Series representations for multivariate time-changed Lévy models

DOI10.1007/S11009-015-9461-8zbMATH Open1360.60096OpenAlexW1224804998MaRDI QIDQ518858FDOQ518858

Authors: Yong-Cai Geng, Sumit K. Garg 

Publication date: 30 March 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9461-8

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zbMATH Keywords

subordinated Brownian motionLévy copulatime-changed Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Parametric inference (62F99) Brownian motion (60J65)

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Cited In (6)

• Multivariate asset-pricing model based on subordinated stable processes
• Marginal consistent dependence modelling using weak subordination for Brownian motions
• Option pricing in time-changed Lévy models with compound Poisson jumps
• Multivariate subordination, self-decomposability and stability
• Correlating Lévy processes with self-decomposability: applications to energy markets
• Multivariate time changes for Lévy asset models: characterization and calibration

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