Pages that link to "Item:Q3520391"
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The following pages link to A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS (Q3520391):
Displayed 27 items.
- On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
- Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702) (← links)
- A note on marked point processes and multivariate subordination (Q504490) (← links)
- Series representations for multivariate time-changed Lévy models (Q518858) (← links)
- Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing (Q889626) (← links)
- On risk measuring in the variance-gamma model (Q1688726) (← links)
- Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions (Q1715552) (← links)
- On computing the price of financial instruments in foreign currency (Q1796242) (← links)
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719) (← links)
- The \(\alpha\)VG model for multivariate asset pricing: calibration and extension (Q2393159) (← links)
- Multivariate time changes for Lévy asset models: characterization and calibration (Q2654202) (← links)
- Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications (Q2803412) (← links)
- MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (Q2831000) (← links)
- A generalized variance gamma process for financial applications (Q2893076) (← links)
- A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE (Q2909513) (← links)
- A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (Q2953304) (← links)
- MULTIVARIATE ECOGARCH PROCESSES (Q3168874) (← links)
- A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE (Q3580217) (← 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)
- 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)
- Multivariate Lévy processes with dependent jump intensity (Q5245898) (← links)