Pages that link to "Item:Q1904973"
From MaRDI portal
The following pages link to Hyperbolic distributions in finance (Q1904973):
Displaying 50 items.
- A general control variate method for option pricing under Lévy processes (Q132360) (← links)
- Modeling high-frequency non-homogeneous order flows by compound Cox processes (Q267623) (← links)
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (Q298830) (← links)
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773) (← links)
- Modeling spot price dependence in Australian electricity markets with applications to risk management (Q342246) (← links)
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market (Q378275) (← links)
- Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach (Q428104) (← links)
- Reviewing alternative characterizations of Meixner process (Q431510) (← links)
- Bayesian analysis based on the Jeffreys prior for the hyperbolic distribution (Q447973) (← links)
- Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression (Q458120) (← links)
- Statistical estimation of Lévy-type stochastic volatility models (Q470521) (← links)
- First steps towards an equilibrium theory for Lévy financial markets (Q470675) (← links)
- Convex ordering criteria for Lévy processes (Q477990) (← links)
- On irreversible investment (Q484203) (← links)
- On predicting the maximum of a semimartingale and the optimal moment to sell a stock (Q500285) (← links)
- Testing for non-correlation between price and volatility jumps (Q515135) (← links)
- Is Brownian motion necessary to model high-frequency data? (Q605940) (← links)
- Numerical computation of first-passage times of increasing Lévy processes (Q607622) (← links)
- Parametric estimation for the standard and geometric telegraph process observed at discrete times (Q623490) (← links)
- Testing whether jumps have finite or infinite activity (Q638809) (← links)
- Stock returns and hyperbolic distributions (Q699418) (← links)
- A testable version of the Pareto-Stable CAPM (Q699422) (← links)
- On the controversy over tailweight of distributions. (Q703249) (← links)
- Measures of risk (Q704052) (← links)
- Default prediction with the Merton-type structural model based on the NIG Lévy process (Q730567) (← links)
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions (Q734661) (← links)
- The quintessential option pricing formula under Lévy processes (Q735135) (← links)
- Fourth order pseudo maximum likelihood methods (Q737907) (← links)
- On the construction of optimal payoffs (Q777925) (← links)
- Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration (Q781087) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Spectral estimation of the fractional order of a Lévy process (Q847639) (← links)
- Generating generalized inverse Gaussian random variates (Q892803) (← links)
- On normal variance-mean mixtures as limit laws for statistics with random sample sizes (Q900765) (← links)
- Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach (Q904596) (← links)
- The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution (Q906647) (← links)
- Rough functions: \(p\)-variation, calculus, and index estimation (Q926643) (← links)
- Existence of Lévy term structure models (Q928496) (← links)
- On the duality principle in option pricing: semimartingale setting (Q928504) (← links)
- Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
- On the shapes of bilateral gamma densities (Q951204) (← links)
- Fitting bivariate cumulative returns with copulas (Q956837) (← links)
- Small-time moment asymptotics for Lévy processes (Q958971) (← links)
- Multivariate distribution models with generalized hyperbolic margins (Q959294) (← links)
- Generating inverse Gaussian random variates by approximation (Q961817) (← links)
- Fast and accurate pricing of barrier options under Lévy processes (Q964690) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
- Analytical valuation of catastrophe equity options with negative exponential jumps (Q1003818) (← links)
