المؤلفون: Fausto Colantoni

المصدر: Modern Stochastics: Theory and Applications, Vol 10, Iss 4, Pp 413-424 (2023)

مصطلحات موضوعية: Variance Gamma process, fractional calculus, Gamma subordinator, nonlocal equations, Applied mathematics. Quantitative methods, T57-57.97, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: https://doaj.org/toc/2351-6046; https://doaj.org/toc/2351-6054

URL الوصول: https://doaj.org/article/6b1f82aa96f7484f8de80f08a1e82e83

المؤلفون: Sudeesha Warunasinghe, Anatoliy Swishchuk

المصدر: Risks, Vol 12, Iss 2, p 18 (2024)

مصطلحات موضوعية: wind derivatives, quanto options, energy markets, stochastic modeling for wind energy, variance gamma process, normal inverse Gaussian process, Insurance, HG8011-9999

Relation: https://www.mdpi.com/2227-9091/12/2/18; https://doaj.org/toc/2227-9091; https://doaj.org/article/0e52cb83b06645bba3be3a8a6be46022

الاتاحة: https://doi.org/10.3390/risks12020018
https://doaj.org/article/0e52cb83b06645bba3be3a8a6be46022

المؤلفون: Akyildirim, Erdinc, Hekimoglu, A.A., Sensoy, A., Fabozzi, F.J.

مصطلحات موضوعية: Finance, Structural credit risk, Merton model, Variance-gamma process, Credit value adjustment

الاتاحة: http://hdl.handle.net/10454/19383

المؤلفون: Dr A. M. Udoye

المصدر: Fountain Journal of Natural and Applied Sciences (FUJNAS), Vol 12, Iss 2 (2023)

مصطلحات موضوعية: Lévy processes, Brownian motion, Hull-White model, Variance gamma process, Environmental sciences, GE1-350, Physics, QC1-999, Biology (General), QH301-705.5, Chemical engineering, TP155-156, Agriculture (General), S1-972

وصف الملف: electronic resource

Relation: https://fountainjournals.com/index.php/FUJNAS/article/view/464; https://doaj.org/toc/2350-1863; https://doaj.org/toc/2354-337X

URL الوصول: https://doaj.org/article/f5c4873f4bb5492fa041fede2e1d3dde

المؤلفون: Febrer, Pedro Maria Ulisses dos Santos Jalhay

المساهمون: Guerra, João, Repositório da Universidade de Lisboa

مصطلحات موضوعية: Processo de Lévy, Processo Variance Gamma, Análise Complexa Multidimensional, Transformada de Mellin, Valorização de Opções, Lévy Process, Variance Gamma Process, Multidimensional Complex Analysis, Mellin Transform, Option Pricing

وصف الملف: application/pdf

Relation: Febrer, Pedro Maria Ulisses dos Santos Jalhay (2020). "Residue sum formula for pricing options under the variance Gamma Model". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.

الاتاحة: http://hdl.handle.net/10400.5/20802

المؤلفون: Ivanov, Roman V.

مصطلحات موضوعية: ddc:330, variance-gamma process, drift switching, exponential distribution, hypergeometric function, lower partial expectation, value at risk, expected shortfall

Relation: gbv-ppn:1789083648; Journal: Journal of Risk and Financial Management; Volume: 15; Year: 2022; Issue: 1; Pages: 1-27; Basel: MDPI; http://hdl.handle.net/10419/258746

الاتاحة: http://hdl.handle.net/10419/258746
https://doi.org/10.3390/jrfm15010022

المؤلفون: Fischer, Adrian, Gaunt, Robert, Sarantsev, Andrey

المصدر: Fischer , A , Gaunt , R & Sarantsev , A 2024 , ' The Variance-Gamma Distribution: A Review ' , Statistical Science .

مصطلحات موضوعية: Variance-gamma distribution, distributional theory, estimation, variance-gamma process, financial modelling, approximation on Wiener space

Relation: https://research.manchester.ac.uk/en/publications/96873a37-15b8-47ea-8be6-e3312ef85dde

الاتاحة: https://research.manchester.ac.uk/en/publications/96873a37-15b8-47ea-8be6-e3312ef85dde

المؤلفون: Le Courtois, Olivier, Shen, Li

المساهمون: EMLyon Business School (EM)

المصدر: ISSN: 1593-8883.

مصطلحات موضوعية: Gaussian and non-Gaussian assumptions, Variance gamma process, Profit testing, Participating contract, Universal life contract, Variable annuities with guarantees, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, [SHS.GESTION]Humanities and Social Sciences/Business administration

Relation: hal-04525963; https://hal.science/hal-04525963

الاتاحة: https://hal.science/hal-04525963

المؤلفون: Pedro Febrer, João Guerra

المصدر: Mathematics; Volume 9; Issue 10; Pages: 1143

مصطلحات موضوعية: Lévy processes, variance gamma process, multidimensional complex analysis, Mellin transform, option pricing

وصف الملف: application/pdf

Relation: Financial Mathematics; https://dx.doi.org/10.3390/math9101143

الاتاحة: https://doi.org/10.3390/math9101143

المؤلفون: Roman V. Ivanov, Katsunori Ano

المصدر: Modern Stochastics: Theory and Applications, Vol 6, Iss 1, Pp 81-107 (2018)

مصطلحات موضوعية: Lévy process, change of time, compound Poisson process, digital option, variance-gamma process, hypergeometric function, Applied mathematics. Quantitative methods, T57-57.97, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: https://doaj.org/toc/2351-6046; https://doaj.org/toc/2351-6054

