A Multivariate Time-Changed Lévy Model for Financial Applications
AbstractThe 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  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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Bibliographic InfoPaper provided by ICER - International Centre for Economic Research in its series ICER Working Papers - Applied Mathematics Series with number 10-2006.
Length: 27 pages
Date of creation: Jul 2006
Date of revision:
Levy processes; multivariate subordinators; dependence; multivariate asset modelling.;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Elisa Luciano & Wim Schoutens, 2006.
"A multivariate jump-driven financial asset model,"
Taylor and Francis Journals, vol. 6(5), pages 385-402.
- Elisa Luciano & Wim Schoutens, 2006. "A Multivariate Jump-Driven Financial Asset Model," Carlo Alberto Notebooks 29, Collegio Carlo Alberto.
- 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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