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.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-5777 |
| Date | January 2005 |
| Creators | Eriksson, Anders |
| Publisher | Uppsala universitet, Institutionen för informationsvetenskap, Uppsala : Acta Universitatis Upsaliensis |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Doctoral thesis, comprehensive summary, info:eu-repo/semantics/doctoralThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences, 1652-9030 ; 4 |
Page generated in 0.002 seconds