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Series Representations for Multivariate Time-Changed Lévy Models

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  • Vladimir Panov

    (National Research University Higher School of Economics)

Abstract

In this paper, we analyze a Lévy model based on two popular concepts - subordination and Lévy copulas. More precisely, we consider a two-dimensional Lévy process such that each component is a time-changed (subordinated) Brownian motion and the dependence between subordinators is described via some Lévy copula. The main result of this paper is the series representation for our model, which can be efficiently used for simulation purposes.

Suggested Citation

  • Vladimir Panov, 2017. "Series Representations for Multivariate Time-Changed Lévy Models," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 97-119, March.
    • Handle: RePEc:spr:metcap:v:19:y:2017:i:1:d:10.1007_s11009-015-9461-8
    DOI: 10.1007/s11009-015-9461-8
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    References listed on IDEAS

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