Search Results

Calibration for Weak Variance-Alpha-Gamma Processes,
Boris Buchmann, Kevin W. Lu and Dilip B. Madan, in Methodology and Computing in Applied Probability (2019)
Keywords: Brownian motion, Gamma process, Lévy process, Subordination, Variance-Gamma, Variance-Alpha-Gamma, Self-Decomposability, Log-Return, Method of moments, Maximum likelihood estimation, Digital moment estimation

An Expanded Local Variance Gamma Model,
Andrey Itkin, from World Scientific Publishing Co. Pte. Ltd. (2020)
Keywords: Local Volatility, Stochastic Clock, Geometric Process, Gamma Distribution, Piecewise Linear Volatility, Variance Gamma Process, Closed Form Solution, Fast Calibration, No-Arbitrage,

Geometric Local Variance Gamma Model,
Andrey Itkin, from World Scientific Publishing Co. Pte. Ltd. (2020)
Keywords: Local Volatility, Stochastic Clock, Geometric Process, Gamma Distribution, Piecewise Linear Volatility, Variance Gamma Process, Closed Form Solution, Fast Calibration, No-Arbitrage,

Pricing with Variance Gamma Information,
Lane P. Hughston and Leandro Sánchez-Betancourt, from World Scientific Publishing Co. Pte. Ltd. (2022)
Keywords: Financial Mathematics, Mathematical Finance, Financial Markets, Informatics, Asset Pricing, Asset Price Dynamics, Stochastic Modelling, Information Process, Information Flow, Signal Processing, Filtration, Brownian Motion, Brownian Bridge, Change of Measure, Stochastic Volatility, Credit Risk, Default, Equities, Bonds, Collateralized Debt Obligation, Discount Bond, Lévy Process, Lévy Random Bridge, Lévy Information, Gamma Bridge, Markov Bridge, Pricing Kernel, Option Pricing, Informed Traders, Insurance, Reinsurance, Insurance Claims, Bond Portfolio, Heat Kernel, Markov Process, Variance Gamma Process, Ornstein-Uhlenbeck Process, Commodities, Fake News,

Portfolio allocation using multivariate variance gamma models,
Asmerilda Hitaj and Lorenzo Mercuri, in Financial Markets and Portfolio Management (2013)
Keywords: Portfolio selection, Multivariate variance gamma model, Higher-order moments, C51, G11,

A Variance Gamma model for Rugby Union matches,
Fry John, Smart Oliver, Serbera Jean-Philippe and Klar Bernhard, in Journal of Quantitative Analysis in Sports (2021)
Keywords: football, Poisson distribution, Rugby Union, Soccer, sports analytics, Variance Gamma distribution

Variance Gamma Model in Hedging Vanilla and Exotic Options,
Bartłomiej Bollin and Robert Ślepaczuk, from Faculty of Economic Sciences, University of Warsaw (2020)
Keywords: Monte Carlo, option pricing, Variance Gamma, BSM model, Lévy processes, FX market, hedging, Asian and lookback options

The Variance Gamma Scaled Self-Decomposable Process in Actuarial Modelling,
Conall O'Sullivan and Michael Moloney, from Geary Institute, University College Dublin (2010)
Keywords: Variance gamma, regime switching lognormal, long term equity returns.

Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options,
Vladimir Kaishev and Dimitrina S. Dimitrova, in Management Science (2009)
Keywords: option pricing, gamma bridge, variance gamma process, Dirichlet partitions, quasi-Monte Carlo, Kingman limit

Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge,
Nick Webber and Claudia Ribeiro, from Society for Computational Economics (2003)
Keywords: Monte Carlo simulations, Bridge method, Variance-gamma, Option valuation

Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing,
Boris Buchmann, Benjamin Kaehler, Ross Maller and Alexander Szimayer, in Stochastic Processes and their Applications (2017)
Keywords: Lévy process; Variance-Gamma; Multivariate subordination; Generalised Gamma convolutions; Thorin measure; Esscher transformation; Esscher invariance; Superposition; Option pricing;

OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP,
Roman V. Ivanov, in International Journal of Theoretical and Applied Finance (IJTAF) (2018)
Keywords: European option, variance-gamma process, drift jump, exponential distribution, generalized hyperbolic function

