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Tail behaviour and tail dependence of generalized hyperbolic distributions

Hammerstein, Ernst August v. - In: Advanced modelling in mathematical finance : in honour …, (pp. 3-40). 2016

Persistent link: https://www.econbiz.de/10011800330

Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016

This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Persistent link: https://www.econbiz.de/10011800335

Explicit computations for some Markov modulated counting processes

Mandjes, Michel; Spreij, Peter - In: Advanced modelling in mathematical finance : in honour …, (pp. 63-89). 2016

Persistent link: https://www.econbiz.de/10011800337

Introducing distances between commodity markets : the case of the US and UK natural gas

Geman, Hélyette; Liu, Bo - In: Advanced modelling in mathematical finance : in honour …, (pp. 93-105). 2016

Persistent link: https://www.econbiz.de/10011800340

Three non-Gaussian models of dependence in returns

Madan, Dilip B. - In: Advanced modelling in mathematical finance : in honour …, (pp. 107-130). 2016

Persistent link: https://www.econbiz.de/10011800343

Estimation of correlation between latent processes

Kimura, Akitoshi; Yoshida, Nakahiro - In: Advanced modelling in mathematical finance : in honour …, (pp. 131-146). 2016

Persistent link: https://www.econbiz.de/10011800345

Hunting for black swans in the European banking sector using extreme value analysis

Beirlant, Jan; Schoutens, Wim; De Spiegeleer, Jan; … - In: Advanced modelling in mathematical finance : in honour …, (pp. 147-166). 2016

Persistent link: https://www.econbiz.de/10011800355

Collateralized borrowing and default risk

Lütkebohmert, Eva; Xiao, Yajun - In: Advanced modelling in mathematical finance : in honour …, (pp. 167-187). 2016

Persistent link: https://www.econbiz.de/10011800358

Model uncertainty in a holistic perspective

Stahl, Gerhard - In: Advanced modelling in mathematical finance : in honour …, (pp. 189-215). 2016

Persistent link: https://www.econbiz.de/10011800360

Option pricing in affine generalized Merton models

Bayer, Christian; Schoenmakers, John - In: Advanced modelling in mathematical finance : in honour …, (pp. 219-239). 2016

Persistent link: https://www.econbiz.de/10011800363

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