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Return distributions in the class of pure jump limit laws are observed to reflect numerous asymmetries between the upward and downward motions of asset prices. The return distributions are modeled by self decomposable parametric laws with all parameters continuously responding to each other....
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Asset returns are modeled by bilateral gamma processes with zero covariations. Covariances are then observed to be consequences of randomness in variations. Support vector machine regressions on prices are employed to model the implied randomness. The contributions of support vector machine...
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Nonlinear martingale theory is used to form lower and upper price processes straddling a martingale. The martingale return is then modeled in terms of risk charges associated with the returns on the straddling lower and upper processes. The move to physically expected returns is made via the...
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