Pages that link to "Item:Q2654202"
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The following pages link to Multivariate time changes for Lévy asset models: characterization and calibration (Q2654202):
Displaying 50 items.
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702) (← links)
- Series representations for multivariate time-changed Lévy models (Q518858) (← links)
- Fluctuation scaling and covariance matrix of constituents' flows on a bipartite graph empirical analysis with high-frequency financial data based on a Poisson mixture model (Q614551) (← links)
- On risk measuring in the variance-gamma model (Q1688726) (← links)
- Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions (Q1715552) (← links)
- On computing the price of financial instruments in foreign currency (Q1796242) (← links)
- Correlating Lévy processes with self-decomposability: applications to energy markets (Q2064647) (← links)
- Markov-modulated affine processes (Q2080289) (← links)
- On lower partial moments for the investment portfolio with variance-gamma distributed returns (Q2113612) (← links)
- Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination (Q2144199) (← links)
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation (Q2163888) (← links)
- Calibration for weak variance-alpha-gamma processes (Q2176361) (← links)
- Towards a \(\Delta\)-Gamma Sato multivariate model (Q2180296) (← links)
- Random time-change with inverses of multivariate subordinators: governing equations and fractional dynamics (Q2196551) (← links)
- Modeling stochastic mortality for joint lives through subordinators (Q2212170) (← links)
- On non-linear dependence of multivariate subordinated Lévy processes (Q2216946) (← links)
- Self-decomposability of weak variance generalised gamma convolutions (Q2289801) (← links)
- Zero covariation returns (Q2296115) (← links)
- Option pricing in time-changed Lévy models with compound Poisson jumps (Q2326531) (← links)
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719) (← links)
- The \(\alpha\)VG model for multivariate asset pricing: calibration and extension (Q2393159) (← links)
- Multivariate tempered stable additive subordination for financial models (Q2675366) (← links)
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE (Q2685272) (← links)
- Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications (Q2803412) (← links)
- Efficient solution of structural default models with correlated jumps and mutual obligations (Q2804497) (← links)
- Multivariate subordination of Markov processes with financial applications (Q2831000) (← links)
- Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform (Q2874728) (← links)
- The times change: multivariate subordination. Empirical facts (Q2893067) (← links)
- A generalized variance gamma process for financial applications (Q2893076) (← links)
- A multivariate pure-jump model with multi-factorial dependence structure (Q2909513) (← links)
- RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS (Q4563802) (← links)
- OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP (Q4571696) (← links)
- MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS (Q4608113) (← links)
- Marginal consistent dependence modelling using weak subordination for Brownian motions (Q4619532) (← links)
- MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS (Q4631692) (← links)
- MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES (Q4634638) (← links)
- Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (Q4689916) (← links)
- The multivariate Variance Gamma model: basket option pricing and calibration (Q5001151) (← links)
- Dependence calibration and portfolio fit with factor-based subordinators (Q5001188) (← links)
- Necessity of weak subordination for some strongly subordinated Lévy processes (Q5014298) (← links)
- A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets (Q5063388) (← links)
- Extrema of multi-dimensional Gaussian processes over random intervals (Q5067212) (← links)
- A note on the multivariate generalized asymmetric Laplace motion (Q5077188) (← links)
- Building multivariate Sato models with linear dependence (Q5234317) (← links)
- Multivariate Lévy processes with dependent jump intensity (Q5245898) (← links)
- Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes (Q5745541) (← links)
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives (Q5886359) (← links)
- Closed-form option pricing for exponential Lévy models: a residue approach (Q6158398) (← links)
- Estimation for multivariate normal rapidly decreasing tempered stable distributions (Q6552936) (← links)
