NON-CENTRAL MOMENTS OF THE TRUNCATED NORMAL VARIABLE IN FINANCE

2021 ◽  
Author(s):  
FAUSTO CORRADIN ◽  
DOMENICO SARTORE
Keyword(s):  
Utility Function ◽  
Closed Form ◽  
Gamma Function ◽  
Upper Bound ◽  
Normal Distributions ◽  
Absolute Value ◽  
Central Moments ◽  
Financial Products ◽  
Normal Variable ◽  
Truncated Normal

This paper computes the Non-central Moments of the Truncated Normal variable, i.e. a Normal constrained to assume values in the interval with bounds that may be finite or infinite. We define two recursive expressions where one can be expressed in closed form. Another closed form is defined using the Lower Incomplete Gamma Function. Moreover, an upper bound for the absolute value of the Non-central Moments is determined. The numerical results of the expressions are compared and the different behavior for high value of the order of the moments is shown. The limitations to the use of Truncated Normal distributions with a lower negative limit regarding financial products are considered. Limitations in the application of Truncated Normal distributions also arise when considering a CRRA utility function.

scholarly journals A Bayesian solution to the Behrens–Fisher problem

2021 ◽  
Vol 115 (4) ◽  
Author(s):  
Fco. Javier Girón ◽  
Carmen del Castillo
Keyword(s):  
Closed Form ◽  
Hierarchical Model ◽  
Bayes Factor ◽  
Bayes Factors ◽  
Simple Solution ◽  
Asymptotic Approximations ◽  
Normal Distributions ◽  
Fisher Distribution ◽  
Leibler Divergence

AbstractA simple solution to the Behrens–Fisher problem based on Bayes factors is presented, and its relation with the Behrens–Fisher distribution is explored. The construction of the Bayes factor is based on a simple hierarchical model, and has a closed form based on the densities of general Behrens–Fisher distributions. Simple asymptotic approximations of the Bayes factor, which are functions of the Kullback–Leibler divergence between normal distributions, are given, and it is also proved to be consistent. Some examples and comparisons are also presented.

A closed-form upper-bound for the distribution of the weighted sum of rayleigh variates

2005 ◽  
Vol 9 (7) ◽  
pp. 589-591 ◽  
Author(s):  
G.K. Karagiannidis ◽  
T.A. Tsiftsis ◽  
N.C. Sagias
Keyword(s):  
Closed Form ◽  
Upper Bound ◽  
Weighted Sum

Truncated Normal Distributions

Nature ◽  
1950 ◽  
Vol 165 (4194) ◽  
pp. 444-445 ◽  
Author(s):  
H. R. THOMPSON
Keyword(s):  
Normal Distributions ◽  
Truncated Normal

A MEAN–VARIANCE BOUND FOR A THREE-PIECE LINEAR FUNCTION

2007 ◽  
Vol 21 (4) ◽  
pp. 611-621 ◽  
Author(s):  
Karthik Natarajan ◽  
Zhou Linyi
Keyword(s):  
Convex Function ◽  
Closed Form ◽  
Linear Function ◽  
Upper Bound ◽  
Random Variable ◽  
Expected Value ◽  
Variance Bound ◽  
The Mean ◽  
Mean Variance

In this article, we derive a tight closed-form upper bound on the expected value of a three-piece linear convex function E[max(0, X, mX − z)] given the mean μ and the variance σ2 of the random variable X. The bound is an extension of the well-known mean–variance bound for E[max(0, X)]. An application of the bound to price the strangle option in finance is provided.

The Effective Thermal Conductivity of a Packing of Spheres

1990 ◽  
Vol 57 (3) ◽  
pp. 789-791 ◽  
Author(s):  
A. Jagota ◽  
C. Y. Hui
Keyword(s):  
Thermal Conductivity ◽  
Temperature Field ◽  
Closed Form ◽  
Effective Thermal Conductivity ◽  
Granular Materials ◽  
Upper Bound ◽  
Random Packing ◽  
Fabric Tensor ◽  
Mean Temperature

The anisotropic effective thermal conductivity of a random packing of spheres is derived. The conductivity is closely related to the fabric tensor of the theory of granular materials. The derivation involves a mean temperature field assumption which is shown to render the model an upper bound. Closed-form expressions for the conductivity are obtained in the isotropic and axisymmetric cases.

On Buckling Loads of Timoshenko Columns with Elastically Supported Ends

2012 ◽  
Vol 446-449 ◽  
pp. 578-581
Author(s):  
Hua Zhang ◽  
Xiang Fang Li
Keyword(s):  
Lower Bound ◽  
Closed Form ◽  
Upper Bound ◽  
Intermediate State ◽  
Critical Loads ◽  
Compressive Force ◽  
Buckling Loads ◽  
Characteristic Equations ◽  
The Stability ◽  
Elastically Supported

The stability of Timoshenko columns with elastically supported ends under axially compressive force is analyzed. Characteristic equations are obtained according to an intermediate state between Haringx’s and Engesser’s models. For clamped-free, clamped-clamped, and pinned-pinned columns, buckling loads are given in closed form. The influences of elastic restraint stiffness on the critical loads are elucidated. Haringx’s and Engesser’s models are two extreme cases of the present. Critical buckling loads using Haringx’s model are upper bound, and those using Engesser’s model are lower bound.

Sign in / Sign up

Export Citation Format

Share Document