Revisiting variance gamma pricing: An application to S&P500 index options,
Sharif Mozumder, Ghulam Sorwar and Kevin Dowd, in International Journal of Financial Engineering (IJFE) (2015)
Keywords: Variance gamma process, infinitely divisible distribution, fast Fourier transform, fractional Fourier transform, C02, G13

The Risk Measurement under the Variance-Gamma Process with Drift Switching,
Roman V. Ivanov, in JRFM (2022)
Keywords: variance-gamma process; drift switching; exponential distribution; hypergeometric function; lower partial expectation; value at risk; expected shortfall

Prognostic and Classification of Dynamic Degradation in a Mechanical System Using Variance Gamma Process,
Marwa Belhaj Salem, Mitra Fouladirad and Estelle Deloux, in Mathematics (2021)
Keywords: variance gamma; stochastic models; degradation processes; covariates; classification; k-nearest-neighbour; neural network; artificial intelligence

A Credit-Risk Valuation under the Variance-Gamma Asset Return,
Roman V. Ivanov, in Risks (2018)
Keywords: variance-gamma distribution; credit risk; call option; exponential distribution; shortfall risk; generalized hyperbolic function

Modeling share returns - an empirical study on the Variance Gamma model,
Andreas Rathgeber, Johannes Stadler and Stefan Stöckl, from HAL (2015)
Keywords: Variance Gamma model Parameter estimation methods Regime switching model Empirical data

Residue Sum Formula for Pricing Options under the Variance Gamma Model,
Pedro Febrer and João Guerra, in Mathematics (2021)
Keywords: Lévy processes; variance gamma process; multidimensional complex analysis; Mellin transform; option pricing

A note on the estimation of a Gamma-Variance process: Learning from a failure,
Gian P. Cervellera and Marco P. Tucci, from Department of Economics, University of Siena (2014)
Keywords: Variance-Gamma, log stock returns, maximum likelihood estimation, globally optimizing procedures

A note on the Estimation of a Gamma-Variance Process: Learning from a Failure,
Gian P. Cervellera and Marco P. Tucci, in Computational Economics (2017)
Keywords: Variance-Gamma, Log stock returns, Maximum likelihood estimation, Globally optimizing procedures

Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing Under the Variance Gamma Model,
Athanassios N. Avramidis and Pierre L'Ecuyer, in Management Science (2006)
Keywords: option pricing, efficiency improvement, extrapolation, quasi-Monte Carlo, variance gamma

On modeling fossil fuel prices: geometric Brownian motion vs. variance-gamma process,
Alejandro Mosiño and Alejandro Moreno-Okuno, in Economics Bulletin (2018)
Keywords: Fossil fuel index, variance-gamma process, geometric Brownian motion process

Wasserstein and Kolmogorov Error Bounds for Variance-Gamma Approximation via Stein’s Method I,
Robert E. Gaunt, in Journal of Theoretical Probability (2020)
Keywords: Stein’s method, Variance-gamma approximation, Distributional transformation, Rate of convergence

ECM Algorithm for Auto-Regressive Multivariate Skewed Variance Gamma Model with Unbounded Density,
Thanakorn Nitithumbundit and Jennifer S. K. Chan, in Methodology and Computing in Applied Probability (2020)
Keywords: Unbounded likelihood, Multivariate skewed variance gamma distribution, EM algorithm, Observed information matrix, Normal mean-variance representation

On the gamma difference distribution,
Peter J. Forrester, in Statistics & Probability Letters (2024)
Keywords: Gamma difference distribution; Variance gamma distribution; Stein-type differential identity;

Variance Gamma process as degradation model for prognosis and imperfect maintenance of centrifugal pumps,
Marwa Belhaj Salem, Mitra Fouladirad and Estelle Deloux, in Reliability Engineering and System Safety (2022)
Keywords: Variance Gamma; Stochastic Degradation model; Statistical inference; Remaining useful life estimation; Prognostic; Sensitivity analysis; Estimation error propagation; Imperfect maintenance;

The distribution of the maximum of a variance gamma process and path-dependent option pricing,
Roman Ivanov, in Finance and Stochastics (2015)
Keywords: Variance gamma process, Distribution of maximum, Path-dependent options, Exact formula, Hypergeometric function, 60G51, 60G70, 60J75, 33C20, C02, D46, D53, G12,

