Quantile Mechanics 3: Series Representations and Approximation of some Quantile Functions appearing in Finance

Details Quantile Mechanics 3: Series Representations and Approximation of some Quantile Functions appearing in Finance Quantile Mechanics 3: Series Representations and Approximation of some Quantile Functions appearing in Finance

2012-03-26

arxiv.org/abs/1203.5729v2

Economy

Quantitative Finance

Computational Finance

Scientific paper

It has long been agreed by academics that the inversion method is the method of choice for generating random variates, given the availability 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 paper will be to develop Taylor and asymptotic series expansions for the quantile functions belonging to the following probability distributions; Variance Gamma, Generalized Inverse Gaussian, Hyperbolic and alpha-Stable. As a secondary matter, based on these analytic expressions we briefly investigate the problem of approximating the quantile function.

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