The fractional multivariate normal tempered stable process

DOI10.1016/J.AML.2012.07.011MaRDI QIDQ714607zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

fractional Brownian motionLévy processeslong-range dependencemultivariate fractional normal tempered stable processtempered stable process

Mathematics Subject Classification ID

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

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Cites work

• 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
• Feller processes of normal inverse Gaussian type
• Fractional Brownian Motions, Fractional Noises and Applications
• scientific article; zbMATH DE number 1639858 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 2096685 (Why is no real title available?)
• Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
• On fractional tempered stable motion
• Stable Paretian models in finance
• Stochastic Volatility for Lévy Processes
• Tempered infinitely divisible distributions and processes
• THE GARCH OPTION PRICING MODEL

Cited in

(5)

• Fractional Cox-Ingersoll-Ross process with non-zero ``mean
• On fractional tempered stable motion
• On fractional tempered stable processes and their governing differential equations
• Extrema of multi-dimensional Gaussian processes over random intervals
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