<p>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. </p><p>In the fourth paper a Lévy process with second order stochastic volatility is presented, option pricing under such a process is also considered.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:uu-5777 |
| Date | January 2005 |
| Creators | Eriksson, Anders |
| Publisher | Uppsala University, Department of Information Science, Uppsala : Acta Universitatis Upsaliensis |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Doctoral thesis, comprehensive summary, text |
| Relation | Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences, 1652-9030 ; 4 |
Page generated in 0.0024 seconds