MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS

DOI10.1111/MAFI.12061zbMath1351.60103OpenAlexW3123094883MaRDI QIDQ2831000

Vadim Linetsky, Rafael Mendoza-Arriaga

Publication date: 1 November 2016

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

Full work available at URL: https://doi.org/10.1111/mafi.12061

zbMATH Keywords

diffusionstochastic volatilityMarkov processesmultiple commoditiesmultiparameter semigroupsmultivariate subordination

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Transition functions, generators and resolvents (60J35) Credit risk (91G40)

Related Items (16)

Optimal credit investment and risk control for an insurer with regime-switching ⋮ Inhomogeneous time change equations for Markov chains and their applications ⋮ A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation ⋮ Portfolio Choice with Market--Credit-Risk Dependencies ⋮ Multivariate tempered stable additive subordination for financial models ⋮ Modeling Dependent Outages of Electric Power Plants ⋮ Stochastic distortion and its transformed copula ⋮ Option Pricing in Some Non-Lévy Jump Models ⋮ Linear credit risk models ⋮ Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮ Variance Swaps on Defaultable Assets and Market Implied Time-Changes ⋮ Risk-Sensitive Asset Management and Cascading Defaults ⋮ EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING ⋮ Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk ⋮ Exact simulation of Ornstein–Uhlenbeck tempered stable processes ⋮ Integrability of multivariate subordinated Lévy processes in Hilbert space

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