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Efficient simulation of gamma and variance-gamma processes [PDF]
Proceedings of the 2003 International Conference on Machine Learning and Cybernetics (IEEE Cat. No.03EX693), 2004 We study algorithms for sampling discrete-time paths of a gamma process and a variance-gamma process, defined as a Brownian process with random time change obeying a gamma process. The attractive feature of the algorithms is that increments of the processes over longer time scales are assigned to the first sampling coordinates. The algorithms are based
Avramidis, Athanassios.N. +2 more
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SIFAT-SIFAT DAN KEJADIAN KHUSUS DISTRIBUSI GAMMA
Barekeng, 2021 The gamma distribution is one of special continuous random variable distribution with scale parameter and shape parameter where is positive real numbers.
Royke Yohanes Warella +2 more
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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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On the Moments of the Variance-Gamma Distribution
Statistics & Probability Letters, 2023 6 ...
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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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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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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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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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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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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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