The Downside and Upside Beta Valuation in the Variance-Gamma Model

2020 ◽  
Author(s):  
Roman Ivanov
Keyword(s):  
Gamma Model ◽  
Variance Gamma ◽  
Variance Gamma Model

scholarly journals A Variance Gamma model for Rugby Union matches

2020 ◽  
Vol 17 (1) ◽  
pp. 67-75
Author(s):  
John Fry ◽  
Oliver Smart ◽  
Jean-Philippe Serbera ◽  
Bernhard Klar
Keyword(s):  
Three Dimensional ◽  
Rugby Union ◽  
Three Dimensional Model ◽  
Gamma Model ◽  
Variance Gamma ◽  
Poisson Models ◽  
History Of ◽  
Bonus Points ◽  
Variance Gamma Model ◽  
Special Case

Abstract Amid much recent interest we discuss a Variance Gamma model for Rugby Union matches (applications to other sports are possible). Our model emerges as a special case of the recently introduced Gamma Difference distribution though there is a rich history of applied work using the Variance Gamma distribution – particularly in finance. Restricting to this special case adds analytical tractability and computational ease. Our three-dimensional model extends classical two-dimensional Poisson models for soccer. Analytical results are obtained for match outcomes, total score and the awarding of bonus points. Model calibration is demonstrated using historical results, bookmakers’ data and tournament simulations.

On risk measuring in the variance-gamma model

2018 ◽  
Vol 35 (1-2) ◽  
pp. 23-33 ◽  
Author(s):  
Roman V. Ivanov
Keyword(s):  
Value At Risk ◽  
Hypergeometric Functions ◽  
Risk Measures ◽  
Random Variables ◽  
Gamma Model ◽  
Variance Gamma ◽  
Stochastic Volatilities ◽  
Investment Returns ◽  
Variance Gamma Model ◽  
Analytical Expressions

AbstractIn this paper, we discuss the problem of calculating the primary risk measures in the variance-gamma model. A portfolio of investments in a one-period setting is considered. It is supposed that the investment returns are dependent on each other. In terms of the variance-gamma model, we assume that there are relations in both groups of the normal random variables and the gamma stochastic volatilities. The value at risk, the expected shortfall and the entropic monetary risk measures are discussed. The obtained analytical expressions are based on values of hypergeometric functions.

The β-variance gamma model

2010 ◽  
Vol 14 (3) ◽  
pp. 263-282 ◽  
Author(s):  
Wim Schoutens ◽  
Geert Van Damme
Keyword(s):  
Gamma Model ◽  
Variance Gamma ◽  
Variance Gamma Model

scholarly journals Fitting the Variance-Gamma Model: A Goodness-of-Fit Check for Emerging Markets

2013 ◽  
Vol 27 (2) ◽  
pp. 1-10
Author(s):  
Ahmet Göncü ◽  
Mehmet Oğuz Karahan ◽  
Tolga Umut Kuzubaş
Keyword(s):  
Emerging Markets ◽  
Goodness Of Fit ◽  
Gamma Model ◽  
Variance Gamma ◽  
Variance Gamma Model
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