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Wealth distribution: To be or not to be a Gamma?
Econophysics Gamma distribution kinetic theory
2010/10/20
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst ...
We discuss the equivalence between kinetic wealth-exchange models, in which agents exchange wealth during trades, and mechanical models of particles, exchanging energy during collisions. The universal...
摘要： 本文引入金融参数Delta、Gamma、Theta，将外汇期权近似表达式拓展成Delta-Gamma-Theta模型（简称DGT模型），且运用Cornish-Fisher 方法来调整置信区间，以校正Delta-Gamma-Theta风险对正态分布偏斜的影响，就可近似得到分位数，从而估计出来VaR值与基于Delta正态分布模型、Monte-Carlo模...