LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS (Q4917297): Difference between revisions
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Revision as of 18:00, 5 March 2024
scientific article; zbMATH DE number 6159246
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS |
scientific article; zbMATH DE number 6159246 |
Statements
LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS (English)
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29 April 2013
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LG (Lévy) process
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(multivariate) variance gamma process
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bilateral gamma process
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Dirichlet spline
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B-spline
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simplex spline
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Dirichlet Bridge sampling
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cumulants
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FX modeling
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