Speed and biases of Fourier-based pricing choices: Analysis of the Bates and Asymmetric Variance Gamma models,
Ricardo Crisóstomo, from CNMV- Spanish Securities Markets Commission - Research and Statistics Department (2017)
Keywords: Jump processes, Bates model, Variance Gamma, Fourier transforms, pricing errors, speed comparisons

No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process,
Markus Ulze, Johannes Stadler and Andreas W. Rathgeber, in The Quarterly Review of Economics and Finance (2021)
Keywords: Implied volatility smile; Implied volatility determinants; Lévy process; Variance gamma process; Buyer-/seller-motivated trades;

Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process,
Farzad Fard and Ning Rong, in Annals of Finance (2014)
Keywords: Ruin contingent life annuity, Regime switching variance gamma, Esscher transform, Pricing and risk management, G13, G22, D52,

PRICING MULTI-ASSET AMERICAN OPTION WITH STOCHASTIC CORRELATION COEFFICIENT UNDER VARIANCE GAMMA ASSET PRICE DYNAMIC,
Farshid Mehrdoust and Oldouz Samimi, in Annals of Financial Economics (AFE) (2020)
Keywords: Levy process, variance gamma process, Ornstein–Uhlenbeck process, multi-asset American options

A stochastic processes toolkit for risk management: Geometric Brownian motion, jumps, GARCH and variance gamma models,
Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer and Fares Triki, in Journal of Risk Management in Financial Institutions (2009)
Keywords: risk management, stochastic processes, risk factors, fat tails, mean reversion, jump diffusion processes, variance gamma processes

Variance-Gamma and Normal-Inverse Gaussian models: Goodness-of-fit to Chinese high-frequency index returns,
Ahmet Goncu and Hao Yang, in The North American Journal of Economics and Finance (2016)
Keywords: Variance-Gamma; Normal-Inverse Gaussian; Generalized hyperbolic distribution; Chinese high-frequency index returns;

Fitting Local Volatility:Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models,
Andrey Itkin, from World Scientific Publishing Co. Pte. Ltd. (2020)
Keywords: Local Volatility, Stochastic Clock, Geometric Process, Gamma Distribution, Piecewise Linear Volatility, Variance Gamma Process, Closed Form Solution, Fast Calibration, No-Arbitrage

Pricing European Options under Stochastic Volatility Models: Case of Five-Parameter Variance-Gamma Process,
Aubain Hilaire Nzokem, in JRFM (2023)
Keywords: stochastic volatility; Lévy process; Ornstein–Uhlenbeck process; infinitely divisible distribution; Variance-Gamma (VG) model; function characteristic; Esscher transform

Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed,
Olivier Le Courtois and Li Shen, from HAL (2024)
Keywords: Gaussian and non-Gaussian assumptions,Variance gamma process,Profit testing,Participating contract,Universal life contract,Variable annuities with guarantees

Generalizing the Inequality Process’ Gamma Model of Particle Wealth Statistics,
John Angle, from University Library of Munich, Germany (2021)
Keywords: gamma pdf, heavier-than-gamma tails, Inequality Process, particle parameters, particle wealth, variance-gamma pdf

A characterization of the gamma process by conditional moments,
Jacke Wesołowski, in Metrika: International Journal for Theoretical and Applied Statistics (1989)
Keywords: Gamma process, characterization of probability distributions, conditional expectation, conditional variance,

LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS,
Lie-Jane Kao, in International Journal of Theoretical and Applied Finance (IJTAF) (2012)
Keywords: Variance-gamma process, feedback effect, leverage effect, locally risk-neutral valuation relationship (LRNVR), Black–Scholes model, ad hoc Black–Scholes model, normal NGARCH model, stochastic volatility VG model

Bilateral multiple gamma returns: Their risks and rewards,
Dilip B. Madan, Wim Schoutens and King Wang, in International Journal of Financial Engineering (IJFE) (2020)
Keywords: Entropy maximization, variance gamma, distorted expectation, measure distortion, skewness premia

Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis,
Dilip B. Madan and King Wang, in International Journal of Financial Engineering (IJFE) (2022)
Keywords: Multivariate variance gamma, tail probabilities, bivariate characteristic function estimation

