Search Results - subject:"Variance Gamma Model"

Conic portfolio theory

Madan, Dilip B. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-42

Persistent link: https://www.econbiz.de/10011523770

Market risk of investment in us subprime crisis : comparison of a pure diffusion and a pure jump model

Mozumder, Sharif; Rahman, Arafatur - In: Annals of financial economics 11 (2016) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011685729

Modeling share returns : an empirical study on the Variance Gamma model

Rathgeber, Andreas W.; Stadler, Johannes; Stöckl, Stefan - In: Journal of economics and finance 40 (2016) 4, pp. 653-682

Persistent link: https://www.econbiz.de/10011659065

Hedging insurance books

Carr, Peter; Madan, Dilip B.; Melamed, Michael; … - In: Insurance / Mathematics & economics 70 (2016), pp. 364-373

Persistent link: https://www.econbiz.de/10011597326

Dynamic conic hedging for competitiveness

Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim - In: Mathematics and financial economics 10 (2016) 4, pp. 405-439

Persistent link: https://www.econbiz.de/10011555303

A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns

Göncü, Ahmet; Karahan, Mehmet Oğuz; Kuzubaş, Tolga Umut - In: The North American journal of economics and finance : a … 36 (2016), pp. 69-83

Persistent link: https://www.econbiz.de/10011672611

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

Computing Greeks for Lévy models : the fourier transform approach

Olivera, Federico de; Mordecki, Ernesto - In: Trends in mathematical economics : dialogues between …, (pp. 99-121). 2016

Persistent link: https://www.econbiz.de/10011800675

Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness

Madan, Dilip B. - In: Journal of Risk and Financial Management 3 (2010) 1, pp. 1-25

An argument for adjusting Black Scholes implied call deltas downwards for a gamma exposure in a left skewed market is presented. It is shown that when the objective for the hedge is the conservation of capital ignoring the gamma for the delta position is expensive. The gamma adjustment factor in...

Persistent link: https://www.econbiz.de/10011031461

Conserving capital by adjusting deltas for gamma in the presence of skewness

Madan, Dilip B. - In: Journal of Risk and Financial Management 3 (2010) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011843221