A generalized normal mean-variance mixture for return processes in finance

DOI10.1142/S0219024910005838MaRDI QIDQ3580217zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

generalized hyperbolic distributionasset pricing modelLévy processesmultivariate normal mean-variance mixtureunivariate subordination

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A multivariate jump-driven financial asset model
• First hitting time models for the generalized inverse Gaussian distribution
• Hyperbolic distributions in finance
• Infinite Divisibility and Variance Mixtures of the Normal Distribution
• Multivariate distribution models with generalized hyperbolic margins
• Multivariate distributions with generalized inverse gaussian marginals, and associated poisson mixtures
• Normal Variance-Mean Mixtures and z Distributions
• Processes that can be embedded in Brownian motion
• Time changes for Lévy processes

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
• A multivariate pure-jump model with multi-factorial dependence structure
• Introducing a family of distributions by using the class of normal mean-variance mixture
• 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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Uses Software

• QRM

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