Volatility investing with variance swaps,
Wolfgang Härdle and Elena Silyakova, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
Keywords: Conditional Variance Swap, Corridor Variance Swap, Dispersion Trading, Gamma Swap, Variance Swap, Volatility Replication, Volatility Trading

BAYESIAN ANALYSIS OF THE COMPOUND COLLECTIVE MODEL; THE VARIANCE PREMIUM PRINCIPLE WITH EXPONENTIAL POISSON AND GAMMA-GAMMA DISTRIBUTIONS,
A. Hernández-Bastida, Pilar Fernandez-Sanchez and E. Gómez-Deniz, from Faculty of Economics and Business (University of Granada) (2007)
Keywords: Bayesian Robustness, Contamination Class, Variance Principle.

Contaminated Variance–Mean mixing model,
Thomas Fung, Joanna J.J. Wang and Eugene Seneta, in Computational Statistics & Data Analysis (2013)
Keywords: DIC; Normal Variance–Mean distribution; Maximum likelihood estimation; Mixing representation; Variance-Gamma distribution; JAGS;

Variance reduction estimation for return models with jumps using gamma asymmetric kernels,
Song Yuping, Hou Weijie and Zhou Shengyi, in Studies in Nonlinear Dynamics & Econometrics (2019)
Keywords: continuous-time return model, high frequency financial data, Nadaraya-Watson estimator, resistance to sparse design, variance and bias reduction

Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness,
Dilip B. Madan, in JRFM (2010)
Keywords: Bid and ask prices; concave distortions; non linear expectations; variance gamma model; non-uniform grids

Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market,
Wing Yip, David Stephens and Sofia Olhede, from University Library of Munich, Germany (2008)
Keywords: Hedging Strategies; Levy processes; Variance Gamma; Choatic Representation Property; Power Jump Processs; Variance Swaps; Moment Swaps

Further results related to variance past lifetime class & associated orderings and their properties,
Mervat Mahdy, in Physica A: Statistical Mechanics and its Applications (2016)
Keywords: Conditional variance; Formation of coherent system; Generalized gamma distribution; Increasing-variance inactivity time; Lindley distribution;

Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models,
Annalisa Cadonna, Sylvia Frühwirth-Schnatter and Peter Knaus, in Econometrics (2020)
Keywords: Bayesian model averaging; horseshoe prior; lasso prior; sparsity; stochastic volatility; triple gamma prior; VAR models

Stochasticity, heterogeneity, and variance in longevity in human populations,
Nienke Hartemink, Trifon I. Missov and Hal Caswell, in Theoretical Population Biology (2017)
Keywords: Individual stochasticity; Heterogeneous frailty; Variance; Longevity; Age–frailty classified matrix model; ​Gamma-Gompertz–Makeham;

A closed-form mean–variance–skewness portfolio strategy,
Fang Zhen and Jingnan Chen, in Finance Research Letters (2022)
Keywords: Asymmetry; Normal-gamma distribution; Mean–variance–skewness frontier; Portfolio strategy; Three-moment capital asset pricing model;

Asymptotic optimality of the square-root transformation on the gamma distribution using the Kullback–Leibler information number criterion,
Kimihiro Noguchi and Mayla C. Ward, in Statistics & Probability Letters (2024)
Keywords: Box–Cox transformation; Incomplete gamma function; Kullback–Leibler divergence; Laplace distribution; Normality; Variance-stabilizing transformation;

The distribution of the sample correlation coefficient under variance-truncated normality,
Haruhiko Ogasawara, in Metrika: International Journal for Theoretical and Applied Statistics (2024)
Keywords: Wishart distribution, Stripe truncation, Weighted hypergeometric functions, Sample variances and covariances, Multivariate normality, Multivariate gamma function

Reliability For A Bivariate Gamma Distribution,
Nadarajah Saralees and Kotz Samuel, in Stochastics and Quality Control (2005)
Keywords: Bivariate gamma distributions, reliability

Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its Variance-Gamma special case,
Thomas Fung and Eugene Seneta, in Statistics & Probability Letters (2021)
Keywords: Asymptotic tail dependence coefficient; Bivariate generalized hyperbolic distribution; Convergence rate; Mean–variance mixing; Copula; Bivariate symmetric t-distribution;

