• Communications of the Korean Mathematical Society
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• v.14 no.2
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• pp.353-364
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• 1999

We found the characterizations for convolution operators in the Beurling`s generalized distribution space to be hyperbolic.

• Journal of the Korean Data and Information Science Society
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• v.27 no.4
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• pp.959-967
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• 2016

Distributional assumptions on equity returns play a key role in valuation theories for derivative securities. Elberlein and Keller (1995) investigated the distributional form of compound returns and found that some of standard assumptions can not be justified. Instead, Generalized Hyperbolic (GH) distribution fit the empirical returns with high accuracy. Hu and Kercheval (2007) also show that the normal distribution leads to VaR (Value at Risk) estimate that significantly underestimate the realized empirical values, while the GH distributions do not. We consider saddlepoint approximations to estimate the VaR and the ES (Expected Shortfall) which frequently encountered in finance and insurance as measures of risk management. We supposed GH distributions instead of normal ones, as underlying distribution of linear portfolios. Simulation results show the saddlepoint approximations are very accurate than normal ones.

• Bulletin of the Korean Mathematical Society
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• v.30 no.1
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• pp.29-34
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• 1993

J. Leray [7] proposed a sufficient condition ofr the solvability of the Cauchy problem on the initial hyperplane x$_{1}$=0 with Cauchy data which are holomorphic with respect to the variables parallel to some analytic subvariety S of the initial hyperplane. Limiting the problem to the case of operators with constant coefficients, A. Kaneko [2] proposed a new sharper sufficient condition. Later we generalized this condition and showed that it is necessary and sufficient for the solvability of the Cauchy problem for the hyperfunction Cauchy data and the distribution Cauchy data which contain variables parallel to S as holomorphic parameters in [5, 6]. In this paper, we extend the results in [6] to the case of operators with variable coefficients and show that it is sufficient for the solvability of the Cauchy problem for the hyperfunction Cauchy data. Our main theorem can be considered as an example of a deep theorem on micro-hyperbolic systems by Kashiwara-Schapira [4] and we give a direct proof based on an elementary sweeping out procedure developed in Kaneko [3].