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Title: Series representations and approximation of some quantile functions appearing in finance
Author: Munir, A. U. K.
Awarding Body: University College London (University of London)
Current Institution: University College London (University of London)
Date of Award: 2013
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Abstract:
It has long been agreed by academics that the inversion method is the method of choice for generating random variates, given the availability of a cheap but accurate approximation of the quantile function. However for several probability distributions arising in practice a satisfactory method of approximating these functions is not available. The main focus of this thesis will be to develop Taylor and asymptotic series representations for quantile functions of the following probability distributions; Variance Gamma, Generalized Inverse Gaussian, Hyperbolic, -Stable and Snedecor’s F distributions. As a secondary matter we briefly investigate the problem of approximating the entire quantile function. Indeed with the availability of these new analytic expressions a whole host of possibilities become available. We outline several algorithms and in particular provide a C++ implementation for the variance gamma case. To our knowledge this is the fastest available algorithm of its sort.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.626075  DOI: Not available
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