Dependence calibration and portfolio fit with factor-based subordinators

DOI10.1080/14697688.2015.1114661zbMath1468.91143OpenAlexW2293975413MaRDI QIDQ5001188

Patrizia Semeraro, Elisa Luciano, Marina Marena

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2318/1617096

zbMATH Keywords

correlationLévy processesdependencemultivariate subordinatorsmultivariate asset modellingfactor-based subordinatorsmultivariate subordinated processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

Related Items (15)

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Uses Software

• QRM

Cites Work

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