Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...

Abstract: The heavy-tailed Multivariate Normal Inverse Gaussian (MNIG) distribution is a recent variance-mean mixture of a multivariate Gaussian with a univariate inverse Gaussian distribution. Due to ...

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Draw sample from the Generalized Inverse Gaussian distribution using the method described in Hörmann, Wolfgang, and Josef Leydold. "Generating generalized inverse ...

ABSTRACT: This paper addresses one of the main issues regarding numerical derivatives valuation, particularly the search for an alternative to the normality assumption of underlying asset returns, to ...