Cover Image

The bilateral generalized inverse Gaussian process with applications to financial modeling

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Agazzotti, Gaetano, Aguilar, Jean-Philippe
Format:	Preprint
Published:	2024
Subjects:	Probability 60G51, 60G46, 60E07, 60E10, 91B28
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Fast and explicit European option pricing under tempered stable processes
by: Agazzotti, Gaetano, et al.
Published: (2025)

Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps
by: Agazzotti, Gaetano, et al.
Published: (2025)

On the shapes of bilateral Gamma densities
by: Küchler, Uwe, et al.
Published: (2019)

Thorin processes and their subordination
by: Torricelli, Lorenzo
Published: (2025)

Regularisation of cylindrical Lévy processes in Besov spaces
by: Griffiths, Matthew, et al.
Published: (2024)

Higher-order ATM asymptotics for the CGMY model via the characteristic function
by: Hoffmeyer, Allen, et al.
Published: (2026)

Multivariate Tempered Space-Fractional Negative Binomial Process and Risk Models with Shocks
by: Pathak, Ashok Kumar, et al.
Published: (2024)

Tempered stable distributions and processes
by: Küchler, Uwe, et al.
Published: (2019)

Topology and convergence on the space of measure-valued functions
by: Hasebe, Takahiro, et al.
Published: (2023)

Some FKG inequalities for stochastic processes
by: Legrand, Alexandre
Published: (2024)

Optimal Rates for Ergodic SDEs Driven by Multiplicative $α$-Stable Processes in Wasserstein-1 distance
by: Jin, Xinghu, et al.
Published: (2025)

Graphical models for infinite measures with applications to extremes
by: Engelke, Sebastian, et al.
Published: (2022)

Duals and inverse flows of generalized Ornstein-Uhlenbeck processes
by: Behme, Anita, et al.
Published: (2025)

Characteristics of the switch process and geometric divisibility
by: Bengtsson, Henrik
Published: (2022)

Local moduli of continuity for permanental processes that are zero at zero
by: Marcus, Michael B., et al.
Published: (2024)

A Fourier-RKHS approach for detecting orthogonal Gaussian distributions for stationary processes on homogeneous spaces
by: Hediger, Michael
Published: (2025)

Convergence to Stable Laws and a Local Limit Theorem for Products of Positive Random Matrices
by: Mei, Jianzhang, et al.
Published: (2025)

Unified Signature Cumulants and Generalized Magnus Expansions
by: Friz, Peter K., et al.
Published: (2021)

Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches
by: Behme, Anita
Published: (2024)

Weak conditional propagation of chaos for systems of interacting particles with nearly stable jumps
by: Löcherbach, Eva, et al.
Published: (2025)

On certain integral functionals of integer-valued subordinators
by: Hu, Dongdong, et al.
Published: (2025)

Unparalleled instances of prolifickness, random walks, and square root boundaries
by: Gerhold, Stefan, et al.
Published: (2025)

On expected signatures and signature cumulants in semimartingale models
by: Friz, Peter K., et al.
Published: (2024)

Stochastic integration with respect to a Lévy basis
by: Riedle, Markus
Published: (2026)

Bivariate Tempered Space-Fractional Poisson Process and Shock Models
by: Soni, Ritik, et al.
Published: (2023)

A Skorohod measurable universal functional representation of solutions to semimartingale SDEs
by: Przybyłowicz, Paweł, et al.
Published: (2022)

On a Problem of M. Kac on Laplace Distributions
by: Koirala, Robert
Published: (2026)

Existence and phase structure of random inverse limit measures
by: Kleijn, B. J. K.
Published: (2024)

Higher-Order Multifractional Stable Motion: Definition and Fundamental Properties
by: Lechiheb, Atef
Published: (2026)

The Gundy-Stein decomposition with explicit constants
by: Hormozi, Mahdi, et al.
Published: (2026)

Expected Signature Kernels for Lévy Rough Paths
by: Friz, Peter K., et al.
Published: (2025)

Practical properties of the CUSUM process
by: Baron, Michael, et al.
Published: (2025)

Ergodicity and weak mixing for group-indexed infinitely divisible stationary processes
by: Avraham-Re'em, Nachi, et al.
Published: (2026)

Martingale dimensions for a class of metric measure spaces
by: Hino, Masanori
Published: (2025)

Coupling of forward-backward stochastic differential equations on the Wiener space, and application on regularity
by: Zhou, Xilin
Published: (2025)

Convergence of Empirical Measures for i.i.d. samples in $W^{-α, p}$
by: Iyer, Gautam, et al.
Published: (2025)

Edge-indexed network time series with graph Ornstein-Uhlenbeck dynamics
by: Chen, Jiaming, et al.
Published: (2026)

Betting Around the Clock: Time Change and Long Term Model Risk
by: Cherubini, Umberto
Published: (2026)

On the Besov-Orlicz path regularity of some Gaussian processes
by: Belfadli, Rachid, et al.
Published: (2026)

Delayed Hawkes birth-death processes
by: Baars, Justin, et al.
Published: (2023)