Bilateral gamma distributions and processes in financial mathematics

By Uwe Kuchler, Stefan Tappe. 2008

179 citations recorded by the source corpus.

We present a class of Levy 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 Levy processes. We treat exponential Levy 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).

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f9661614f2db76143b3124f19b2a71a9e50d54f1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Frank J Fabozzi 3
2. Svetlozar T. Rachev
3. Valentine Genon-Catalot
4. Michele Leonardo Bianchi
5. Young Shin Kim
6. Fabienne Comte
7. Uwe Kuchler
8. Stefan Tappe

In Management Science and Operations Research

1. Fabienne Comte
2. Valentine Genon-Catalot
3. Frank J Fabozzi 3
4. Uwe Kuchler
5. Stefan Tappe
6. Svetlozar T. Rachev
7. Michele Leonardo Bianchi
8. Young Shin Kim

Citations in the corpus

• Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “For real-valued coordinates we employ the bilateral Gamma density from Küchler and Tappe (2008a).”
• Nonparametric estimation for pure jump Lévy processes based on high frequency data. (2009, background): “The variance Gamma stochastic volatility model is a special case of bilateral Gamma process (see K¨uchler and Tappe (2008), Comte and Genon-Catalot (2008)).”
• Estimation for L\'{e}vy processes from high frequency data within a long time interval (2011, background): “For δ = 1/2, BΓt is a symmetric bilateral Lévy Gamma process [see Madan and Seneta (1990), Küchler and Tappe (2008)].”
• Tempered stable distributions and processes (2013, background): “β = β− = 0) parameter estimation was provided in [23].”
• Tempered stable distributions and processes in finance: numerical analysis (2010, background): “Further extensions or limiting cases are also given by the fractional tempered stable framework [10], the bilateral gamma [15] and the generalized tempered stable distribution [7, 16].”