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  • Search: subject:"infinitely divisible"
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Year of publication
Subject
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infinitely divisible distribution 3 tempered infinitely divisible distributions 3 tempered stable distribution 3 tempered stable distributions 3 Esscher transform 2 GARCH model option pricing 2 Lévy process 2 Ornstein-Uhlenbeck process 2 Random matrices 2 Stochastic process 2 Stochastischer Prozess 2 Theorie 2 Variance-Gamma (VG) model 2 Wishart distribution 2 characterization and structure for multivariate probability distributions 2 distribution theory 2 function characteristic 2 infinitely divisible and stable distributions 2 matrix-valued Levy processes 2 matrix-variate Laplace distribution 2 matrix-variate gamma distribution 2 matrix-variate gamma process 2 modified tempered stable distributions 2 rapidly decreasing tempered stable distribution 2 singular random matrices 2 stable distributions 2 stochastic volatility 2 tempered infinitely divisible distribution 2 triangular matrix-valued Rayleigh process 2 Allokation 1 Chain-ladder model 1 Estimation theory 1 Forecasting 1 Forecasting model 1 Fourier 1 Generalized linear mode 1 Güter 1 Inference 1 Infinitely divisible 1 Levy processes 1
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Online availability
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Free 13 CC license 1
Type of publication
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Book / Working Paper 11 Article 2
Type of publication (narrower categories)
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Working Paper 5 Graue Literatur 2 Non-commercial literature 2 Arbeitspapier 1 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
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Language
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English 11 Undetermined 2
Author
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Bianchi, Michele Leonardo 5 Fabozzi, Frank J. 5 Rachev, Svetlozar T. 5 Kim, Young Shin 4 Kozubowski, Tomasz J. 2 Mazur, Stepan 2 Nzokem, Aubain Hilaire 2 Podgórski, Krzysztof 2 Bianchi, Michele 1 Ching, Stephen 1 Fabozzi, Frank 1 Harnau, Jonas 1 Kim, Young 1 Lewis, Alan L. 1 Morimoto, Shuhei 1 Nielsen, Bent 1 Rachev, Svetlozar 1 Serizawa, Shigehiro 1
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Institution
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Fakultät für Wirtschaftswissenschaften, Karlsruhe Institut für Technologie 2 Banca d'Italia 1 Finance Press 1 School of Management, Yale University 1
Published in...
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KIT Working Paper Series in Economics 2 Working Paper Series in Economics 2 Economics discussion papers 1 ISER Discussion Paper 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 Related articles 1 Temi di discussione (Economic working papers) 1 Working Paper 1 Working paper 1 Yale School of Management Working Papers 1
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Source
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EconStor 5 RePEc 5 ECONIS (ZBW) 3
Showing 1 - 10 of 13
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Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-28
The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (»), and scale (θ); and studies its application to the pricing of European options. The results of our analysis show that the five-parameter VG model is a stochastic...
Persistent link: https://www.econbiz.de/10014332830
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Pricing European options under stochastic volatility models : case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-28
The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (α), and scale (θ); and studies its application to the pricing of European options. The results of our analysis show that the five-parameter VG model is a stochastic...
Persistent link: https://www.econbiz.de/10014288862
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Matrix gamma distributions and related stochastic processes
Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022
infinitely divisible. A class of matrix-variate Laplace distributions arises naturally in this set-up as the distributions of the …
Persistent link: https://www.econbiz.de/10014331150
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Matrix gamma distributions and related stochastic processes
Kozubowski, Tomasz J.; Mazur, Stepan; Podgórski, Krzysztof - 2022
'evy. In particular, we clarify why the row/column vectors in the off-diagonal blocks are infinitely divisible. A class of …
Persistent link: https://www.econbiz.de/10013469607
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Over-dispersed age-period-cohort models
Harnau, Jonas; Nielsen, Bent - 2017
Persistent link: https://www.econbiz.de/10011882276
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Tempered stable Ornstein-Uhlenbeck processes: a practical view
Bianchi, Michele Leonardo; Rachev, Svetlozar T.; … - Banca d'Italia - 2013
tempered infinitely divisible distributions proposed by Rosinski (2007) and Bianchi et al. (2010b), respectively. In general …
Persistent link: https://www.econbiz.de/10011099624
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Tempered infinitely divisible distributions and processes
Bianchi, Michele Leonardo; Rachev, Svetlozar T.; Kim, … - 2011
In this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the …
Persistent link: https://www.econbiz.de/10010304721
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Tempered stable and tempered infinitely divisible GARCH models
Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele … - 2011
In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation, referred to as the … considering a proper density transformation between infinitely divisible random variables, these GARCH models allow to find the …
Persistent link: https://www.econbiz.de/10010304722
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Tempered stable and tempered infinitely divisible GARCH models
Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele … - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2011
In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation, referred to as the … considering a proper density transformation between infinitely divisible random variables, these GARCH models allow to find the …
Persistent link: https://www.econbiz.de/10009024647
Saved in:
Cover Image
Tempered infinitely divisible distributions and processes
Bianchi, Michele Leonardo; Rachev, Svetlozar T.; Kim, … - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2011
In this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the …
Persistent link: https://www.econbiz.de/10009024648
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