The following pages link to (Q4935943):
Displaying 26 items.
- MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH (Q4635040) (← links)
- Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions (Q4647593) (← links)
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226) (← links)
- Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (Q4991068) (← links)
- Minimizing CVaR in global dynamic hedging with transaction costs (Q5001143) (← links)
- Dependence calibration and portfolio fit with factor-based subordinators (Q5001188) (← links)
- (Q5011566) (← links)
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759) (← links)
- Skew selection for factor stochastic volatility models (Q5037043) (← links)
- On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality (Q5075569) (← links)
- Nonlinear regression using order statistics from the multivariate generalized hyperbolic distributions (Q5082612) (← links)
- A robust statistical approach to select adequate error distributions for financial returns (Q5138523) (← links)
- Forward-looking portfolio selection with multivariate non-Gaussian models (Q5139258) (← links)
- Computer-Assisted Proofs of Some Identities for Bessel Functions of Fractional Order (Q5244917) (← links)
- Fast deterministic pricing of options on Lévy driven assets (Q5315443) (← links)
- Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes (Q5397459) (← links)
- Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (Q5467712) (← links)
- PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES (Q5487831) (← links)
- Variance-Mean Mixture of Kotz-Type Distributions (Q5495195) (← links)
- Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes (Q5745541) (← links)
- Controlling the flexibility of non-Gaussian processes through shrinkage priors (Q6203348) (← links)
- Dynamic currency hedging with non-Gaussianity and ambiguity (Q6546319) (← links)
- Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models (Q6549617) (← links)
- Closed-form approximations for spread options in Lévy markets (Q6574591) (← links)
- Multivariate generalized hyperbolic laws for modeling financial log-returns: empirical and theoretical considerations (Q6578138) (← links)
- Tail moments and tail joint moments for multivariate generalized hyperbolic distribution (Q6653558) (← links)
