13 citations · 56 across the 10 of their papers we have counts for
10 papers
Fitting the seven-parameter Generalized Tempered Stable distribution to the financial data
Aubain Nzokem, Daniel Maposa
The paper proposes and implements a methodology to fit a seven-parameter Generalized Tempered Stable (GTS) distribution to financial data. The nonexistence of the mathematical expr…
Self-Decomposable Laws Associated with General Tempered Stable (GTS) Distribution and their Simulation Applications
A. H. Nzokem
The paper describes the self-decomposable distribution and the background driving Lévy process (BDLP) associated with the Generalized Tempered Stable (GTS) distribution. Two distri…
Enhanced Fractional Fourier Transform (FRFT) scheme based on closed Newton-Cotes rules
A. H. Nzokem
The paper improves the accuracy of the one-dimensional fractional Fourier transform (FRFT) by leveraging closed Newton-Cotes quadrature rules. Using the weights derived from the Co…
Bitcoin versus S&P 500 Index: Return and Risk Analysis
A. H. Nzokem
The S&P 500 index is considered the most popular trading instrument in financial markets. With the rise of cryptocurrencies over the past years, Bitcoin has also grown in popularit…
European Option Pricing Under Generalized Tempered Stable Process: Empirical Analysis
A. H. Nzokem
The paper investigates the performance of the European option price when the log asset price follows a rich class of Generalized Tempered Stable (GTS) distribution. The GTS distrib…
Fitting Generalized Tempered Stable distribution: Fractional Fourier Transform (FRFT) Approach
A. H. Nzokem, V. T. Montshiwa
The paper investigates the rich class of Generalized Tempered Stable distribution, an alternative to Normal distribution and the -Stable distribution for modelling asset return…
Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Variance-Gamma Process
A. H. Nzokem
The paper builds a Variance-Gamma (VG) model with five parameters: location (), symmetry (), volatility (), shape (), and scale (); and studies its application to th…
Fitting Infinitely divisible distribution: Case of Gamma-Variance Model
A. H. Nzokem
The paper examines the Fractional Fourier Transform (FRFT) based technique as a tool for obtaining probability density function and its derivatives, and mainly for fitting stochast…
SIS Epidemic Model: Birth-and-Death Markov Chain Approach
A. H. Nzokem
We are interested in describing the infected size of the SIS Epidemic model using Birth-Death Markov process. The Susceptible-Infected-Susceptible (SIS) model is defined within a p…
epidemic dynamics and adaptive vaccination strategy: renewal equation approach
Aubain Nzokem, Neal Madras
We use analytical methods to investigate a continuous vaccination strategy effects on the infectious disease dynamics in a closed population and a demographically open population.…