Barczak A.,
Zacharczuk D.,
Pluta D.,
Tools and methods of databases optimization in Oracle Database 10g. Part 1 – tuning instance
pp. 5-18
Abstract: The purpose of this article is to show the various questions and issues of
databases optimization, and learn methods to improve the performance of the database
based on the Oracle 10g DBS. The following parts will present working of these
mechanisms, obtained effects and estimation of the results.
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Trusz M.,
Kuzmina A.V.,
Option pricing by Esscher transforms in the cases
of normal inverse Gaussian and variance gamma
processes
pp. 35-44
Abstract: The class of Esscher transforms is an important tool for option pricing Gerber
and Shiu (1994) showed that the Esscher transform is an efficient technique for
valuing derivative securities if the log returns of the underlying securities are governed
by certain stochastic processes with stationary and independent increments.
Levy processes are the processes of such type. Special cases of the Levy processes
such as the normal inverse Gaussian process and the variance gamma process are considered
at this paper. Values of these processes parameters for the existence of Esscher
transform are deduced. A new algorithm of a normal inverse Gaussian process and
variance gamma process simulation is also presented in this paper. These algorithm is
universal and simpler one compared with analogous algorithms.
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