LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS

DOI10.1111/j.1467-9965.2011.00504.xzbMath1262.91153OpenAlexW1656480207MaRDI QIDQ4917297

Vladimir K. Kaishev

Publication date: 29 April 2013

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/8538/1/Kaishev%20%282013%29%20MF.pdf

zbMATH Keywords

cumulantsB-splinesimplex splinebilateral gamma process(multivariate) variance gamma processDirichlet Bridge samplingDirichlet splineFX modelingLG (Lévy) process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical computation using splines (65D07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Spline approximation (41A15)

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