Multivariate tempered stable additive subordination for financial models

DOI10.1007/S11579-022-00321-9MaRDI QIDQ2675366zbMATH OpenOpenAlexFDO

Authors Patrizia Semeraro

Publication date 23 September 2022

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2105.00844

zbMATH Keywords

tempered stable distributionsmultivariate additive subordinationmultivariate asset modelingSato processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(2)

• Multivariate tempered stable additive subordination for financial models
• Additive subordination and its applications in finance

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