In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006), to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. ...

The class of generalized hyperbolic (GH) distributions is generated by a mean-variance mixture of a multivariate Gaussian with a generalized inverse Gaussian (GIG) distribution. This rich family of GH distributions includes ...

In this paper, we develop statistical methodology for the analysis of data under nonnormal distributions, in the context of mixed effects models. Although the multivariate normal distribution is useful in many cases, it ...

We study a robust class of multidimensional non-uniformly hyperbolic transformations considered by Oliveira and Viana (Ergod. Theory Dyn. Syst. 28:501–533, 2008). For an open class of Hölder continuous potentials with small ...

Several formulations have long existed in the literature in the form of continuous mixtures of normal variables where a mixing variable operates on the mean or on the variance or on both the mean and the variance of a ...