Search Results - subject:"inverse gaussian process"

Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42

Persistent link: https://www.econbiz.de/10011957033

On the stick–breaking representation of normalized inverse Gaussian priors

Favaro, Stefano; Lijoi, Antonio; Prünster, Igor - Dipartimento di Scienze Economiche e Aziendali, … - 2012

Gaussian process and provide a completely explicit stick–breaking representation for it. Such a new result is of interest both …–called stick–breaking constructions certainly stand out. In this paper we focus on the recently introduced normalized inverse …

Persistent link: https://www.econbiz.de/10010587723

Condition-based maintenance using the inverse Gaussian degradation model

Chen, Nan; Ye, Zhi-Sheng; Xiang, Yisha; Zhang, Linmiao - In: European Journal of Operational Research 243 (2015) 1, pp. 190-199

conforms to an inverse Gaussian process with random effects. The random effects parameter is used to account for …

Persistent link: https://www.econbiz.de/10011190793

Option pricing for symmetric Lévy returns with applications

Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52

Persistent link: https://www.econbiz.de/10010511553

Condition-based maintenance using the inverse Gaussian degradation model

Chen, Nan; Ye, Zhi-Sheng; Xiang, Yisha; Zhang, Linmiao - In: European journal of operational research : EJOR 243 (2015) 1, pp. 190-199

Persistent link: https://www.econbiz.de/10010492974

Time series models for credit default swap premiums

Eifert, Márton - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 21-44

Persistent link: https://www.econbiz.de/10011380101

Time-changed Poisson processes

Kumar, A.; Nane, Erkan; Vellaisamy, P. - In: Statistics & Probability Letters 81 (2011) 12, pp. 1899-1910

We consider time-changed Poisson processes, and derive the governing difference–differential equations (DDEs) for these processes. In particular, we consider the time-changed Poisson processes where the time-change is inverse Gaussian, or its hitting time process, and discuss the governing...

Persistent link: https://www.econbiz.de/10011040085

Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion

Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied Mathematical Finance 17 (2010) 4, pp. 301-321

The main purpose of this article is to propose computational methods for Greeks and the multidimensional density estimation for an asset price dynamics model defined with time-changed Brownian motions. Our approach is based on an application of the Malliavin integration-by-parts formula on the...

Persistent link: https://www.econbiz.de/10008675009