Multivariate marked Poisson processes and market related multidimensional information flows

DOI10.1142/S0219024918500589MaRDI QIDQ4631692zbMATH OpenOpenAlexWikidataFDO

Authors Petar Jevtić, Marina Marena, Patrizia Semeraro

Publication date 18 April 2019

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500589

zbMATH Keywords

marked Poisson processesmultivariate asset modelingmultivariate normal inverse Gaussian processmultivariate Poisson random measuremultivariate subordinatorssubordinated Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20)

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Cites work

• A multivariate jump-driven financial asset model
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• A note on marked point processes and multivariate subordination
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Basket option pricing and implied correlation in a one-factor Lévy model
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Dependence calibration and portfolio fit with factor-based subordinators
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Large Sample Properties of Generalized Method of Moments Estimators
• Lévy simple structural models
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• Multivariate subordination, self-decomposability and stability
• Multivariate time changes for Lévy asset models: characterization and calibration
• Probability and stochastics.
• Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions

Cited in

(5)

• On non-linear dependence of multivariate subordinated Lévy processes
• A general class of multifractional processes and stock price informativeness
• Multivariate tempered stable additive subordination for financial models
• m-Double Poisson Lévy markets
• Information flow dependence in financial markets

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