Results 11 to 20 of about 123,350 (264)
Modelling and Prognostics of System Degradation using Variance Gamma Process [PDF]
Proceedings of the 30th European Safety and Reliability Conference and 15th Probabilistic Safety Assessment and Management Conference, 2020 Nowadays estimation of Remaining Useful Life (RUL) is essential to the prognostics and health management of high-priced systems. Initially, the properties of the VG process and estimation of the parameters are presented. Analytical approximation is also discussed and due to its complexity, a simulated method is proposed.
Belhaj Salem, Marwa +2 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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Stationary-increment Student and variance-gamma processes [PDF]
Journal of Applied Probability, 2006 A continuous-time model with stationary increments for asset price {P t } is an extension of the symmetric subordinator model of Heyde (1999), and allows for skewness of returns. In the setting of independent variance-gamma-distributed returns the model resembles closely that of Madan, Carr, and Chang ...
Finlay, Richard, Seneta, Eugene
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Calibration for Weak Variance-Alpha-Gamma Processes [PDF]
Methodology and Computing in Applied Probability, 2018 The weak variance-alpha-gamma process is a multivariate Lévy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It generalises the variance-alpha-gamma process of Semeraro constructed by traditional subordination.
Boris Buchmann +2 more
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On American Options Under the Variance Gamma Process [PDF]
Applied Mathematical Finance, 2007 American options are considered in a market where the underlying asset follows a Variance Gamma process. A sufficient condition is given for the failure of the smooth fit principle for finite horizon call options. A second‐order accurate finite‐difference method is proposed to find the American option price and the exercise boundary.
A. Almendral, C.W. Oosterlee (Kees)
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The Risk Measurement under the Variance-Gamma Process with Drift Switching [PDF]
Journal of Risk and Financial Management, 2022 The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at the exponentially distributed time. The size of the drift jump is supposed to have a multinomial distribution.
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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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A note on the Estimation of a Gamma-Variance Process: Learning from a Failure [PDF]
Computational Economics, 2016 This paper confirms that, as originally reported in Seneta (Journal of Applied Probability 41:177---187, 2004, p. 183), it is impossible to replicate Madan et al. (European Finance Review 2:135---156, 1998) results using log daily returns on S&P 500 Index from January 1992 to September 1994.
Gian Piero Cervellera, Marco Paolo Tucci
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Some Probability Characteristics of the Solution of Stochastic Fredholm Integral Equation Contains a Joint Gamma Process [PDF]
Engineering and Technology Journal, 2014 In this paper, some probability characteristics functions (probability density and spectral density) are derived depending upon the smallest variance of the stochastic solution of supposing stochastic linear Fredholm integral equation of the second kind ...
Mohammad W. Muflih +2 more
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