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A triparametric discrete distribution with complex parameters
Rodríguez-Avi, José; Conde-Sánchez, Antonio; … - In: Statistical Papers 45 (2004) 1, pp. 81-95
Persistent link: https://www.econbiz.de/10008533844
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The leverage effect puzzle : the case of European sovereign credit default swap market
Kliber, Agata - In: Review of derivatives research 19 (2016) 3, pp. 217-235
Persistent link: https://www.econbiz.de/10011927969
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Risk-neutral densities : advanced methods of estimating nonnormal options underlying asset prices and returns
Santos, André; Guerra, João - In: The journal of risk model validation 14 (2020) 2, pp. 41-64
Persistent link: https://www.econbiz.de/10014335959
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The risk measurement under the variance-gamma process with drift switching
Ivanov, Roman V. - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-27
The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at the exponentially distributed time. The size of the drift jump is supposed to have a multinomial...
Persistent link: https://www.econbiz.de/10013201326
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The distribution of the maximum of a variance gamma process and path-dependent option pricing
Ivanov, Roman V. - In: Finance and stochastics 19 (2015) 4, pp. 979-993
Persistent link: https://www.econbiz.de/10011421382
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On the characteristic function for asymmetric Student distributions
Nadarajah, Saralees; Chan, Stephen; Afuecheta, Emmanuel - In: Economics letters 121 (2013) 2, pp. 271-274
Persistent link: https://www.econbiz.de/10010347125
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The risk measurement under the variance-gamma process with drift switching
Ivanov, Roman V. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-27
The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at the exponentially distributed time. The size of the drift jump is supposed to have a multinomial...
Persistent link: https://www.econbiz.de/10012813564
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Testing in high-dimensional spiked models
Johnstone, Iain M.; Onatski, Alexei - 2018
Persistent link: https://www.econbiz.de/10012667588
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On exact pricing of FX options in multivariate time-changed levy models
Ivanov, Roman V.; Ano, Katsunori - In: Review of derivatives research 19 (2016) 3, pp. 201-216
Persistent link: https://www.econbiz.de/10011927968
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On the evaluation of multivariate compound distributions with continuous severity distributions and sarmanov's counting distribution
Tamraz, Maissa; Vernic, Raluca - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 841-870
Persistent link: https://www.econbiz.de/10011875907