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Mathematics plays a vital role in many areas of finance and provides the theories and tools that have been widely used …
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statistics, effect sizes or significance tests. Practical implications - Gain-probability diagrams provided a much better basis …Purpose - The purpose of this article is to show the gains that can be made if researchers were to use gain-probability … for making decisions than typical summary statistics, effect sizes or significance tests. Originality/value - G-P diagrams …
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The increase in the use of copulas has introduced implementation issues for both practitioners and researchers. One of the issues is to obtain a copula function for a given set of data. The most common approaches for the estimation of the parameters of the copula functions have been the Maximum...
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ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. Inthe first part, we deal with single asset options and model the log stock prices with a Levyprocess. We employ pure jump Levy processes of infinite activity, in particular variancegamma...
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