Non-Gaussian distribution for stock returns and related stochastic differential equation

DOI10.1007/BF00868083zbMath1153.91601WikidataQ115394864 ScholiaQ115394864MaRDI QIDQ1000402

Yuichi Nagahara

Publication date: 6 February 2009

Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)

zbMATH Keywords

risk managementlocal linearization methodtype VII and IV family of Pearson system

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Statistical methods; economic indices and measures (91B82)

Related Items (4)

A method of calculating the downside risk by multivariate nonnormal distributions ⋮ High-order approximation of Pearson diffusion processes ⋮ Prediction-based estimating functions: review and new developments ⋮ A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback

Cites Work

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• ON CERTAIN NON-NORMAL SYMMETRICAL FREQUENCY DISTRIBUTIONS
• Some problems arising in approximating to probability distributions, using moments
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