URL الوصول: https://doaj.org/article/cee2d7e580f248678d3b199513e65360

المؤلفون: Ogbogbo, Chisara Peace

المصدر: Global Journal of Pure and Applied Sciences; Vol 25, No 1 (2019); 63-70 ; 1118-0579

مصطلحات موضوعية: Variance Gamma Process, Mean Reverting Process, Parameters, Niger-Delta Oil Field Projects, Expected Return, OPEC constraint

وصف الملف: application/pdf

Relation: https://www.ajol.info/index.php/gjpas/article/view/186014/175303; https://www.ajol.info/index.php/gjpas/article/view/186014

الاتاحة: https://www.ajol.info/index.php/gjpas/article/view/186014

المؤلفون: Giacomo Ascione, Farshid Mehrdoust, Giuseppe Orlando, Oldouz Samimi

المساهمون: Ascione, Giacomo, Mehrdoust, Farshid, Orlando, Giuseppe, Samimi, Oldouz

مصطلحات موضوعية: Heston-CIR model, Variance gamma process, Lévy processes, Foreign short interest rates

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000944305500001; firstpage:127851; journal:APPLIED MATHEMATICS AND COMPUTATION; https://hdl.handle.net/11586/419314; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85146591746

الاتاحة: https://hdl.handle.net/11586/419314
https://doi.org/10.1016/j.amc.2023.127851

المؤلفون: Alcantara Martinez, Eduardo Alberto

مصطلحات موضوعية: Parameter Stability, Lévy Processes, Calibration, Volatility Surface, Subordination, Additive Normal Tempered Stable Processes, Stable Distribution, Variance Gamma Process, Normal Inverse Gaussian Process., Mathematics, Matematik

وصف الملف: application/pdf

الاتاحة: http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-62873

المؤلفون: Marabel Romo, Jacinto, Crespo Espert, José Luis

المساهمون: RCIPL

مصطلحات موضوعية: Model risk, Exotic options, Local volatility, Stochastic volatility, Variance Gamma process, Path dependence

وصف الملف: application/pdf

الاتاحة: http://hdl.handle.net/10400.21/1422

المؤلفون: Johannes Stadler, Markus Ulze, Andreas W. Rathgeber

المصدر: The Quarterly Review of Economics and Finance. 82:163-184

مصطلحات موضوعية: Normal distribution, Moment (mathematics), Economics and Econometrics, Stochastic process, Econometrics, ddc:530, Context (language use), Variance (accounting), Implied volatility, Variance gamma process, Jump process, Finance, Mathematics

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1898f44caddec2bf3ac7f3ad67501e83
https://doi.org/10.1016/j.qref.2021.08.004

المؤلفون: YILMAZ, Bilgi, HEKIMOGLU, A. Alper

المصدر: Volume: 11, Issue: 4 161-175
Journal of Business Economics and Finance

مصطلحات موضوعية: Economics, İşletme, Business Finance, Variance Gamma Process, Normal Inverse Gaussian Process, Black-Scholes Model, Options Pricing, Calibration, İşletme Finans, İktisat, Management

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=tubitakulakb::82664f3edb03f36b2e6926e10648bff7
https://dergipark.org.tr/tr/pub/jbef/issue/75060/1230240

المؤلفون: Gurný, Petr, Richtarová, Dagmar, Čulík, Miroslav

مصطلحات موضوعية: liquidity, processing industry, pyramidal decomposition, variance gamma process

وصف الملف: 1153100 bytes; application/pdf

Relation: Ekonomická revue; https://www.ekf.vsb.cz/export/sites/ekf/cerei/cs/cisla/vol20/vol20num1/dokumenty/NUM20VOL01PAP02_1.pdf; Ekonomická revue. 2017, roč. 20, č. 1, s. 17-28 : il.; http://hdl.handle.net/10084/125678

الاتاحة: http://hdl.handle.net/10084/125678
https://doi.org/10.7327/cerei.2017.03.02

المؤلفون: Vardan Mkrttchian

المصدر: International Journal of Knowledge Management. 17:72-92

مصطلحات موضوعية: Decision support system, Knowledge management, business.industry, Computer science, Big data, Context (language use), Computer Science Applications, Management Information Systems, Knowledge sharing, Intelligent design, Human–computer interaction, Management of Technology and Innovation, Human resource management, Organizational learning, business, Variance gamma process

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::ea68600705bfb66005f7bb5232d1b699
https://doi.org/10.4018/ijkm.2021010105

المؤلفون: MARENA, Marina, A. Romeo, P. Semeraro

المساهمون: M. Marena, A. Romeo, P. Semeraro

مصطلحات موضوعية: Lévy processes, multivariate subordinators, multivariate asset modelling, multivariate variance gamma process, multivariate normal inverse Gaussian process, multi barrier reverse convertibles

Relation: ispartofbook:Carlo Alberto Notebooks; volume:439; firstpage:1; lastpage:25; numberofpages:25; serie:CARLO ALBERTO NOTEBOOKS; http://hdl.handle.net/2318/1577153

الاتاحة: http://hdl.handle.net/2318/1577153

المؤلفون: Akash Singh, Rinku Patel, Ravi Gor Gor

المصدر: International Journal of Engineering Science Technologies. 4:1-5

مصطلحات موضوعية: Computer Science::Computer Science and Game Theory, Geometric Brownian motion, Computer science, Stochastic process, 010102 general mathematics, 01 natural sciences, Lévy process, 010101 applied mathematics, Market data, Econometrics, Capital asset pricing model, Nyström method, 0101 mathematics, Put option, Variance gamma process

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::25ef0d6398286b2d12116d0066735088
https://doi.org/10.29121/ijoest.v4.i4.2020.101