A multivariate Lévy process model with linear correlation

DOI10.1080/14697680902744729MaRDI QIDQ3645200zbMATH OpenOpenAlexFDO

Authors Reiichiro Kawai

Publication date 16 November 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2381/8018

zbMATH Keywords

implementation of pricingmathematical financemodel calibrationmultivariate volatilitynon-Gaussian distributionsnon-Gaussian option pricingstochastic jumpsvolatility modelling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• A jump-diffusion model for option pricing
• A multivariate jump-driven financial asset model
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Empirical estimation of tail dependence using copulas: application to Asian markets
• Estimating the tail-dependence coefficient: properties and pitfalls
• Extreme Financial Risks
• scientific article; zbMATH DE number 1390900 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Lévy processes, polynomials and martingales
• Lévy simple structural models
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• Stochastic Volatility for Lévy Processes
• The normal inverse gaussian lévy process: simulation and approximation
• The Variance Gamma Process and Option Pricing

Cited in

(17)

• Multivariate FX models with jumps: triangles, quantos and implied correlation
• Calibration for weak variance-alpha-gamma processes
• The multivariate mixture dynamics model: shifted dynamics and correlation skew
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
• Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
• A generalized variance gamma process for financial applications
• A multivariate pure-jump model with multi-factorial dependence structure
• Lévy copulas: review of recent results
• Pricing multivariate options under stochastic volatility Lévy processes
• scientific article; zbMATH DE number 6521379 (Why is no real title available?)
• Multivariate option pricing models with Lévy and Sato VG marginal processes
• Basket option pricing and implied correlation in a one-factor Lévy model
• Building multivariate Sato models with linear dependence
• Multivariate Lévy processes with dependent jump intensity
• TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
• A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance

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