Search results for "Variance-gamma distribution"

showing 4 items of 4 documents

Catastrophic risks and the pricing of catastrophe equity put options

2021

In this paper, after a review of the most common financial strategies and products that insurance companies use to hedge catastrophic risks, we study an option pricing model based on processes with jumps where the catastrophic event is captured by a compound Poisson process with negative jumps. Given the importance that catastrophe equity put options (CatEPuts) have in this context, we introduce a pricing approach that provides not only a theoretical contribution whose applicability remains confined to purely numerical examples and experiments, but which can be implemented starting from real data and applied to the evaluation of real CatEPuts. We propose a calibration framework based on his…

Market capitalizationSettore SECS-P/11 - Economia degli Intermediari Finanziari0211 other engineering and technologiesContext (language use)02 engineering and technologyBlack–Scholes modelImplied volatilityManagement Information SystemsCompound Poisson processG1Economics021108 energyVariance gammaG12Hedge (finance)C2Original Paper021103 operations researchActuarial scienceCompound PoissonCatastrophe equity put options · Variance gamma · Compound Poisson · Double-calibrationEquity (finance)Double-calibrationVariance-gamma distributionCatastrophe equity put options · Variance gamma · Compound Poisson ·Double-calibrationC63G22Catastrophe equity put optionsInformation SystemsComputational Management Science
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Discrete Time Portfolio Selection with Lévy Processes

2007

This paper analyzes discrete time portfolio selection models with Lévy processes. We first implement portfolio models under the hypotheses the vector of log-returns follow or a multivariate Variance Gamma model or a Multivariate Normal Inverse Gaussian model or a Brownian Motion. In particular, we propose an ex-ante and an ex-post empirical comparisons by the point of view of different investors. Thus, we compare portfolio strategies considering different term structure scenarios and different distributional assumptions when unlimited short sales are allowed.

Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarieterm structureexpected utilitySubordinated Lévy models; term structure; expected utility; portfolio strategiesportfolio strategiesMultivariate normal distributionSubordinated Lévy modelsVariance-gamma distributionInverse Gaussian distributionsymbols.namesakeSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Discrete time and continuous timesymbolsEconometricsPortfolioSubordinated Lévy models term structure expected utility portfolio strategiesPost-modern portfolio theoryPortfolio optimizationModern portfolio theoryMathematics
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A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes

2007

In this paper we describe portfolio selection models using Lévy processes. The contribution consists in comparing some portfolio selection strategies under different distributional assumptions. We first implement portfolio models under the hypothesis the log-returns follow a particular process with independent and stationary increments. Then we compare the ex-post final wealth of optimal portfolio selection models with subordinated Lévy processes when limited short sales and transaction costs are allowed.

Settore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Portfolio theory Lévy processes Variance-Gamma distribution Normal Inverse Gaussian distribution
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Moments for Some Kumaraswamy Generalized Distributions

2014

Explicit expansions for the moments of some Kumaraswamy generalized (Kw-G) distributions (Cordeiro and de Castro, 2011) are derived using special functions. We explore the Kw-normal, Kw-gamma, Kw-beta, Kw-t, and Kw-F distributions. These expressions are given as infinite weighted linear combinations of well-known special functions for which numerical routines are readily available.

Statistics and ProbabilityNormal distributionSpecial functionsMathematical analysisGeneralized gamma distributionGeneralized beta distributionGeneralized integer gamma distributionLinear combinationInverse distributionVariance-gamma distributionMathematicsCommunications in Statistics - Theory and Methods
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