Dependence calibration and portfolio fit with factor-based subordinators (Q5001188)
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scientific article; zbMATH DE number 7372449
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dependence calibration and portfolio fit with factor-based subordinators |
scientific article; zbMATH DE number 7372449 |
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Dependence calibration and portfolio fit with factor-based subordinators (English)
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16 July 2021
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Lévy processes
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multivariate subordinators
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dependence
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correlation
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multivariate asset modelling
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multivariate subordinated processes
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factor-based subordinators
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