First passages in bounded domains: When is the mean first passage time meaningful?
We study the first passage statistics to adsorbing boundaries of a Brownian motion in
bounded two-dimensional domains of different shapes and configurations of the adsorbing …
bounded two-dimensional domains of different shapes and configurations of the adsorbing …
Fat-tailed models for risk estimation
SV Stoyanov, ST Rachev, B Racheva-Iotova… - 2011 - econstor.eu
In the post-crisis era, financial institutions seem to be more aware of the risks posed by
extreme events. Even though there are attempts to adapt methodologies drawing from the …
extreme events. Even though there are attempts to adapt methodologies drawing from the …
Computing VaR and AVaR in infinitely divisible distributions
In this paper we derive closed-form solutions for the cumulative density function and the
average value-at-risk for five subclasses of the infinitely divisible distributions: classical …
average value-at-risk for five subclasses of the infinitely divisible distributions: classical …
Models for heavy-tailed asset returns
S Borak, A Misiorek, R Weron - Statistical tools for finance and insurance, 2011 - Springer
Many of the concepts in theoretical and empirical finance developed over the past decades–
including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the …
including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the …
[图书][B] Tempered stable distributions
M Grabchak, M Grabchak - 2016 - Springer
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SpringerLink Account Menu Find a journal Publish with us Track your research Search Cart …
SpringerLink Account Menu Find a journal Publish with us Track your research Search Cart …
Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
H Masuda - Stochastic Processes and their Applications, 2019 - Elsevier
We address estimation of parametric coefficients of a pure-jump Lévy driven univariate
stochastic differential equation (SDE) model, which is observed at high frequency over a …
stochastic differential equation (SDE) model, which is observed at high frequency over a …
[HTML][HTML] Modeling and simulation of financial returns under non-Gaussian distributions
It is well known that the probability distribution of high-frequency financial returns is
characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical …
characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical …
[图书][B] Handbook of heavy-tailed distributions in asset management and risk management
After formally introducing the notion of random variable and some related concepts, in this
chapter we look at discrete and absolutely continuous random variables. We focus our …
chapter we look at discrete and absolutely continuous random variables. We focus our …
Estimation and simulation for multivariate tempered stable distributions
Y Xia, M Grabchak - Journal of Statistical Computation and …, 2022 - Taylor & Francis
We introduce a methodology for the simulation and parameter estimation of multivariate
tempered stable distributions with an emphasis on the bivariate case. Our approach is …
tempered stable distributions with an emphasis on the bivariate case. Our approach is …