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Everything about Variance gamma process
Concept in probability
In the theory of stochastic processes, a part of the mathematical theory of probability, the variance gamma (VG) process, also known as Laplace motion, is a Lévy process determined by a random time change. The process has finite moments, distinguishing it from many Lévy processes. There is no diffusion component in the VG process and it is thus a pure jump process. The increments are independent and follow a variance-gamma distribution, which is a generalization of the Laplace distribution. Wikipedia →
🧠Start here: a 6-step reading path
- Read the overview: Variance gamma processA 5-minute orientation
- Skim a recent paper: Limiting Ramp Rate of Wind Power Output using a Battery Based on the Variance Gamma ProcessInfluential work since 2022
- Pick up a classic book: Introduction to Probability and StatisticsThe most-reprinted book on the subject
- Read the landmark paper: The Variance Gamma Process and Option PricingCited 1,437 times
- Go sideways: Multivariate t-distributionA closely related topic
- Go sideways: Variance functionA closely related topic
đź“– Definitions
No dictionary entry for this exact phrase.
🗂️ The subject at a glance
🏆 Landmark papers (most cited)
The Variance Gamma Process and Option Pricing
Stationary-increment Student and variance-gamma processes
On American Options Under the Variance Gamma Process
Variance Gamma process as degradation model for prognosis and imperfect maintenance of centrifugal pumps
Highly accurate evaluation of European and American options under the Variance Gamma process
Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options
Pricing European Options under Stochastic Volatility Models: Case of Five-Parameter Variance-Gamma Process
A generalized variance gamma process for financial applications
🆕 Influential since 2022
Limiting Ramp Rate of Wind Power Output using a Battery Based on the Variance Gamma Process
The Variance Gamma++ process and applications to energy markets
The Risk Measurement under the Variance-Gamma Process with Drift Switching
Deep variance gamma processes
Transformed Variance Gamma process for degradation dynamics
đź“š Books worth reading
Introduction to Probability and StatisticsJ. Susan Milton, Jesse C. Arnold · 1990
An Introduction to Probability Theory and Its Applications [2/2]William Feller · 1966
Radiation detection and measurementGlenn F. Knoll · 2010
Ranked by number of editions on Open Library, a rough measure of how lasting a book is.
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