Tempered Stable Distributions

From MaRDI portal
Publication:2950356

DOI10.1007/978-3-319-24927-8zbMath1361.60003OpenAlexW4234965868MaRDI QIDQ2950356

Michael Grabchak

Publication date: 8 October 2015

Published in: SpringerBriefs in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-24927-8




Related Items (21)

A new look at the inverse Gaussian distribution with applications to insurance and economic dataNormal Tempered Stable Processes and the Pricing of Energy DerivativesOn the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in financeDiscrete tempered stable distributionsOn operator fractional Lévy motion: integral representations and time-reversibilityOn the speed and spectrum of mean-field random walks among random conductancesOn the simulation of general tempered stable Ornstein–Uhlenbeck processesA two-step estimation procedure for locally stationary ARMA processes with tempered stable innovationsHumbert generalized fractional differenced ARMA processesForward-looking portfolio selection with multivariate non-Gaussian modelsModelling tail risk with tempered stable distributions: an overviewAn exact method for simulating rapidly decreasing tempered stable distributions in the finite variation caseDomains of attraction for positive and discrete tempered stable distributionsOn the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processesLarge deviations for a class of tempered subordinators and their inverse processesEstimation and simulation for multivariate tempered stable distributionsExact simulation of normal tempered stable processes of OU type with applicationsRejection sampling for tempered Lévy processesFast simulation of tempered stable Ornstein-Uhlenbeck processesEfficient simulation of \(p\)-tempered \(\alpha\)-stable OU processesTempered positive Linnik processes and their representations




This page was built for publication: Tempered Stable Distributions