gamma process
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2022 ◽  
Vol 15 (1) ◽  
pp. 22
Author(s):  
Roman V. Ivanov

The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at the exponentially distributed time. The size of the drift jump is supposed to have a multinomial distribution. We have obtained the distribution function, the probability density function and the lower partial expectation for the considered process in closed forms. The results are applied to the calculation of the value at risk and the expected shortfall of the investment portfolio in the related multivariate stochastic model.


Author(s):  
Yi‐Fu Wang ◽  
Yufen Huang ◽  
Wei‐Chieh Liao

Author(s):  
Fujin Lin ◽  
Hui Zhang ◽  
Yifan Zhou ◽  
Zhangsheng Zhang ◽  
Lei Zhang

2021 ◽  
Vol 21 (3) ◽  
pp. 191-200
Author(s):  
Sunjae Lee ◽  
Joong Soon Jang ◽  
Chansei Yoo ◽  
Jongho Kim ◽  
Sangchul Park

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