The Bayesian Posterior and Marginal Densities of the Hierarchical Gamma–Gamma, Gamma–Inverse Gamma, Inverse Gamma–Gamma, and Inverse Gamma–Inverse Gamma Models with Conjugate Priors,
Li Zhang and Ying-Ying Zhang, in Mathematics (2022)
Keywords: conjugate prior; gamma and inverse gamma distribution; hierarchical model and mixture distribution; marginal density; posterior density

On a multivariate gamma,
A. M. Mathai and P. G. Moschopoulos, in Journal of Multivariate Analysis (1991)
Keywords: multivariate gamma moments exact density approximations estimation inequalities

On the product of gamma random variables,
Christopher Withers and Saralees Nadarajah, in Quality & Quantity: International Journal of Methodology (2013)
Keywords: Distribution, Gamma random variables, Products,

Joint prior distributions for variance parameters in Bayesian analysis of normal hierarchical models,
Haydar Demirhan and Zeynep Kalaylioglu, in Journal of Multivariate Analysis (2015)
Keywords: Hierarchical models; Multi-level models; Multivariate log gamma; Random coefficient; Random effect; Variance components; Hyperprior; Hyperparameter; Directional derivative; Sensitivity analysis;

Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation,
Reiichiro Kawai, in Methodology and Computing in Applied Probability (2008)
Keywords: Esscher transform, Gamma distribution and process, Girsanov theorem, Monte Carlo simulation, Infinitely divisible distribution, Stochastic approximation, Variance reduction

Fractional Brownian motion time-changed by gamma and inverse gamma process,
A. Kumar, A. Wyłomańska, R. Połoczański and S. Sundar, in Physica A: Statistical Mechanics and its Applications (2017)
Keywords: Subordination; Gamma process; Inverse gamma process; Simulation; Estimation;

Monotonicity properties of the gamma family of distributions,
Iosif Pinelis, in Statistics & Probability Letters (2021)
Keywords: Stochastic monotonicity; Gamma distribution; Incomplete gamma function; Logarithmic mean;

Bridges with Random Length: Gamma Case,
Mohamed Erraoui, Astrid Hilbert and Mohammed Louriki, in Journal of Theoretical Probability (2020)
Keywords: Lévy processes, Gamma processes, Gamma bridges, Markov process, Bayes theorem

Goodness-of-fit procedure for gamma processes,
Ghislain Verdier, in Computational Statistics (2024)
Keywords: Gamma process, Gamma distribution, Goodness-of-fit, Independence, Stationarity

A convexity property of the median of the gamma distribution,
Horst Alzer, in Statistics & Probability Letters (2006)
Keywords: Median Gamma distribution Convexity Inequalities

Pricing with Variance Gamma Information,
Lane P. Hughston and Leandro S\'anchez-Betancourt, from arXiv.org (2020)

The β-variance gamma model,
Wim Schoutens and Geert Damme, in Review of Derivatives Research (2011)
Keywords: Levy processes, Hitting probability, Barrier options, C60, C16, C02,

Nobusawa Gamma Nearness Semirings,
Mehmet Ali Öztürk and Hasret Yazarli, in New Mathematics and Natural Computation (NMNC) (2021)
Keywords: Rough sets, near sets, nearness approximation spaces, weak nearness approximation spaces, nearness semigroups, Gamma nearness semigroups, Gamma nearness rings, Gamma nearness semirings

Gamma distribution and extensions by using pathway idea,
Dhannya Joseph, in Statistical Papers (2011)
Keywords: Pathway model, Generalized gamma, Extended gamma, Inverse Gaussian, H-function,

A note on a bivariate gamma distribution,
Makoto Maejima and Yohei Ueda, in Statistics & Probability Letters (2010)
Keywords: Infinitely divisible distribution Bivariate gamma distribution [alpha]-selfdecomposable distribution

On characterizations of exponential and gamma distributions,
M. H. Alamatsaz, in Statistics & Probability Letters (1993)
Keywords: Characterization characteristic function [alpha]-unimodality gamma distribution unimodality

Note on a characterization of gamma distributions,
Wen-Jang Huang and Li-Sue Chen, in Statistics & Probability Letters (1989)
Keywords: beta distribution characterization gamma distribution infinitely divisible Laplace--Stieltjes transform

