
Kuzmina, A. V.
core
Evaluating the effect of γ‐oryzanol on MASLD pathology using a medaka fish model
FEBS Open Bio, EarlyView.This study explores a liver disease called MASLD, which is increasing worldwide and can lead to serious damage. Researchers used medaka fish instead of rodents to test a food compound, γ‐oryzanol. Fish fed this compound had less liver fat and healthier gut bacteria.
Yukako Ito +7 more
wiley +1 more source
INDUCED MUTAGENIC EFFECTS OF QUANTITATIVE CHARACTERS IN RICE (Oryza sativa L).
Madras Agricultural Journal, 1990 Seeds of the rice variety Co 37 were treated with gamma rays, Ethyl methane Sulphonate (EMS) and their combination treatments. The mean, range, variance and co-efficient variation were estimated in the M2 generation for five traits.
G. NALLATHAMBI and V.D. GURUSWAMY RAJA
doaj +1 more source
GelMA‐based 3D spheroids recapitulate transcriptomic and functional hallmarks of myeloid sarcoma
FEBS Open Bio, EarlyView.GelMA 5% hydrogels support the formation of myeloid leukemia spheroids that recapitulate MS‐specific features, including G1 arrest, apoptosis, and ECM‐driven transcriptomic reprogramming. The 3D model mimicked soft‐tissue‐like stiffness and oxygen conditions, and transcriptomic convergence with primary MS samples confirmed its utility as a preclinical ...
Nicolas Germain +11 more
wiley +1 more source