Pages that link to "Item:Q5001188"
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The following pages link to Dependence calibration and portfolio fit with factor-based subordinators (Q5001188):
Displaying 15 items.
- Multivariate FX models with jumps: triangles, quantos and implied correlation (Q1753549) (← 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)
- Calibration for weak variance-alpha-gamma processes (Q2176361) (← links)
- Towards a \(\Delta\)-Gamma Sato multivariate model (Q2180296) (← links)
- Option pricing in time-changed Lévy models with compound Poisson jumps (Q2326531) (← links)
- Multivariate tempered stable additive subordination for financial models (Q2675366) (← 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)
- MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS (Q4631692) (← links)
- Forward-looking portfolio selection with multivariate non-Gaussian models (Q5139258) (← links)
- Building multivariate Sato models with linear dependence (Q5234317) (← links)
- Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps (Q5373914) (← links)