The following pages link to (Q4935943):
Displaying 50 items.
- Bayesian analysis based on the Jeffreys prior for the hyperbolic distribution (Q447973) (← links)
- Sieve-based confidence intervals and bands for Lévy densities (Q453294) (← links)
- Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach (Q492638) (← links)
- Distributional bounds for portfolio risk with tail dependence (Q496974) (← links)
- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes (Q605021) (← links)
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type (Q625306) (← links)
- Default prediction with the Merton-type structural model based on the NIG Lévy process (Q730567) (← links)
- Robust kernels for kernel density estimation (Q777674) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Fitting bivariate cumulative returns with copulas (Q956837) (← links)
- Multivariate distribution models with generalized hyperbolic margins (Q959294) (← links)
- Generating inverse Gaussian random variates by approximation (Q961817) (← links)
- On the stationary version of the generalized hyperbolic ARCH model (Q995800) (← links)
- Efficient risk simulations for linear asset portfolios in the \(t\)-copula model (Q1041011) (← links)
- Short-term risk management using stochastic Taylor expansions under Lévy models (Q1413347) (← links)
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions (Q1611155) (← links)
- Semi-heavy tails (Q1728122) (← links)
- Likelihood-based risk estimation for variance-gamma models (Q1742843) (← links)
- Markov chain Monte Carlo methods for stochastic volatility models. (Q1867723) (← links)
- On Asian option pricing for NIG Lévy processes (Q1883479) (← links)
- Bayesian estimation of generalized hyperbolic skewed student GARCH models (Q1927090) (← links)
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)
- Some properties of the multivariate generalized hyperbolic laws (Q2023836) (← links)
- Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
- Modeling spatial extremes using normal mean-variance mixtures (Q2135577) (← links)
- Modeling right-skewed financial data streams: a likelihood inference based on the generalized Birnbaum-Saunders mixture model (Q2177677) (← links)
- Inverse Gaussian quadrature and finite normal-mixture approximation of the generalized hyperbolic distribution (Q2223873) (← links)
- Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution (Q2244851) (← links)
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns (Q2280583) (← links)
- Portfolio value at risk based on independent component analysis (Q2372954) (← links)
- Dimension reduction for pricing options under multidimensional Lévy processes (Q2398582) (← links)
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
- Outcrossings of safe regions by generalized hyperbolic processes (Q2435736) (← links)
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas (Q2499076) (← links)
- On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type (Q2511180) (← links)
- Moments of the generalized hyperbolic distribution (Q2513365) (← links)
- Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance (Q2516384) (← links)
- Strategic long-term financial risks: single risk factors (Q2574059) (← links)
- Restricted risk measures and robust optimization (Q2629722) (← links)
- Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences (Q2656111) (← links)
- Multivariate tempered stable additive subordination for financial models (Q2675366) (← links)
- A Markov-switching regression model with non-Gaussian innovations: estimation and testing (Q2691700) (← links)
- Generalized hyperbolic diffusion processes with applications in finance (Q2757300) (← links)
- Analysis of Fourier Transform Valuation Formulas and Applications (Q2786205) (← links)
- Pricing of basket options using univariate normal inverse Gaussian approximations (Q2997946) (← links)
- (Q3159226) (← links)
- Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case (Q3435398) (← links)
- A multivariate Lévy process model with linear correlation (Q3645200) (← links)
- Implied Volatility of Basket Options at Extreme Strikes (Q4560331) (← links)
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050) (← links)
