Sökning: "Generalized hyperbolic process"

Hittade 5 avhandlingar innehållade orden Generalized hyperbolic process.

  1. 1. Some Markov Processes in Finance and Kinetics : Markov Processes

    Författare :Mattias Sunden; Göteborgs universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES; CGMY process; Collision kernel; Direct simulation Monte Carlo; Diffusion approximation; Extreme value theory; Feller process; Generalized hyperbolic process; Generalized $z$-process; Infinitesimal generator; Laplace-Beltrami operator; L evy Processes; Long-tailed distribution; Kac equation; Kac model; Markov process; Semigroup; Semi-heavy tailed distirbution; Spectral gap; Subexponential distibrution; Superexponential distribution; Tauberian theorem; Thermostat.; Diffusion approximation;

    Sammanfattning : This thesis consists of four papers. The first two papers treat extremes for L\'evy processes, while papers three and four treat the Kac model with unbounded collision kernel. LÄS MER

  3. 2. Essays on Gaussian Probability Laws with Stochastic Means and Variances : With Applications to Financial Economics

    Författare :Anders Eriksson; Lars Forsberg; Menelaos Karanasos; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Approximating a function of random variables; Skewness Modeling; Skewed GARCH process; Lévy Process; Option pricing; Statistik; Statistics; Statistik;

    Sammanfattning : This work consists of four articles concerning Gaussian probability laws with stochastic means and variances. The first paper introduces a new way of approximating the probability distribution of a function of random variables. This is done with a Gaussian probability law with stochastic mean and variance. LÄS MER

  4. 3. On Lévy Processes in Mathematical Finance

    Författare :Ulrika Trolle; Göteborgs universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : The focus of the first article, On the Modelling of Financial Data with Generalized Hyperbolic Distributions, lies in studying the performance of the generalized hyperbolic distribution (GH), when fitted to historical data. Four different areas were selected. LÄS MER

  5. 4. Stochastic Models Involving Second Order Lévy Motions

    Författare :Jonas Wallin; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : This thesis is based on five papers (A-E) treating estimation methods for unbounded densities, random fields generated by Lévy processes, behavior of Lévy processes at level crossings, and a Markov random field mixtures of multivariate Gaussian fields. In Paper A we propose an estimator of the location parameter for a density that is unbounded at the mode. LÄS MER

  7. 5. Bayesian inference for high dimensional factor copula models

    Författare :Hoang Nguyen; Maria Conception Ausin Olivera; Pedro Galeano San Miguel; Universidad Carlos III de Madrid; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : Copulas have been applied to many research areas as multivariate probability distributions for non-linear dependence structures. However, extending copula functions in high dimensions is challenging due to the increase of model parameters and computational intensity. LÄS MER