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 ...

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 ...

In this paper, the Generalized Hyperbolic Distribution is used in the portfolio selection with higher moments. Thereafter a comparative scheme is showed to determinate the advance with regard to Markowitz Portfolio Selection.

We study multiple linear regression model under non-normally distributed random error by considering the family of generalized secant hyperbolic distributions. We derive the estimators of model parameters by using modified ...