Mathematical and Statistical Methods for Actuarial Sciences and Finance

24 C. Bencivenga, G. Sargenti, and R.L. D’Ecclesia switch between natural gas and residual fuel oil has declined, so gas prices ...

Energy markets: crucial relationship between prices 25 prices has been found despite periods where they may have appeared to dec ...

26 C. Bencivenga, G. Sargenti, and R.L. D’Ecclesia 10 15 20 25 30 35 40 45 2002 2003 2004 2005 2006 2007 Brent crude oil 0 100 2 ...

Energy markets: crucial relationship between prices 27 whereyt=yt−yt− 1 and the lag lengthkis automatic based on Scharwz inform ...

28 C. Bencivenga, G. Sargenti, and R.L. D’Ecclesia to catch seasonal changes in correlations when interpreting the rolling corre ...

Energy markets: crucial relationship between prices 29 Ta b le 3 .Cointegration rank test (trace and maximum eigenvalue) Nr. of ...

30 C. Bencivenga, G. Sargenti, and R.L. D’Ecclesia Ta b le 4 .Engle and Granger cointegration test Dep. variable Indep. variable ...

Energy markets: crucial relationship between prices 31 electricity and gas price formation. The misalignment between oil and gas ...

32 C. Bencivenga, G. Sargenti, and R.L. D’Ecclesia Johansen, S.: Likelihood-based Inference in Cointegrated Vector Autoregressi ...

Tempered stable distributions and processes in finance: numerical analysis Michele Leonardo Bianchi∗, Svetlozar T. Rachev, Young ...

34 M.L. Bianchi et al. stable option pricing models. The formal definition of tempered stable processes has been proposed in the ...

Tempered stable distributions and processes in finance: numerical analysis 35 Furthermore, by theorem 2.3 in [21], the Levy meas ...

36 M.L. Bianchi et al. Definition 2Let Xtbe the process such that X 0 = 0 and E[eiuXt]=etψ(u)where ψ(u)=ium+(−Y)C((M−iu)Y−MY+iY ...

Tempered stable distributions and processes in finance: numerical analysis 37 wheref(x)is the density function. If the density f ...

38 M.L. Bianchi et al. setI−={iy|y∈R−}, remembering that 2 F 1 (a,b,c; 0 )=1. Second, in order to obtain a fast convergence of t ...

Tempered stable distributions and processes in finance: numerical analysis 39 where bT=−( 1 −Y)C(MY−^1 −GY−^1 ) (16) andγis the ...

40 M.L. Bianchi et al. with x 0 =‖σ‖−^1 ( k+r+α α+p+ − k−r−α α+p− ) , x 1 = k+r+ p++ 1 − k−r− p−+ 1 , whereζdenotes the Riemann ...

Tempered stable distributions and processes in finance: numerical analysis 41 general there is no constructive method to find th ...

42 M.L. Bianchi et al. K ̈uchler, U., Tappe, S.: Bilateral gamma distributions and processes in financial mathe- matics. Stocha ...

Transformation kernel estimation of insurance claim cost distributions Catalina Bolanc ́e, Montserrat Guillen, and Jens Perch Ni ...