Building multivariate Sato models with linear dependence
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A generalized normal mean-variance mixture for return processes in finance
- A generalized variance gamma process for financial applications
- A multivariate jump-driven financial asset model
- A multivariate Lévy process model with linear correlation
- A multivariate pure-jump model with multi-factorial dependence structure
- A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
- A tale of two volatilities
- Bilateral gamma distributions and processes in financial mathematics
- Combinatorics of partial derivatives
- Dependence calibration and portfolio fit with factor-based subordinators
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 486467 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Introductory lectures on fluctuations of Lévy processes with applications.
- Multivariate option pricing models with Lévy and Sato VG marginal processes
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
- Multivariate time changes for Lévy asset models: characterization and calibration
- Normal Variance-Mean Mixtures and z Distributions
- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
- Option pricing using variance gamma Markov chains
- OPTION PRICING WITH VG–LIKE MODELS
- Processes of normal inverse Gaussian type
- Sato processes and the valuation of structured products
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Stochastic Volatility for Lévy Processes
- Subordination and self-decomposability
- Tempered stable distributions and processes
- The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
- The multivariate supOU stochastic volatility model
- Towards a \(\Delta\)-Gamma Sato multivariate model
- Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions
Cited in
(5)- Multivariate tempered stable additive subordination for financial models
- Multivariate factor-based processes with Sato margins
- Multivariate option pricing models with Lévy and Sato VG marginal processes
- Multivariate Lévy models: calibration and pricing
- A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance
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