A generalized normal mean-variance mixture for return processes in finance
DOI10.1142/S0219024910005838zbMATH Open1196.91065OpenAlexW3123952256MaRDI QIDQ3580217FDOQ3580217
Authors: Elisa Luciano, Patrizia Semeraro 
Publication date: 11 August 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024910005838
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generalized hyperbolic distributionasset pricing modelLévy processesmultivariate normal mean-variance mixtureunivariate subordination
Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)
Cites Work
- Title not available (Why is that?)
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Normal Variance-Mean Mixtures and z Distributions
- Hyperbolic distributions in finance
- Multivariate distributions with generalized inverse gaussian marginals, and associated poisson mixtures
- First hitting time models for the generalized inverse Gaussian distribution
- Processes that can be embedded in Brownian motion
- A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
- Time changes for Lévy processes
- Infinite Divisibility and Variance Mixtures of the Normal Distribution
- A multivariate jump-driven financial asset model
- Multivariate distribution models with generalized hyperbolic margins
Cited In (17)
- Building multivariate Sato models with linear dependence
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
- Cost-efficiency in multivariate Lévy models
- Saddlepoint approximation for the generalized inverse Gaussian Lévy process
- Regulating stochastic clocks§
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation
- Forward-looking portfolio selection with multivariate non-Gaussian models
- A generalized variance gamma process for financial applications
- The stochastically subordinated Poisson normal process for modelling financial assets
- Generalized linear model for subordinated Lévy processes
- Multivariate time changes for Lévy asset models: characterization and calibration
- Introducing a family of distributions by using the class of normal mean-variance mixture
- A multivariate pure-jump model with multi-factorial dependence structure
- Multivariate tempered stable additive subordination for financial models
- Dependence calibration and portfolio fit with factor-based subordinators
- Multivariate Lévy processes with dependent jump intensity
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