A method for approximate inversion of the hyperbolic CDF

DOI10.1007/S00607-002-1465-XMaRDI QIDQ424715zbMATH OpenOpenAlexFDO

Authors Gunther Leobacher, Friedrich Pillichshammer

Publication date 4 June 2012

Published in Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00607-002-1465-x

zbMATH Keywords

hyperbolic modelQMC methodssampling by inversion

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Characterization and structure theory of statistical distributions (62E10) Numerical methods for integral transforms (65R10) Financial applications of other theories (91G80)

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Cited in

(2)

• Efficient numerical inversion for financial simulations
• Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions

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