Generalized convolutions on \(\mathbf R\) with applications to financial modeling

DOI10.1016/S0895-7177(99)00109-0zbMath0991.60005OpenAlexW2002673687MaRDI QIDQ1596881

Anna K. Panorska

Publication date: 5 May 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00109-0

zbMATH Keywords

stable lawmathematical financeheavy tailed modelling\(P\)-convolution

Mathematics Subject Classification ID

Related Items (5)

Generalized stable models for financial asset returns ⋮ Lévy processes and stochastic integrals in the sense of generalized convolutions ⋮ On weak generalized stability of random variables via functional equations ⋮ Slash distributions, generalized convolutions, and extremes ⋮ Stable distributions in the Black–Litterman approach to asset allocation

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• Modeling asset returns with alternative stable distributions^*
• Generalized convolutions
• Factorization Theory and Domains of Attraction for Generalized Convolution Algebras
• Stable Distributions in Statistical Inference: 1. Symmetric Stable Distributions Compared to Other Symmetric Long-Tailed Distributions

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