A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE (Q2909513): Difference between revisions
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Latest revision as of 09:26, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE |
scientific article |
Statements
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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