Series representations for multivariate time-changed Lévy models
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Cites work
- scientific article; zbMATH DE number 1639863 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 1232408 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (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 extension of a vector of two-parameter Poisson-Dirichlet processes
- A vector of Dirichlet processes
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- Change of time and change of measure
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Estimation of the activity of jumps in time-changed Lévy models
- Financial Modelling with Jump Processes
- Fourier transform methods in finance.
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- Infinite Divisibility and Variance Mixtures of the Normal Distribution
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- Modelling dependence in insurance claims process with Lévy copulas
- Multivariate subordination, self-decomposability and stability
- Multivariate time changes for Lévy asset models: characterization and calibration
- Nonparametric inference on Lévy measures and copulas
- Normal Variance-Mean Mixtures and z Distributions
- Numerical methods for Lévy processes
- On Bayesian nonparametric modelling of two correlated distributions
- Parameter estimation of a bivariate compound Poisson process
- Parametric estimation of a bivariate stable Lévy process
- Processes that can be embedded in Brownian motion
- Series representations for multivariate generalized gamma processes via a scale invariance principle
- Slice sampling mixture models
- Stochastic Volatility for Lévy Processes
- Vectors of two-parameter Poisson-Dirichlet processes
- Vine constructions of Lévy copulas
Cited in
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- 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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