Results 1 to 10 of about 11,771,558 (147)
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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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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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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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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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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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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Media Statistika, 2022 The Option is widely applied in the financial sector. The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement.
Abdul Hoyyi +2 more
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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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Research of actual information on well casing using machine learning and neural networks
Известия высших учебных заведений: Нефть и газ, 2021 In domestic and world practice, despite the measures applied and developed to improve the quality of well casing, there is a problem of leaky structures in almost 50 % of completed wells.
D. V. Shalyapin +4 more
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