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.
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Showing 1 to 10 of 10 for “"Gamma model"”.
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A solution of the two parameter gamma model to relate unit hydrograph features to basin characteristics
… desired regression analysis, the two-parameter gamma model proposed by Edson was utilized in the investigation. The parameters of the model were obtained by the simultaneous solution of the equations for unit graph peak and lag using observed unit hydrographs for 16 basins in the Piedmont region …
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Statistical methods for quantification of voxel-level image noise in PET/CT imaging
… PET study. Method: The approach is based on a Gamma-model representation of the stochastic character of voxel-level uptake data. First, we develop a novel two-step method to fit this model using CT attenuation information and local homogeneity. Step 1: For each voxel, we obtain the initial …
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Statistical Properties of Weighted Generalized Gamma Distribution
<p>A new class of weighted generalized gamma distribution and related distributions are presented. Theoretical properties of the generalized gamma model, weighted generalized gamma distribution including the hazard function, reverse hazard function, moments, coefficient of variation, coefficient of …
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Pricing discretely monitored barrier options under exponential-Levy processes
… framework, the normal inverse Gaussian model and the Variance Gamma model. These models are widely implemented when dealing with pricing options sensitive to jumps. A diffusion component is included in the Variance Gamma model for comparison purposes. We focus on the COS method using …
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Fourier pricing of two-asset options: a comparison of methods
… for more exotic options and under varying model assumptions. This paper will expand on this research by considering the efficiency of the two methods when applied to spread and worst-of rainbow options under two different models - namely the Black-Scholes model and the Variance Gamma model. …
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Herd behavior index for bespoke baskets: approximation via convex ordering
… option pricing. In the multivariate Variance Gamma model framework, we price the bespoke basket option via convex order and comonotonic approximations which serve the purpose. We then calibrate two customized baskets using market data from 2007 to 2011. The resulting HIX indicates potential …
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Parametric quantile regression based on the generalised gamma distribution
… Using the well-known three-parameter generalised gamma distribution to model variation in data, we present a parametric quantile regression study for positive univariate reference charts. The study constitutes an overall package that includes all different stages of parametric modeling starting …
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Numerical Contributions to the Asymptotic Theory of Robustness
… At the end of Chapter 2 convergence of robust models is introduced which is related to the concept of convergence of experiments of Le Cam. Part II deals with optimally robust estimators for some non-standard models in robust statistics. These models are covered by the R package ROptEst which …
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Option Pricing models with Stochastic Volatility and Jumps
… are primarily determined by option pricing models which should be able to price exotic options consistently with the market prices of corresponding vanilla options. Additionally, option pricing models should have intuitive dynamics which are able to capture real world behavior (such as …
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Cross-validation of spaceborne radar and ground polarimetric radar observations
… to determine the true PR return via theoretical modeling of specific attenuation (k) at PR wavelength with ground-based S-band radar observations. The reflectivity factor (Zh) at horizontal polarization state and specific differential phase (Kdp) are determined along the PR beam from GR …