A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE

DOI10.1142/S0219024910005838zbMath1196.91065OpenAlexW3123952256MaRDI QIDQ3580217

Elisa Luciano, Patrizia Semeraro

Publication date: 11 August 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005838

zbMATH Keywords

Lévy processesasset pricing modelgeneralized hyperbolic distributionmultivariate normal mean-variance mixtureunivariate subordination

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)

Related Items (13)

Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing ⋮ A generalized variance gamma process for financial applications ⋮ Saddlepoint approximation for the generalized inverse Gaussian Lévy process ⋮ A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE ⋮ Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation ⋮ Multivariate time changes for Lévy asset models: characterization and calibration ⋮ Multivariate tempered stable additive subordination for financial models ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition ⋮ Building multivariate Sato models with linear dependence ⋮ Multivariate Lévy processes with dependent jump intensity ⋮ Dependence calibration and portfolio fit with factor-based subordinators ⋮ Cost-efficiency in multivariate Lévy models

Uses Software

• QRM

Cites Work

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• First hitting time models for the generalized inverse Gaussian distribution
• Processes that can be embedded in Brownian motion
• Hyperbolic distributions in finance
• Time Changes for Lévy Processes
• A multivariate jump-driven financial asset model
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Normal Variance-Mean Mixtures and z Distributions
• Multivariate distributions with generalized inverse gaussian marginals, and associated poisson mixtures
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Infinite Divisibility and Variance Mixtures of the Normal Distribution

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