The fractional multivariate normal tempered stable process

DOI10.1016/J.AML.2012.07.011zbMATH Open1267.60042OpenAlexW2081997567MaRDI QIDQ714607FDOQ714607

Authors: D. Kharzeev 

Publication date: 11 October 2012

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2012.07.011

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zbMATH Keywords

tempered stable processlong-range dependencefractional Brownian motionmultivariate fractional normal tempered stable processLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52)

Cites Work

• Tempered infinitely divisible distributions and processes
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility for Lévy Processes
• Stable Paretian models in finance
• Fractional Brownian Motions, Fractional Noises and Applications
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• THE GARCH OPTION PRICING MODEL
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• On fractional tempered stable motion
• Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
• Feller processes of normal inverse Gaussian type

Cited In (5)

• Fractional Cox-Ingersoll-Ross process with non-zero ``mean
• Title not available (Why is that?)
• Extrema of multi-dimensional Gaussian processes over random intervals
• On fractional tempered stable processes and their governing differential equations
• On fractional tempered stable motion

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