On the controversy over tailweight of distributions

The Controversy over Tailweight of Distributions and a Robust Measure of Tailweight

Jump-Diffusion Models for Asset Pricing in Financial Engineering

In this survey we shall focus on the following issues related to jump-diffusion models for asset pricing in financial engineering. (1) The controversy over tailweight of distributions. (2) Identifying a risk-neutral pricing measure by using the rational expectations equilibrium. (3) Using Laplace transforms to pricing options, including European call/put options, path-dependent options, such as...

A new family of multivariate heavy-tailed distributions with variable marginal amounts of tailweight: application to robust clustering

We propose a family of multivariate heavy-tailed distributions that allow variable marginal amounts of tailweight. The originality comes from introducing multidimensional instead of univariate scale variables for the mixture of scaled Gaussian family of distributions. In contrast to most existing approaches, the derived distributions can account for a variety of shapes and have a simple tractab...

Nonparametric Multivariate Kurtosis and Tailweight Measures

For nonparametric exploration or description of a distribution, the treatment of location, spread, symmetry and skewness is followed by characterization of kurtosis. Classical momentbased kurtosis measures the dispersion of a distribution about its “shoulders”. Here we consider quantile-based kurtosis measures. These are robust, are defined more widely, and discriminate better among shapes. A u...

Dust Storms and their ecological impacts on Chlorophyll distributions over the Persian Gulf (1997-2007)

The Persian Gulf due to its position in subtropical belt is influenced by many intense dust storms during the year. The periodic dust events are expected to affect significantly the ecological condition of the Persian Gulf. The purpose of the present study was to investigate the impact of mineral dust on the primary production in phytoplankton communities of Persian Gulf. Satellite data from Se...