Pages that link to "Item:Q3520391"

The following pages link to A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS (Q3520391):

Displaying 50 items.

• On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
• Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702) (← links)
• A note on marked point processes and multivariate subordination (Q504490) (← links)
• Series representations for multivariate time-changed Lévy models (Q518858) (← links)
• Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing (Q889626) (← links)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)
• Compound vectors of subordinators and their associated positive Lévy copulas (Q2022558) (← links)
• Some properties of the multivariate generalized hyperbolic laws (Q2023836) (← links)
• FFT-network for bivariate Lévy option pricing (Q2024616) (← links)
• Correlating Lévy processes with self-decomposability: applications to energy markets (Q2064647) (← 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)
• Self-decomposability of weak variance generalised gamma convolutions (Q2289801) (← links)
• Efficient pricing of European options on two underlying assets by frame duality (Q2304872) (← links)
• Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy (Q2334406) (← 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 time changes for Lévy asset models: characterization and calibration (Q2654202) (← links)
• Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications (Q2803412) (← links)
• MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (Q2831000) (← links)
• A generalized variance gamma process for financial applications (Q2893076) (← links)
• A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE (Q2909513) (← links)
• A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (Q2953304) (← links)
• MULTIVARIATE ECOGARCH PROCESSES (Q3168874) (← links)
• SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL (Q3304214) (← links)
• A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE (Q3580217) (← 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)
• LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS (Q4917297) (← links)
• The multivariate Variance Gamma model: basket option pricing and calibration (Q5001151) (← links)
• Dependence calibration and portfolio fit with factor-based subordinators (Q5001188) (← links)
• Multivariate continuous-time modeling of wind indexes and hedging of wind risk (Q5014183) (← 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)
• A note on the multivariate generalized asymmetric Laplace motion (Q5077188) (← links)
• INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS (Q5147994) (← links)
• Building multivariate Sato models with linear dependence (Q5234317) (← links)
• Multivariate Lévy processes with dependent jump intensity (Q5245898) (← links)
• On Properties of the MixedTS Distribution and Its Multivariate Extension (Q6086599) (← links)