MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS

DOI10.1142/S0219024920500417zbMath1457.91384OpenAlexW3081004916MaRDI QIDQ5148008

Dilip B. Madan

Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500417

zbMATH Keywords

empirical characteristic functionbilateral gammamultivariate variance gammaskewness via cumulants

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) ⋮ Two sided efficient frontiers at multiple time horizons ⋮ Exposure valuations and their capital requirements ⋮ The valuation of corporations: a derivative pricing perspective ⋮ On lower partial moments for the investment portfolio with variance-gamma distributed returns

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