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A Multivariate Time-Changed Lévy Model for Financial Applications

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  • Patrizia Semeraro

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Abstract

The purpose of this paper is to define a bivariate L´evy process by subordination of a Brownian motion. In particular we investigate a generalization of the bivariate Variance Gamma process proposed in Luciano and Schoutens [8] as a price process. Our main contribution here is to introduce a bivariate subordinator with correlated Gamma margins. We characterize the process and study its dependence structure. At the end wealso propose an exponential Lévy price model based on our process.

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File URL: http://www.icer.it/docs/wp2006/ICERwp10-06.pdf
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Bibliographic Info

Paper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 10-2006.

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Length: 27 pages
Date of creation: Jul 2006
Date of revision:
Handle: RePEc:icr:wpmath:10-2006

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Related research

Keywords: Levy processes; multivariate subordinators; dependence; multivariate asset modelling.;

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  1. Elisa Luciano & Wim Schoutens, 2005. "A Multivariate Jump-Driven Financial Asset Model," ICER Working Papers - Applied Mathematics Series 6-2005, ICER - International Centre for Economic Research.
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