Lévy Process in finance and estimation of the Variance Gamma parameters
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Lévy Process in finance and estimation of the Variance Gamma parameters.
Rel. Patrizia Semeraro. Politecnico di Torino, Corso di laurea magistrale in Ingegneria Gestionale (Engineering And Management), 2019
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Abstract
The first part is adescription of the Lévy process theory and their application in finance. In the second one of them, the Variance Gamma, has been analyzed deeper with an estimation of its parameters from a data sample.
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