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Smoothly truncated stable distributions, GARCH-models, and option pricing

Menn, Christian; Račev, Svetlozar T. - In: Mathematical methods of operations research 69 (2009) 3, pp. 411-438

Persistent link: https://www.econbiz.de/10003858257

Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing

Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005

Persistent link: https://www.econbiz.de/10002817530

A GARCH option pricing model with [alpha]-stable innovations

Menn, Christian; Rachev, Svetlozar T. - In: European Journal of Operational Research 163 (2005) 1, pp. 201-209

Persistent link: https://www.econbiz.de/10005151906

A GARCH option pricing model with a-stable innovations

Menn, Christian; Rachev, Svetlozar T. - In: European journal of operational research : EJOR 163 (2005) 1, pp. 201-209

Persistent link: https://www.econbiz.de/10006641715

Smoothly truncated stable distributions, GARCH-models, and option pricing

Menn, Christian; Rachev, Svetlozar T. - In: Mathematical methods of operations research 69 (2009) 3, pp. 411-438

Persistent link: https://www.econbiz.de/10008257947

Spot and derivative pricing in the EEX power market

Bierbrauer, Michael; Menn, Christian; Rachev, Svetlozar T. - In: Journal of Banking & Finance 31 (2007) 11, pp. 3462-3485

Persistent link: https://www.econbiz.de/10005194536

Calibrated FFT-based density approximations for [alpha]-stable distributions

Menn, Christian; Rachev, Svetlozar T. - In: Computational Statistics & Data Analysis 50 (2006) 8, pp. 1891-1904

Persistent link: https://www.econbiz.de/10005117982

Modelling Catastrophe Claims with Left-Truncated Severity Distributions (Extended Version)

Chernobai, Anna; Burnecki, Krzysztof; Rachev, Svetlozar; … - 2008

In this paper, we present a procedure for consistent estimation of the severity and frequency distributions based on incomplete insurance data and demonstrate that ignoring the thresholds leads to a serious underestimation of the ruin probabilities. The event frequency is modelled with a...

Persistent link: https://www.econbiz.de/10014215012

Modelling catastrophe claims with left-truncated severity distributions

Chernobai, Anna; Burnecki, Krzysztof; Rachev, Svetlozar; … - In: Computational Statistics 21 (2006) 3, pp. 537-555

Persistent link: https://www.econbiz.de/10005613185

Operational risk : a guide to Basel II capital requirements, models, and analysis

Chernobai, Anna S.; Račev, Svetlozar T.; Fabozzi, Frank J. - 2007

Persistent link: https://www.econbiz.de/10003427487