A Multivariate Time-Changed Lévy Model for Financial Applications
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  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.
|Date of creation:||Jul 2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +39 011 6706060
Fax: +39 011 6706060
Web page: http://www.esomas.unito.it/
More information through EDIRC
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 & 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.
When requesting a correction, please mention this item's handle: RePEc:icr:wpmath:10-2006. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Simone Pellegrino)
If references are entirely missing, you can add them using this form.