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Title:

The density of distributions from the Bondesson class

Document type:
Zeitschriftenaufsatz
Author(s):
Bernhart, G.; Mai, J.-F.; Schenk, S.; Scherer, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
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...     »
Keywords:
Bernstein function, Bondesson class, Bromwich inversion, CDO, pricing, contour transformation, Laplace inversion, Lévy subordinator
Intellectual Contribution:
Discipline-based Research
Journal title:
Journal of Computational Finance
Journal listet in FT50 ranking:
nein
Year:
2015
Journal volume:
18
Journal issue:
3
Pages contribution:
99-128
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.21314/JCF.2015.296
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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