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An extension of the generalized hyperbolic family of probability laws
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Information Science.
Manuscript (Other academic)
Identifiers
URN: urn:nbn:se:uu:diva-92996OAI: oai:DiVA.org:uu-92996DiVA: diva2:166338
Available from: 2005-04-26 Created: 2005-04-26 Last updated: 2010-01-13Bibliographically approved
In thesis
1. Essays on Gaussian Probability Laws with Stochastic Means and Variances: With Applications to Financial Economics
Open this publication in new window or tab >>Essays on Gaussian Probability Laws with Stochastic Means and Variances: With Applications to Financial Economics
2005 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This work consists of four articles concerning Gaussian probability laws with stochastic means and variances. The first paper introduces a new way of approximating the probability distribution of a function of random variables. This is done with a Gaussian probability law with stochastic mean and variance. In the second paper an extension of the Generalized Hyperbolic class of probability distributions is presented. The third paper introduces, using a Gaussian probability law with stochastic mean and variance, a GARCH type stochastic process with skewed innovations.

In the fourth paper a Lévy process with second order stochastic volatility is presented, option pricing under such a process is also considered.

Place, publisher, year, edition, pages
Uppsala: Acta Universitatis Upsaliensis, 2005. 7 p.
Series
Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences, ISSN 1652-9030 ; 4
Keyword
Statistics, Approximating a function of random variables, Skewness Modeling, Skewed GARCH process, Lévy Process, Option pricing, Statistik
National Category
Probability Theory and Statistics
Identifiers
urn:nbn:se:uu:diva-5777 (URN)91-554-6236-7 (ISBN)
Public defence
2005-05-20, Hörsal 2, Ekonomikum, Uppsala, 10:15
Opponent
Supervisors
Available from: 2005-04-26 Created: 2005-04-26Bibliographically approved

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  • apa
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Language
  • de-DE
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  • nn-NB
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  • Other locale
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Output format
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