Results 21 to 30 of about 123,153 (297)
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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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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Credit risk modeling and credit default swap pricing under Variance Gamma process
, 2008 In this thesis, the structural model in credit risk and the credit derivativesis studied under both Black-Scholes setting and Variance Gamma (VG) setting.Using a Variance Gamma process, the distribution of the firm value process becomesasymmetric and leptokurtic.
HATİCE ANAR
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Gamma oscillations in visual statistical learning correlate with individual behavioral differences
Frontiers in Behavioral Neuroscience, 2023 Statistical learning is assumed to be a fundamentally general sensory process across modalities, age, other cognitive functions, and even species.
Szabolcs Sáringer +3 more
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Pricing Embedded Options Using Fast Fourier Transform to Compare Variance Gamma and Black-Scholes-Merton Model Efficiency [PDF]
Iranian Journal of FinanceEmbedded options are virtually new instruments identical to options in many aspects except their non-tradable nature. Testing the efficiency of the Variance Gamma and Black-Scholes-Merton model on these instruments would provide a vision of transitioning
Alireza Barati, Maryam Khalili Araghi
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A stochastic corrosion model for structural steels subject to sea waters [PDF]
مجله مدل سازی در مهندسی, 2018 In order to perform reliability analysis of steel structures subject to sea waters and thus to corroding marine environments, it is necessary to use: a) a model describing physical behavior of corrosion in structures placed in these circumstances and b ...
Mohammad Reza Moarefzadeh
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Frontiers in Neuroscience, 2022 The brain integrates streams of sensory input and builds accurate predictions, while arriving at stable percepts under disparate time scales. This stochastic process bears different unfolding dynamics for different people, yet statistical learning (SL ...
Anna Vaskevich +3 more
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