Results 51 to 60 of about 1,452,119 (286)
A matrix approach to the statistics of longevity in heterogeneous frailty models
Demographic Research, 2014 Background: The gamma-Gompertz model is a fixed frailty model in which baseline mortality increasesexponentially with age, frailty has a proportional effect on mortality, and frailty at birth follows a gamma distribution.
Hal Caswell
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On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model
Risks, 2023 This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions.
Roman V. Ivanov
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The Variance-Gamma Distribution: A Review
Statistical ScienceThe 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
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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
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Likelihood-based risk estimation for variance-gamma models [PDF]
Statistical Methods & Applications, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bee, Marco +2 more
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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
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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
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
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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 +2 more
wiley +1 more source