Essays about: "Variance Gamma Process"

Found 5 essays containing the words Variance Gamma Process.

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. A Monte Carlo simulation study of collimators for a high-spatial-resolution Gamma Emission Tomography instrument

   University essay from Uppsala universitet/Tillämpad kärnfysik

   Author : Anastasios Anastasiadis; [2019]
   Keywords : ;

   Abstract : The present master thesis concerns a study of collimator designs for a high-spatial-resolution Gamma Emission Tomography (GET) instrument for used fuels utilizing Monte Carlo simulation codes. Designing a collimator for this purpose is a multilateral process that requires many interconnected and conflicting objectives to be taken into consideration. READ MORE

4. 3. A simple model of volatility in financial data - An alternative to GARCH models

   University essay from Lunds universitet/Statistiska institutionen

   Author : Alexandra Milton; Marcus Svensson; [2019]
   Keywords : Volatility; Financial time series; Autoregressive gamma process; Generalized Laplace distribution; Autoregressive gamma variance Gaussian mixture model; Mathematics and Statistics;

   Abstract : Financial return series are often characterized by volatility clusters and a leptokurtic distribution. Many models that account for these properties exist, with the GARCH model proposed by Bollerslev (1986) being the most popular. This thesis explores an alternative model to capture the stochastic volatility in financial time series. READ MORE

5. 4. Return Models and Covariance Matrices

   University essay from Lunds universitet/Fysiska institutionen; Lunds universitet/Matematisk fysik

   Author : Xiaolei Xie; [2014]
   Keywords : returns; stochastic volatility; GARCH; covariance matrix; random matrix; spectral distribution; Physics and Astronomy;

   Abstract : Return models and covariance matrices of return series have been studied. In particular, GARCH and SV models are compared with respect to their forecasting accuracy when applied to intraday return series. SV models are found to be considerably more accurate and more consistent in accuracy in forecasting. READ MORE

6. 5. A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Lévy Model

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henrik Brunlid; [2007]
   Keywords : credit derivatives; copulas; CDO; CSO; loss distribution; hyperbolic distributions; iTraxx; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : In the credit derivatives market, the observed default correlation smile, implied by the Gaussian copula, constitutes a major problem when we want to price bespoke CDO tranches. The industry standard approach for countering this dilemma is to use the concept of base correlation to try to estimate the ingoing default correlation parameters for non-standard tranche intervals. READ MORE