Browsing by Author "Tappe, Stefan"

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2006-01-01Buch

Bilateral Gamma Distributions and Processes in Financial Mathematics

Küchler, Uwe; Tappe, Stefan

We present a class of Lévy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their ...
2005-11-10Dissertation

Finite dimensional realizations for term structure models driven by semimartingales

Tappe, Stefan

Es sei ein Heath-Jarrow-Morton Zinsstrukturmodell df(t,T) = alpha(t,T)dt + sigma(t,T)dX_t gegeben, angetrieben von einem mehrdimensionalen Semimartingal X. Das Ziel dieser Arbeit besteht darin, die Existenz endlich ...