Pages that link to "Item:Q4221800"

The following pages link to Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (Q4221800):

Displaying 50 items.

• Scenario aggregation method for portfolio expectile optimization (Q308418) (← links)
• An investigation of model risk in a market with jumps and stochastic volatility (Q323232) (← links)
• Multivariate normal \(\alpha\)-stable exponential families (Q327378) (← links)
• On exact pricing of FX options in multivariate time-changed Lévy models (Q345721) (← links)
• Multivariate measurement error models using finite mixtures of skew-Student \(t\) distributions (Q392070) (← links)
• Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
• First steps towards an equilibrium theory for Lévy financial markets (Q470675) (← links)
• Efficient wavelets-based valuation of synthetic CDO tranches (Q495089) (← links)
• Tests of fit for normal inverse Gaussian distributions (Q537399) (← links)
• Internal vs. External risk measures: how capital requirements differ in practice (Q613362) (← links)
• Fractional normal inverse Gaussian diffusion (Q618023) (← links)
• Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547) (← links)
• Esscher transforms and consumption-based models (Q659151) (← links)
• Stock returns and hyperbolic distributions (Q699418) (← links)
• Ergodic properties of anomalous diffusion processes (Q719708) (← links)
• A pentatonic classification of extreme events (Q728402) (← links)
• Default prediction with the Merton-type structural model based on the NIG Lévy process (Q730567) (← links)
• Fourth order pseudo maximum likelihood methods (Q737907) (← links)
• Maximum likelihood inference for mixtures of skew Student-\(t\)-normal distributions through practical EM-type algorithms (Q746208) (← links)
• Exotic options under Lévy models: an overview (Q818210) (← links)
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
• Hausdorff-Besicovitch dimension of graphs and \(p\)-variation (Q852284) (← links)
• Rough functions: \(p\)-variation, calculus, and index estimation (Q926643) (← links)
• Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
• Fair valuation of insurance contracts under Lévy process specifications (Q939383) (← links)
• Robust PCA for skewed data and its outlier map (Q961420) (← links)
• Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution (Q961440) (← links)
• Numerical methods for Lévy processes (Q964687) (← links)
• Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
• On the stationary version of the generalized hyperbolic ARCH model (Q995800) (← links)
• On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes (Q1001850) (← links)
• Non-linear properties of conditional returns under scale mixtures (Q1019936) (← links)
• Testing the martingale restriction for option implied densities (Q1025613) (← links)
• Consistency of general bootstrap methods for degenerate \(U\)-type and \(V\)-type statistics (Q1026346) (← links)
• An actuarial approach to option pricing under the physical measure and without market assumptions (Q1265918) (← links)
• Bessel inequalities with applications to conditional log returns under GIG scale mixtures of normal vectors. (Q1423024) (← links)
• Processes of Meixner type (Q1567713) (← links)
• Stochastic calculus for assets with non-Gaussian price fluctuations (Q1606132) (← links)
• Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions (Q1611155) (← links)
• An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution (Q1613039) (← links)
• A Gaussian-generalized inverse Gaussian finite-dimensional filter. (Q1613659) (← links)
• Explicit form of the first-passage-time density for accelerating subdiffusion (Q1619176) (← links)
• Volatility smile as relativistic effect (Q1620616) (← links)
• TVICA -- time varying independent component analysis and its application to financial data (Q1623451) (← links)
• Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution (Q1627671) (← links)
• Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps (Q1640054) (← links)
• Characterization of the inverse stable subordinator (Q1644180) (← links)
• Measuring herd behavior: properties and pitfalls (Q1648669) (← links)
• Linking Tukey's legacy to financial risk measurement (Q1659149) (← links)
• Location and scale mixtures of Gaussians with flexible tail behaviour: properties, inference and application to multivariate clustering (Q1663203) (← links)