Risk-adjusted gamma discounting,
Martin Weitzman, in Journal of Environmental Economics and Management (2010)
Keywords: Discounting Risk-adjusted Distant future Gamma discounting Climate change

Option gamma and stock returns,
Amar Soebhag, in Journal of Empirical Finance (2023)
Keywords: Cross-section of stock returns; Option demand; Gamma hedging; Return predictability;

On characterizations of beta and gamma distributions,
G. F. Yeo and R. K. Milne, in Statistics & Probability Letters (1991)
Keywords: Characterizations gamma distributions beta distributions moments renewal process

A note on the multiplicative gamma process,
Daniele Durante, in Statistics & Probability Letters (2017)
Keywords: Matrix factorization; Multiplicative gamma process; Shrinkage prior; Stochastic order;

Gamma function to Beck–Cohen superstatistics,
Jung Hun Han, in Physica A: Statistical Mechanics and its Applications (2013)
Keywords: Gamma function; Bayesian analysis; Superstatistics; Tsallis statistics;

Note on the singularity of the Poisson–gamma model,
Gintautas Jakimauskas and Leonidas Sakalauskas, in Statistics & Probability Letters (2016)
Keywords: Empirical Bayesian estimation; Poisson–gamma model;

The influence function of Gini’s gamma,
Claudio G. Borroni and D. Michele Cifarelli, in METRON (2017)
Keywords: Gini’s gamma, Influence function, Association measures

Nobusawa Gamma Nearness Rings,
Mehmet Ali Öztürk and Young Bae Jun, in New Mathematics and Natural Computation (NMNC) (2019)
Keywords: Rough sets, near sets, nearness approximation spaces, weak nearness approximation spaces, nearness semigroups, gamma nearness semigroups, gamma nearness rings

A Study On Gamma Radiation Response Of Ceric Sulfate Dosimeter,
Shamoon Al Islam, Zunaira Javaid, Abdul Ghaffa, Yasir Jamil and Nasim Akhter Warraich, in Acta Scientifica Malaysia (ASM) (2019)
Keywords: Gamma, Radiation, Dosimeter, Ceric Sulfate

Asymptotic [Gamma]-distribution for stochastic difference equations,
Götz Kersting, in Stochastic Processes and their Applications (1992)
Keywords: asymptotic [Gamma]-distribution branching processes

A Simple Approximation to the Convolution of Gamma Distributions (Revision of DP 2006-27),
T. Stewart, Leo Strijbosch, J.J.A. Moors and P. van Batenburg, from Tilburg University, Center for Economic Research (2007)
Keywords: approximating distributions; convolution; gamma distribution

A Simple Gamma Random Number Generator for Arbitrary Shape Parameters,
Hisashi Tanizaki, in Economics Bulletin (2008)
Keywords: Gamma Random Variable

Simulated Likelihood Estimation of the Normal-Gamma Stochastic Frontier Function,
William Greene, in Journal of Productivity Analysis (2003)
Keywords: frontier, gamma, simulated likelihood,

GAMMASYM: Stata module to compute the value of the symmetrical gamma function,
Jean-Benoit Hardouin, from Boston College Department of Economics (2007)
Keywords: symmetrical gamma function

GAMMAFIT: Stata module to fit a two-parameter gamma distribution,
Nicholas Cox and Stephen Jenkins, from Boston College Department of Economics (2011)
Keywords: gamma distribution, maximum likelihood

Products of double gamma, gamma and beta distributions,
J.-F.Jean-François Chamayou, in Statistics & Probability Letters (2004)
Keywords: Sums and products of random variables Beta Gamma Double gamma and Dufresne distributions Univariate and multivariate hypergeometric functions Appell functions Gauss Clausen relations Bailey reduction formula

Parameter estimation of the generalized gamma distribution,
O. Gomes, C. Combes and A. Dussauchoy, in Mathematics and Computers in Simulation (MATCOM) (2008)
Keywords: Shifted generalized gamma distribution; Generalized gamma distribution; Parameter estimation; Chi-squared goodness-of-fit test;

Gamma-Minimax Prediction for the Multinomial Distribution,
Alicja Jokiel-Rokita, in Metrika: International Journal for Theoretical and Applied Statistics (2006)
Keywords: Bayes estimator, Bayes risk, Gamma-minimax estimation, Gamma-minimax prediction, Multinomial distribution,