Multivariate downside risk: Normal versus Variance Gamma

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Option Pricing with State-Price Deflators: The Multivariate Exponential Wang Normal Variance: Gamma Asset Pricing Models

Alternatives to the Black-Scholes-Vasicek deflator introduced in [25] are proposed. They are based on the multivariate Wang variance-gamma process considered in [66]. As an application, closed form analytical multiple integral formulas for pricing the European geometric basket option with a deflated multivariate exponential Wang variance-gamma asset pricing model are derived. Mathematics Subjec...

متن کامل

Multivariate Variance Gamma and Gaussian dependence: a study with copulas

This paper explores the dynamic dependence properties of a Lévy process, the Variance Gamma, which has non Gaussian marginal features and non Gaussian dependence. In a static context, such a non Gaussian dependence should be represented via copulas. Copulas, however, are not able to capture the dynamics of dependence. By computing the distance between the Gaussian copula and the actual one, we ...

متن کامل

Generalized variance estimators in the multivariate gamma models

It has been shown that the uniformly minimum variance unbiased (UMVU) estimator of the generalized variance always exists for any natural exponential family. In practice, however, this estimator is often di¢ cult to obtain. This paper explicitly identi…es the results in complete bivariate and symmetric multivariate gamma models, which are diagonal quadratic exponential families. For the non-ind...

متن کامل

Robust material handling system design with standard deviation, variance and downside risk as risk measures

The design and planning of major storage systems belong to the class of systems design problems under uncertainty. The overall structure of the system is determined during the design stage while the values of the future conditions and the future planning decisions are not known with certainty. Typically the future uncertainty is modeled through a number of scenarios and each scenario has an ind...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Futures Markets

سال: 2011

ISSN: 0270-7314

DOI: 10.1002/fut.20539