Bilateral Gamma distributions and processes in financial mathematics

Autor:	Küchler, Uwe, Tappe, Stefan
Rok vydání:	2019
Předmět:	Mathematics - Probability Quantitative Finance - Mathematical Finance 60G51 91G20
Zdroj:	Stochastic Processes and Their Applications 118(2):261-283, 2008
Druh dokumentu:	Working Paper
Popis:	We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated L\'evy processes. We treat exponential L\'evy stock models with an underlying bilateral Gamma process as well as term structure models driven by bilateral Gamma processes and apply our results to a set of real financial data (DAX 1996-1998). Comment: 21 pages, 3 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1907.09857 Zobrazit plný text záznamu View this record from Arxiv