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  • Search: subject:"Inverse gaussian distributions"
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Year of publication
Subject
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Erwartungsnutzen 1 Expected utility 1 GIG distributions 1 General exponential families 1 Inverse gaussian distributions 1 MLE characterization 1 Natural exponential families 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Probability theory 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Statistical distribution 1 Statistische Verteilung 1 Stein characterization 1 Stochastic process 1 Stochastic volatility 1 Stochastischer Prozess 1 Stress tests 1 Symmetric cones 1 Value-at-Risk 1 Wahrscheinlichkeitsrechnung 1 Wishart distributions 1 certainty equivalent 1 cumulant generating functions 1 cumulants gama distributions 1 expected utility 1 implied volatility smiles 1 inverse Gaussian distributions 1 methods of moments estimation 1 normal inverse Gaussian distributions 1 normal-inverse Gaussian distributions 1 option smiles 1 tail risk estimation 1 variance-gamma distributions 1
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Online availability
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Undetermined 2
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 3 English 1
Author
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Casalis, M. 1 Koudou, Angelo Efoevi 1 Letac, G. 1 Ley, Christophe 1 Osband, Kent 1 Tompkins, Robert 1
Institution
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European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management 1
Published in...
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Journal of investment management : JOIM 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1 The European Journal of Finance 1 Working Papers ECARES 1
Source
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RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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Characterizations of GIG Laws: a Survey Complemented with Two New Results
Koudou, Angelo Efoevi; Ley, Christophe - European Centre for Advanced Research in Economics and … - 2014
Persistent link: https://www.econbiz.de/10010732243
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VarGamma stresstests
Osband, Kent - In: Journal of investment management : JOIM 11 (2013) 2, pp. 92-107
Persistent link: https://www.econbiz.de/10009763897
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Why Smiles Exist in Foreign Exchange Options Markets: Isolating Components of the Risk Neutral Process
Tompkins, Robert - In: The European Journal of Finance 12 (2006) 6-7, pp. 583-603
Prices of foreign exchange options systematically diverge from those consistent with several previous option pricing models. This paper examines whether alternative models better explaining the empirical dynamics of the foreign exchange futures markets can yield implied volatility surfaces...
Persistent link: https://www.econbiz.de/10005471941
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Characterization of the Jorgensen set in generalized linear models
Casalis, M.; Letac, G. - In: TEST: An Official Journal of the Spanish Society of … 3 (1994) 1, pp. 145-162
Persistent link: https://www.econbiz.de/10005613356
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