Similar Search Results

The Analytics of Investment, Q, and Cash Flow

Abel, Andrew B. - 2015

In this paper I analyze the relationships among investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. After analyzing the impact of changes in the distribution of the marginal operating profit of capital, I extend the model to...

Persistent link: https://www.econbiz.de/10013015553

An Interest Rate Tree Driven by a Lévy Process

Hainaut, Donatien - 2019

We propose an interest rate model driven by a particular Lévy Process, the normal inverse Gaussian (NIG) process, in which the SDE chosen to govern the evolution of the short term rate is directly inspired from the Hull & White model. The interest rate dynamics is still mean reverting but the...

Persistent link: https://www.econbiz.de/10012905210

A Generalized Normal Mean Variance Mixture for Return Processes in Finance

Luciano, Elisa - 2014

Time changed Brownian motions are extensively applied as decision models for asset returns in Finance. On the other hand infinite divisible normal mixtures generate time changed Brownian motions. The standard generalization leading to the multivariate setting of normal mean variance mixtures...

Persistent link: https://www.econbiz.de/10013052535

Estimation of Continuous-Time Processes via the Empirical Characteristic Function

Jiang, George J. - 2013

This article examines the class of continuous-time stochastic processes commonly known as affine diffusions (AD's) and affine jump diffusions (AJD's). By deriving the joint characteristic function, we are able to examine the statistical properties as well as develop an efficient estimation...

Persistent link: https://www.econbiz.de/10013086619

Moment-Matching Approximations for Stochastic Sums in Non-Gaussian Ornstein–Uhlenbeck Models

Brignone, Riccardo; Kyriakou, Ioannis; Fusai, Gianluca - 2021

In this paper, we recall actuarial and financial applications of sums of dependent random variables that follow a non-Gaussian mean-reverting process and contemplate distribution approximations. Our work complements previous related studies restricted to lognormal random variables; we revisit...

Persistent link: https://www.econbiz.de/10013249819

High Dimensional Dynamic Stochastic Copula Models

Creal, Drew - 2018

We build a class of copula models that captures time-varying dependence across large panels of financial assets. Our models nest Gaussian, Student's t, grouped Student's t, and generalized hyperbolic copulas with time-varying correlations matrices, as special cases. We introduce time-variation...

Persistent link: https://www.econbiz.de/10012937875

The Analytics of Investment, q, and Cash Flow

Abel, Andrew B. - 2015

Persistent link: https://www.econbiz.de/10012457120

Distributional Properties of Continuous Time Processes : From CIR to Bates

Okhrin, Ostap - 2020

We focus on returns defined as log-price differentials and generated by a diffusion process which incorporates stochastic volatility and jumps in prices. The jumps are properly compensated for this model. The stochastic volatility follows the well-known CIR process. We present general...

Persistent link: https://www.econbiz.de/10012840974

Non-Gaussian Merton-Black-Scholes Theory.

Bojarčenko, Svetlana I. - 2002

-Black-Scholes approach, which the authors call the Merton-Black-Scholes theory. The authors have chosen applications interesting for …-Black-Scholes theory (298 KB). Chapter 1.2: Regular Lévy Processes of Exponential type (271 KB). Chapter 1.3: Pricing of contingent claims …-Black-Scholes theory -- 1.2 Regular Levy Processes of Exponential type -- 1.3 Pricing of contingent claims -- 1.4 The Generalized Black …

Persistent link: https://www.econbiz.de/10012685597

Statistics of robust optimization : a generalized empirical likelihood approach

Duchi, John C.; Glynn, Peter W.; Namkoog, Hongseok - In: Mathematics of operations research 46 (2021) 3, pp. 946-969

Persistent link: https://www.econbiz.de/10012625674