Title of article
Bilateral gamma distributions and processes in financial mathematics
Author/Authors
Küchler، نويسنده , , Uwe and Tappe، نويسنده , , Stefan، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
23
From page
261
To page
283
Abstract
We present a class of Lévy processes for modelling financial market fluctuations: bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated Lévy processes. We treat exponential Lévy stock models with an underlying bilateral Gamma process as well as term structure models driven by bilateral Gamma processes, and apply our results to a set of real financial data (DAX 1996–1998).
Keywords
Bilateral Gamma distributions , Parameter estimation , Measure transformations , Bilateral Gamma processes , Stock models , Term structure models , Option Pricing
Journal title
Stochastic Processes and their Applications
Serial Year
2008
Journal title
Stochastic Processes and their Applications
Record number
1577955
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