Essays about: "Normal Inverse Gaussian"

Showing result 1 - 5 of 8 essays containing the words Normal Inverse Gaussian.

  1. 1. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Eduardo Alberto Alcantara Martinez; [2023]
    Keywords : Parameter Stability; Lévy Processes; Calibration; Volatility Surface; Subordination; Additive Normal Tempered Stable Processes; Stable Distribution; Variance Gamma Process; Normal Inverse Gaussian Process.;

    Abstract : This thesis focuses on the parameter stability of additive normal tempered stable processes when calibrating a volatility surface. The studied processes arise as a generalization of Lévy normal tempered stable processes, and their main characteristic are their time-dependent parameters. READ MORE

  3. 2. Investigating some GARCH(1,1)-type value-at-risk models pre-Covid-19 and intra-Covid-19

    University essay from Linnéuniversitetet/Institutionen för matematik (MA)

    Author : Benjamin Ringdahl; [2021]
    Keywords : ;

    Abstract : Value-at-risk quantifies the amount of capital needed to handle future losses on investments at a given confidence level. The Covid-19 pandemic greatly increased market volatility, which motivates us to investigate value-at-risk models during this time period. READ MORE

  4. 3. Univariate GARCH models with realized variance

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Carl Börjesson; Ossian Löhnn; [2019]
    Keywords : GARCH; EGARCH; GJRGARCH; external regressor; realized variance; volatility; Value at Risk; nig; Normal inverse gaussian; std; Student’s t distribution; norm; Normal distribution; rugarch; rolling forecast;

    Abstract : This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. READ MORE

  5. 4. Pricing and Hedging using Hedge Monte-Carlo Method

    University essay from Lunds universitet/Matematisk statistik

    Author : Arzu Eski; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : In this master’s thesis The Hedge Monte-Carlo method (HMC) is evaluated. The HMC method is used to price financial derivatives and at the same time obtain optimal hedge portfolios. The optimal hedge is of great importance as it enables risk management in option trading. READ MORE

  6. 5. Modelling Dependence of Insurance Risks

    University essay from Institutionen för datavetenskap, fysik och matematik, DFM

    Author : Marie Manyi Taku; [2010]
    Keywords : Dependence; Copulas;

    Abstract : Modelling one-dimensional data can be performed by different wellknown ways. Modelling two-dimensional data is a more open question. There is no unique way to describe dependency of two dimensional data. In this thesis dependency is modelled by copulas. READ MORE