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The Variance Gamma++ process and applications to energy markets [PDF]
Applied Stochastic Models in Business and Industry, 2022 AbstractThe purpose of this article is to introduce a new Lévy process, termed the Variance Gamma++ process, to model the dynamics of assets in illiquid markets. Such a process has the mathematical tractability of the Variance Gamma process and is obtained by applying the self‐decomposability of the gamma law.
Matteo Gardini +2 more
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Variance Gamma (nonlocal) equations
Modern Stochastics: Theory and Applications, 2023 Some equations are provided for the Variance Gamma process using the definition other than that based on a time-changed Brownian motion. A new nonlocal equation is obtained involving generalized Weyl derivatives, which is true even in the drifted case ...
Fausto Colantoni
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Prognostic and Classification of Dynamic Degradation in a Mechanical System Using Variance Gamma Process [PDF]
Mathematics, 2021 Recently, maintaining a complex mechanical system at the appropriate times is considered a significant task for reliability engineers and researchers. Moreover, the development of advanced mechanical systems and the dynamics of the operating environments
Marwa Belhaj Salem +2 more
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Special greeks of a variance-gamma driven vasicek model
Scientific African, 2023 Abrupt happenings in financial markets have resulted to the need to adopt Lévy processes such as a variance gamma process in modelling financial derivatives since it has the ability to capture jumps that occur in such scenario.
Adaobi M. Udoye, Lukman S. Akinola
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Extension of Short Rate Model Under a Lévy Process
Fountain Journal of Natural and Applied Sciences (FUJNAS), 2023 A lot of abnormalities occur in real-life scenarios, thus leading to some difficulties in modelling such scenarios without a deeper understanding of certain aspects of Lévy processes.
Dr A. M. Udoye
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Assets performance evaluation with the use of returns distribution characteristics [PDF]
تصمیم گیری و تحقیق در عملیات, 2023 Purpose: Portfolio optimization is a selection of assets with the lowest risk and highest return. Asset performance evaluation is a useful way to choose assets and construct a profitable portfolio.
Seyedeh Masoumeh Mirsadeghpour Zoghi +4 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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Residue Sum Formula for Pricing Options under the Variance Gamma Model
Mathematics, 2021 We present and prove a triple sum series formula for the European call option price in a market model where the underlying asset price is driven by a Variance Gamma process.
Pedro Febrer, João Guerra
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Design of a Pure Endowment Life Insurance Contract Based on Optimal Stochastic Control [PDF]
Mathematics and Modeling in Finance, 2022 In this paper, we design a pure-endowment insurance contract and obtain the optimal strategy and consumption for a policyholder with CRRA utility function. In this contract, premiums are received from the policyholder at certain times.
Saman Vahabi, Amir Payandeh Najafabadi
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Mathematical and Computational Applications, 2022 Within statistical process control (SPC), normality is often assumed as the underlying probabilistic generator where the process variance is assumed equal for all rational subgroups.
Schalk W. Human +3 more
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