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On the Price of Risk Under a Regime Switching CGMY Process · Peerford

Article · Journal · 2016

On the Price of Risk Under a Regime Switching CGMY Process

Pious Asiimwe, Charles Wilson Mahera, Olivier Menoukeu-Pamen

Asia-Pacific Financial Markets

Open access · Hybrid
International · 2 countries

Read it 10.1007/s10690-016-9219-5

Citations: 8from other works
Field-weighted impact: 0.431.00 is the world average for its field and year
Among its field: 72nd percentileby citations, against works of its field and year
Authors: 3from 3 institutions

Authors

3 authors across 3 institutions in 2 countries

Pious AsiimweFirst author
- University of Dar es Salaam (TZ)
Charles Wilson Mahera
- African Institute for Mathematical Sciences (TZ)
Olivier Menoukeu-PamenSenior authorCorresponding

Funded by

Direktoratet for Utviklingssamarbeid
London Mathematical Society
University of Dar es Salaam

Countries on it

United Kingdom
Tanzania

Also on it

University of Liverpooleducation · GB

Fields

A work can sit in several, each with a score

Stochastic processes and financial applicationsTopic
Insurance, Mortality, Demography, Risk ManagementTopic
Financial Risk and Volatility ModelingTopic