Feller processes of normal inverse Gaussian type
DOI10.1088/1469-7688/1/3/303zbMATH Open1405.91582OpenAlexW2126799636WikidataQ115169500 ScholiaQ115169500MaRDI QIDQ4646489FDOQ4646489
Authors: Ole E. Barndorff-Nielsen, Sergei Levendorskiĭ 
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/1/3/303
Recommendations
pseudo-differential operatorsBlack-Scholes equationFeller processesnormal inverse Gaussian Lévy processes
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Pseudodifferential operators (47G30)
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- Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
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- Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
- Factor copula model for portfolio credit risk
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