Three non-Gaussian models of dependence in returns

DOI10.1007/978-3-319-45875-5_5MaRDI QIDQ4976495zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan

Publication date 31 July 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-45875-5_5

zbMATH Keywords

independent components analysisvariance gamma modellocal correlationexchange traded funds

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1639859 (Why is no real title available?)
• scientific article; zbMATH DE number 3591262 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A Fourier transform method for spread option pricing
• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• Efficient solution of structural default models with correlated jumps and mutual obligations
• Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
• Financial modeling under non-Gaussian distributions.
• Multivariate T-Distributions and Their Applications
• Pricing and hedging basket options to prespecified levels of acceptability
• Processes of normal inverse Gaussian type
• The Variance Gamma Process and Option Pricing
• Theory of Financial Risk and Derivative Pricing
• Unbounded liabilities, capital reserve requirements and the taxpayer put option

Cited in

(2)

• Bivariate sub-Gaussian model for stock index returns
• Zero covariation returns

Describes a project that uses

Uses Software

• FastICA

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