A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE (Q2909513): Difference between revisions

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Latest revision as of 10:26, 30 July 2024

scientific article
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A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE
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    A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE (English)
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    30 August 2012
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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 pricing
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    multi-factorial modeling
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    variance gamma
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