Results 221 to 230 of about 185,860 (260)
Multivariate Birnbaum-Saunders accelerated lifetime regression model: estimation and residual analysis. [PDF]
Sci RepOliveira MI, Cysneiros FJA, Barros M.
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Spectral dependence as a framework for neural coordination. [PDF]
Curr Res NeurobiolBesosa C, Qin Y, Burke SN, Maurer AP.
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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 SciErickson MA.
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Scalable biomarkers of Parkinson's disease: insights from mobile EEG in Peru. [PDF]
Sci RepBrown G +5 more
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Local variance gamma revisited
The Journal of Computational Finance, 2015In 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 +1 more
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The Variance Gamma Process and Option Pricing
Review of Finance, 1998Abstract 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.
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A Singular Gamma Variance Expansion
Wilmott, 2023We give an analytical expansion for option prices and Black implied volatilities consistent with the Variance Gamma model [MCC98] based on a singular expansion of the standard gamma density in terms of the Dirac functions and its derivatives
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Minimum Variance Unbiased Estimation in the Gamma Distribution
Communications in Statistics - Simulation and Computation, 1975In this paper a new infinite series UMVU etimator far general functions of the scale parameter in the gamma distribution wita shape parameter known is presented. The formula gives is easy to employ,and also leads to simple approximations to the UMVU. These approximations are shown to perform well is the examples considered.
Woodward, W. A., Gray, H. L.
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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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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
openaire +1 more source