Pages that link to "Item:Q3437395"
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The following pages link to A multivariate jump-driven financial asset model (Q3437395):
Displaying 50 items.
- The bivariate normal copula function is regularly varying (Q643238) (← links)
- Lévy copulae for financial returns (Q727660) (← links)
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling (Q745333) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Extending the multivariate generalised \(t\) and generalised \(VG\) distributions (Q1041071) (← links)
- Some properties of the multivariate generalized hyperbolic laws (Q2023836) (← links)
- Markov-modulated affine processes (Q2080289) (← links)
- On lower partial moments for the investment portfolio with variance-gamma distributed returns (Q2113612) (← links)
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation (Q2163888) (← links)
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
- Towards a \(\Delta\)-Gamma Sato multivariate model (Q2180296) (← links)
- Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution (Q2244851) (← links)
- Option pricing in time-changed Lévy models with compound Poisson jumps (Q2326531) (← links)
- Variance-mean mixture of the multivariate skew normal distribution (Q2340389) (← links)
- The \(\alpha\)VG model for multivariate asset pricing: calibration and extension (Q2393159) (← links)
- Dimension reduction for pricing options under multidimensional Lévy processes (Q2398582) (← links)
- Multivariate skew-normal generalized hyperbolic distribution and its properties (Q2451620) (← links)
- Multivariate time changes for Lévy asset models: characterization and calibration (Q2654202) (← links)
- Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences (Q2656111) (← links)
- MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (Q2831000) (← links)
- CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM (Q2874728) (← links)
- A generalized variance gamma process for financial applications (Q2893076) (← links)
- A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE (Q2909513) (← links)
- Lévy Copulas: Review of Recent Results (Q2956050) (← links)
- First passage time for multivariate jump-diffusion processes in finance and other areas of applications (Q3077491) (← links)
- Tail dependence and skew distributions (Q3169211) (← links)
- SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL (Q3304214) (← links)
- A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS (Q3520391) (← links)
- A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE (Q3580217) (← links)
- A multivariate Lévy process model with linear correlation (Q3645200) (← links)
- Smoothing the payoff for efficient computation of Basket option prices (Q4554434) (← links)
- Implied Volatility of Basket Options at Extreme Strikes (Q4560331) (← links)
- Valuation of Collateralized Funds of Hedge Fund Obligations: A Basket Option Pricing Approach (Q4561921) (← links)
- RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS (Q4563802) (← links)
- OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP (Q4571696) (← links)
- MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS (Q4608113) (← links)
- Marginal consistent dependence modelling using weak subordination for Brownian motions (Q4619532) (← links)
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility (Q4628041) (← links)
- MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS (Q4631692) (← links)
- MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES (Q4634638) (← links)
- Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (Q4689916) (← links)
- LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS (Q4917297) (← links)
- Inference procedures for the variance gamma model and applications (Q4922652) (← links)
- The multivariate Variance Gamma model: basket option pricing and calibration (Q5001151) (← links)
- Dependence calibration and portfolio fit with factor-based subordinators (Q5001188) (← links)
- FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK (Q5010074) (← links)
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759) (← links)
- On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality (Q5075569) (← links)
- A note on the multivariate generalized asymmetric Laplace motion (Q5077188) (← links)
- Exchange options under clustered jump dynamics (Q5139207) (← links)
