LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS

DOI10.1111/j.1467-9965.2011.00504.xzbMath1262.91153MaRDI QIDQ4917297

Vladimir K. Kaishev

Publication date: 29 April 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/8538/1/Kaishev%20%282013%29%20MF.pdf

zbMATH Keywords

cumulants; B-spline; simplex spline; bilateral gamma process; (multivariate) variance gamma process; Dirichlet Bridge sampling; Dirichlet spline; FX modeling; LG (Lévy) process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

65D07: Numerical computation using splines

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

41A15: Spline approximation

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