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Titel:

The density of distributions from the Bondesson class

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Bernhart, G.; Mai, J.-F.; Schenk, S.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
In this paper, we derive an integral representation for the density of distributions from the Bondesson class, a large subclass of positive, infinitely divisible distributions. One striking advantage of this representation is its numerical stability: the oscillat- ing integrand and the infinite integration bounds of the standard Bromwich Laplace inversion integral are circumvented, discretization errors are reduced and truncation errors are eliminated. This significantly enlarges the class of nu...     »
Stichworte:
Bernstein function, Bondesson class, Bromwich inversion, CDO, pricing, contour transformation, Laplace inversion, Lévy subordinator
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Journal of Computational Finance
Journal gelistet in FT50 Ranking:
nein
Jahr:
2015
Band / Volume:
18
Heft / Issue:
3
Seitenangaben Beitrag:
99-128
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.21314/JCF.2015.296
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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