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Essays on Gaussian Probability Laws with Stochastic Means and Variances : With Applications to Financial Economics

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.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-5777
Date January 2005
CreatorsEriksson, Anders
PublisherUppsala universitet, Institutionen för informationsvetenskap, Uppsala : Acta Universitatis Upsaliensis
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeDoctoral thesis, comprehensive summary, info:eu-repo/semantics/doctoralThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess
RelationDigital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences, 1652-9030 ; 4

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