XVII Workshop on Quantitative Finance -- Session on MATHEMATICAL FINANCE II (Sala Azzurra)
speaker: Lorenzo Mercuri
speaker: Edit Rroji
timetable:
Fri 29 Jan, 11:00 - 13:00, Sala Azzurra
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communication: Multivariate Mixed Tempered Stable Distribution
speaker: Asmerilda Hitajspeaker: Lorenzo Mercuri
speaker: Edit Rroji
abstract: The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in capturing fat tails are discussed. This is an important feature, in particular, if we work with financial data. We introduce estimation and random-number generating procedures. The advantages of this new distribution are discussed and illustrated via simulation studies
timetable:
Fri 29 Jan, 11:00 - 13:00, Sala Azzurra
<< Go back