scientific article; zbMATH DE number 1390900
From MaRDI portal
Publication:4935943
Recommendations
Cited in
(97)- Efficient risk simulations for linear asset portfolios in the t-copula model
- Short-term risk management using stochastic Taylor expansions under Lévy models
- A structure for general and specific market risk
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
- Semi-heavy tails
- Likelihood-based risk estimation for variance-gamma models
- Markov chain Monte Carlo methods for stochastic volatility models.
- On Asian option pricing for NIG Lévy processes
- Bayesian estimation of generalized hyperbolic skewed student GARCH models
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
- Some properties of the multivariate generalized hyperbolic laws
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Modeling spatial extremes using normal mean-variance mixtures
- Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model
- Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution
- Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- A comparison of generalized hyperbolic distribution models for equity returns
- Portfolio value at risk based on independent component analysis
- Dimension reduction for pricing options under multidimensional Lévy processes
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Outcrossings of safe regions by generalized hyperbolic processes
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type
- Moments of the generalized hyperbolic distribution
- Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance
- Strategic long-term financial risks: single risk factors
- Restricted risk measures and robust optimization
- Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences
- Multivariate tempered stable additive subordination for financial models
- A Markov-switching regression model with non-Gaussian innovations: estimation and testing
- Generalized hyperbolic diffusion processes with applications in finance
- scientific article; zbMATH DE number 1724296 (Why is no real title available?)
- Analysis of Fourier transform valuation formulas and applications
- Pricing of basket options using univariate normal inverse Gaussian approximations
- scientific article; zbMATH DE number 2134085 (Why is no real title available?)
- Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case
- A multivariate Lévy process model with linear correlation
- scientific article; zbMATH DE number 1242236 (Why is no real title available?)
- scientific article; zbMATH DE number 1944678 (Why is no real title available?)
- Bayesian analysis based on the Jeffreys prior for the hyperbolic distribution
- scientific article; zbMATH DE number 1538082 (Why is no real title available?)
- Sieve-based confidence intervals and bands for Lévy densities
- Implied volatility of basket options at extreme strikes
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- Joint modeling for generalized hyperbolic distributions
- MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
- Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach
- Distributional bounds for portfolio risk with tail dependence
- Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
- Minimizing CVaR in global dynamic hedging with transaction costs
- Dependence calibration and portfolio fit with factor-based subordinators
- scientific article; zbMATH DE number 7387627 (Why is no real title available?)
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
- Skew selection for factor stochastic volatility models
- On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality
- Nonlinear regression using order statistics from the multivariate generalized hyperbolic distributions
- A robust statistical approach to select adequate error distributions for financial returns
- Forward-looking portfolio selection with multivariate non-Gaussian models
- Computer-Assisted Proofs of Some Identities for Bessel Functions of Fractional Order
- Fast deterministic pricing of options on Lévy driven assets
- Sensitivities of options via Malliavin calculus: applications to markets of exponential variance gamma and normal inverse Gaussian processes
- Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
- PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
- Variance-mean mixture of Kotz-type distributions
- Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
- Controlling the flexibility of non-Gaussian processes through shrinkage priors
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
- Dynamic currency hedging with non-Gaussianity and ambiguity
- Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
- Closed-form approximations for spread options in Lévy markets
- Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution
- Tail dependence coefficients of moving average processes driven by exponential-tailed Lévy noise
- Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon
- A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance
- A first order linear differential equation approach of generating continuous probability distributions review, analysis and characterizations
- Exponential utility maximization in small/large financial markets
- A generalized tail mean-variance model for optimal capital allocation
- Risk parity portfolio optimization under heavy-tailed returns and dynamic correlations
- The Brownian motion in finance: an epistemological puzzle
- Computational aspects of likelihood-based inference for the univariate generalized hyperbolic distribution
- Default prediction with the Merton-type structural model based on the NIG Lévy process
- Extending GLASSO to non-Gaussian settings: sparse concentration estimation via EM algorithm
- Two-fund separation under hyperbolically distributed returns and concave utility functions
- On the computation of the cumulative distribution function of the normal inverse Gaussian distribution
- Pricing basket options with the first three moments of the basket: log-normal models and beyond
- Pricing of convertible bonds based on Normal Inverse Gaussian model
- Robust kernels for kernel density estimation
- Exotic options under Lévy models: an overview
- Fitting bivariate cumulative returns with copulas
- Multivariate distribution models with generalized hyperbolic margins
- Generating inverse Gaussian random variates by approximation
- On the stationary version of the generalized hyperbolic ARCH model
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4935943)
