Search Results - subject:"Gamma processes"

Hughston, Lane P.; Sánchez-Betancourt, Leandro - In: Risks 8 (2020) 4, pp. 1-22

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } tÏ0 {Ft}tÏ0 is generated by an information process {ξ t } tÏ0 {ξt}tÏ0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...

Persistent link: https://www.econbiz.de/10013200638

Pricing with variance gamma information

Hughston, Lane P.; Sánchez-Betancourt, Leandro - In: Risks : open access journal 8 (2020) 4/105, pp. 1-22

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } t≥0 {Ft}t≥0 is generated by an information process {ξ t } t≥0 {ξt}t≥0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...

Persistent link: https://www.econbiz.de/10012384391

Survival analysis via hierarchically dependent mixture hazards

Camerlenghi, Federico; Lijoi, Antonio; Prünster, Igor - 2020

Persistent link: https://www.econbiz.de/10012297524

A class of hazard rate mixtures for combining survival data from different experiments

Lijoi, Antonio; Nipoti, Bernardo - Dipartimento di Scienze Economiche e Aziendali, … - 2013

illustrative purposes, we specialize our general results to a class of dependent extended gamma processes. We finally display a few …

Persistent link: https://www.econbiz.de/10011145336

Markovian short rates in a forward rate model with a general class of Lévy processes

Küchler, Uwe; Naumann, Eva - 2003

gamma processes are included, in particular variance gamma processes in the sense of Madan [14], Madan, Senata [15]. …

Persistent link: https://www.econbiz.de/10010296442

Markovian short rates in a forward rate model with a general class of Lévy processes

Küchler, Uwe; Naumann, Eva - Sonderforschungsbereich 373, Quantifikation und … - 2003

gamma processes are included, in particular variance gamma processes in the sense of Madan [14], Madan, Senata [15]. …

Persistent link: https://www.econbiz.de/10010983794