Concepedia

Variance Gamma Processes

Variance Gamma Processes is a type of stochastic process in financial mathematics that extends Brownian motion by incorporating time changes through a gamma subordinator, thereby allowing for jumps and capturing skewness and kurtosis in asset returns.

114

Publications

10.9K

Citations

170

Authors

111

Institutions

Publications per year

2017–2026

17

Variants

Variance Gamma Process

Parents

Publications

114

The Variance Gamma Process and Option Pricing

Dilip B. Madan, Peter Carr, Eric C. Chang · European Finance Review · 1998 · 1.9K citations

, , +17

The Fine Structure of Asset Returns: An Empirical Investigation

Peter Carr, Hélyette Geman, Dilip B. Madan et al. · The Journal of Business · 2002 · 1.8K citations

, , +17

The Variance Gamma (V.G.) Model for Share Market Returns

Dilip B. Madan, E. Seneta · The Journal of Business · 1990 · 1.6K citations

, , +17

A survey of the application of gamma processes in maintenance

Jan M. van Noortwijk · Reliability Engineering & System Safety · 2007 · 1.3K citations

, , +12

Reliability modeling of degradation of products with multiple performance characteristics based on gamma processes

Zhengqiang Pan, N. Balakrishnan · Reliability Engineering & System Safety · 2011 · 235 citations

, , +14

1–5 of 114

Authors

170

  1. DB
    Dilip B. Madan

    University of Maryland, College Park, United States

    15 publications · 5.7K citations

    13

    h-index

  2. WS
    Wim Schoutens

    KU Leuven, Belgium

    8 publications · 397 citations

    8

    h-index

  3. ES
    E. Seneta

    The University of Sydney, Australia

    8 publications · 1.9K citations

    8

    h-index

  4. PC
    Peter Carr

    New York University, United States

    7 publications · 3.9K citations

    7

    h-index

  5. EL
    Elisa Luciano

    University of Turin, Italy

    6 publications · 373 citations

    6

    h-index

1–5 of 170

Institutions

111

  1. University of Maryland, College Park

    College Park, United States

    10 h-index

    11 publications

    4K citations

  2. KU Leuven

    Leuven, Belgium

    9 h-index

    11 publications

    537 citations

  3. The University of Sydney

    Sydney, Australia

    6 h-index

    11 publications

    390 citations

  4. University of Michigan

    Ann Arbor, United States

    5 h-index

    5 publications

    182 citations

  5. Morgan Stanley (United States)

    New York, United States

    5 h-index

    5 publications

    2K citations

  6. University of Turin

    Turin, Italy

    5 h-index

    5 publications

    410 citations

  7. New York University

    New York, United States

    5 h-index

    5 publications

    196 citations

  8. Imperial College London

    London, United Kingdom

    5 h-index

    5 publications

    278 citations

1–8 of 111

Venues

  1. Quantitative Finance

    12 publications · 316 citations

    12

    h-index

  2. SSRN Electronic Journal

    Repository · 12 publications · 306 citations

    11

    h-index

  3. International Journal of Theoretical and Applied Finance

    IJTAF · 9 publications · 260 citations

    9

    h-index

  4. The Journal of Computational Finance

    7 publications · 505 citations

    7

    h-index

  5. Mathematical Finance

    7 publications · 311 citations

    7

    h-index

1–5