scientific article
From MaRDI portal
Publication:3154980
zbMath1057.60050MaRDI QIDQ3154980
Ernst August von Hammerstein, Ernst Eberlein
Publication date: 14 January 2005
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lévy processmultinomial modelgeneralized inverse Gaussian distributiongeneralized hyperbolic distribution
Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24)
Related Items (20)
Tail-risk protection trading strategies ⋮ Random variate generation for the generalized inverse Gaussian distribution ⋮ Point process simulation of generalised hyperbolic Lévy processes ⋮ The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution ⋮ The multifaceted behavior of integrated supOU processes: the infinite variance case ⋮ On Nonnegative Matrix Factorization Algorithms for Signal-Dependent Noise with Application to Electromyography Data ⋮ Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes ⋮ On the duality principle in option pricing: semimartingale setting ⋮ A generalized hyperbolic model for a risky asset with dependence ⋮ Inference in Lévy-type stochastic volatility models ⋮ Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes ⋮ On the stationary version of the generalized hyperbolic ARCH model ⋮ Characterizations of GIG laws: a survey ⋮ Moments of the generalized hyperbolic distribution ⋮ BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES ⋮ Wasserstein and Kolmogorov error bounds for variance-gamma approximation via Stein's method. I ⋮ GLM-methods for volatility models ⋮ Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations ⋮ Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions ⋮ Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral
This page was built for publication:
