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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
doaj +4 more sources
Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives [PDF]
Applied Mathematical Finance, 2020 17 pages, 2 figure, 4 ...
Piergiacomo Sabino
exaly +3 more sources
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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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
doaj +3 more sources
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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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
doaj +1 more source
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
doaj +1 more source
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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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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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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