Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 12 of 12 for “"; Generalized Hyperbolic"”.
-
Potential Theory of Generalized Hyperbolic Processes
Let Yt be a rotationally invariant generalized hyperbolic process in Rd , d ≥ 3. Yt can be obtained by subordinating Brownian motion with a generalized inverse Gaussian subordinator Tt. We introduce generalized inverse Gaussian and generalized hyperbolic processes in chapter 1. In chapter 2, we …
-
Some Problems Concerning the Generalized Hyperbolic and Related Distributions
… with some significant problems concerning the generalized hyperbolic and generalized inverse Gaussian distribution. Firstly, the presence of the modified Bessel function of the second kind Kλ (z) in the density function of these distributions has been known to be one of the challenges for …
-
The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures
Finanzmathematische Modelle sind in den 90ern sowohl von der <br>Mathematik her deutlich weiterentwickelt, als auch verstärkt in <br>Finanzinstitutionenen angewandt worden. Hierbei geht der Trend dahin, <br>die in Standardansätzen verwandte Brownsche Bewegung durch <br>realistischere Prozesse, die …
-
Solving transport-density equation with diffusion using the first integral method and the generalized hyperbolic functions method
… the first integral method (FIM) and the generalized hyperbolic functions method (GHFM) are employed to solve the proposed model and to give compelling evidence that regularization of the conservation law by adding viscosity that will undeniably remove the singularity and the weak solution …
-
Higher moment models for risk and portfolio management
… context, with a special focus on the Generalized Hyperbolic distribution. In Chapter 1, I consider the extension of univariate GARCH processes with higher moment dynamics based on the Autoregressive Conditional Density model of Hansen (1994), with conditional distribution the …
-
Statistical analysis for discretely observed Lévy processes
… stable, Gamma, Normal inverse Gaussian and generalized hyperbolic Lévy processes. Furthermore, we apply our results to martingale estimating functions to obtain efficient estimators.
-
Self-adjoint Laplacians and Symmetric Diffusions on Hyperbolic Attractors
In this thesis analysis on the attractors of hyperbolic dynamical systems is established in terms of Dirichlet forms. We construct self-adjoint Laplacians and symmetric Markov semigroups on uniformly, partially and generalized hyperbolic attractors, as well as on attractors with nonuniformly …
-
Lévy processes in credit risk and market models
… a brief survey of some aspects of credit risk, generalized hyperbolic distributions and Lévy processes. In the overview of the structural approach, it is shown how Lévy processes can be used to generalize the classical structural approach. The second chapter contains a generalization of the …
-
Development of a flow-condition-based interpolation 9-node element for incompressible flows
… finite difference technique that can solve generalized hyperbolic equations with 3rd order accuracy in space.
-
Hyperbolic String Field Theory
… elementary interactions are parameterized using hyperbolic geometry. We introduce a systematic procedure to characterize its off-shell data: the local coordinates around punctures on Riemann surfaces as a function of complex structure and the vertex regions in the relevant moduli spaces over …
-
Pricing Basket of Credit Default Swaps and Collateralised Debt Obligation by Lévy Linearly Correlated, Stochastically Correlated, and Randomly Loaded Factor Copula Models and Evaluated by the Fast and Very Fast Fourier Transform
… of the Lévy Skew Alpha-Stable distribution and Generalized Hyperbolic distribution. Numerically, the characteristic functions of the mth to default CDS's and (n/m) th to default CDS's number of defaults, the CDO's cumulative loss, and loss given default are evaluated by semi-explicit techniques, …
-
Lévy Processes in Finance: Theory, Numerics, and Empirical Facts
Levy-Prozesse, das heißt stochastische Prozesse mit unabhängigen <br>und stationären Zuwächsen, stellen eine Verallgemeinerung der <br>Brownschen Bewegung dar. Aufgrund ihrer günstigen analytischen <br>Eigenschaften hat sich die Brownsche Bewegung als Standardmodell <br>für viele Prozesse in der …