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A Multivariate Jump-Driven Financial Asset Model

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Cited by:

  1. Chen, Jianli & Liu, Zhen & Li, Shenghong, 2014. "Mixed copula model with stochastic correlation for CDO pricing," Economic Modelling, Elsevier, vol. 40(C), pages 167-174.
  2. Christian Bayer & Markus Siebenmorgen & Raul Tempone, 2016. "Smoothing the payoff for efficient computation of Basket option prices," Papers 1607.05572, arXiv.org, revised Feb 2017.
  3. Florence Guillaume, 2013. "The αVG model for multivariate asset pricing: calibration and extension," Review of Derivatives Research, Springer, vol. 16(1), pages 25-52, April.
  4. Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
  5. Alexandre Petkovic, 2009. "Three essays on exotic option pricing, multivariate Lévy processes and linear aggregation of panel models," ULB Institutional Repository 2013/210357, ULB -- Universite Libre de Bruxelles.
  6. Lynn Boen & Florence Guillaume, 2020. "Towards a $$\Delta $$Δ-Gamma Sato multivariate model," Review of Derivatives Research, Springer, vol. 23(1), pages 1-39, April.
  7. Luciano, Elisa, 2006. "Copulas and dependence models in credit risk: diffusions versus jumps," MPRA Paper 59638, University Library of Munich, Germany.
  8. Dongdong Hu & Hasanjan Sayit & Frederi Viens, 2023. "Pricing basket options with the first three moments of the basket: log-normal models and beyond," Papers 2302.08041, arXiv.org, revised Feb 2023.
  9. Fung, Thomas & Seneta, Eugene, 2010. "Extending the multivariate generalised t and generalised VG distributions," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 154-164, January.
  10. Roman V. Ivanov, 2018. "A Credit-Risk Valuation under the Variance-Gamma Asset Return," Risks, MDPI, vol. 6(2), pages 1-25, May.
  11. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013. "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks 307, Collegio Carlo Alberto, revised 2015.
  12. Helen Haworth & Christoph Reisinger & William Shaw, 2008. "Modelling bonds and credit default swaps using a structural model with contagion," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 669-680.
  13. Anders Grosen & Pernille Jessen & Thomas Kokholm, 2014. "An asset protection scheme for banks exposed to troubled loan portfolios," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 568-588, October.
  14. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019.
  15. Thomas Fung & Eugene Seneta, 2010. "Modelling and Estimation for Bivariate Financial Returns," International Statistical Review, International Statistical Institute, vol. 78(1), pages 117-133, April.
  16. Bedendo, Mascia & Campolongo, Francesca & Joossens, Elisabeth & Saita, Francesco, 2010. "Pricing multiasset equity options: How relevant is the dependence function?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 788-801, April.
  17. Elisa Luciano & Patrizia Semeraro, 2007. "Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators," Carlo Alberto Notebooks 42, Collegio Carlo Alberto.
  18. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
  19. Luca Spadafora & Marco Dubrovich & Marcello Terraneo, 2014. "Value-at-Risk time scaling for long-term risk estimation," Papers 1408.2462, arXiv.org.
  20. Karl Friedrich Hofmann & Thorsten Schulz, 2016. "A General Ornstein–Uhlenbeck Stochastic Volatility Model With Lévy Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-23, December.
  21. Gian Luca Tassinari & Corrado Corradi, 2013. "Pricing equity and debt tranches of collateralized funds of hedge fund obligations: An approach based on stochastic time change and Esscher-transformed martingale measure," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1991-2010, December.
  22. Stergios B. Fotopoulos & Venkata K. Jandhyala & Alex Paparas, 2021. "Some Properties of the Multivariate Generalized Hyperbolic Laws," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 187-205, February.
  23. Filippo Fiorani & Elisa Luciano & Patrizia Semeraro, 2007. "Single and joint default in a structural model with purely discontinuous assets," Carlo Alberto Notebooks 41, Collegio Carlo Alberto.
  24. Di Zhang & Roderick V. N. Melnik, 2009. "First passage time for multivariate jump‐diffusion processes in finance and other areas of applications," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(5), pages 565-582, September.
  25. Gian Luca Tassinari & Michele Leonardo Bianchi, 2014. "Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-34.
  26. Vilca, Filidor & Balakrishnan, N. & Zeller, Camila Borelli, 2014. "Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 73-85.
  27. Feng-Tse Tsai, 2019. "Option Implied Stock Buy-Side and Sell-Side Market Depths," Risks, MDPI, vol. 7(4), pages 1-16, October.
  28. Roberto Marfè, 2012. "A generalized variance gamma process for financial applications," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 75-87, June.
  29. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
  30. Roman V. Ivanov, 2018. "Option Pricing In The Variance-Gamma Model Under The Drift Jump," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-19, June.
  31. Florence Guillaume, 2018. "Multivariate Option Pricing Models With Lévy And Sato Vg Marginal Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-26, March.
  32. Antonis Papapantoleon, 2011. "Computation of copulas by Fourier methods," Papers 1108.1216, arXiv.org, revised Jun 2014.
  33. Thomas Fung & Joanna J.J. Wang & Eugene Seneta, 2014. "The Deviance Information Criterion in Comparison of Normal Mixing Models," International Statistical Review, International Statistical Institute, vol. 82(3), pages 411-421, December.
  34. Kurt, Kevin & Frey, Rüdiger, 2022. "Markov-modulated affine processes," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 391-422.
  35. Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
  36. Michael Samet & Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Ra'ul Tempone, 2022. "Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models," Papers 2203.08196, arXiv.org, revised Oct 2023.
  37. Erdinc Akyildirim & Alper A. Hekimoglu & Ahmet Sensoy & Frank J. Fabozzi, 2023. "Extending the Merton model with applications to credit value adjustment," Annals of Operations Research, Springer, vol. 326(1), pages 27-65, July.
  38. Patrizia Semeraro, 2006. "A Multivariate Time-Changed Lévy Model for Financial Applications," ICER Working Papers - Applied Mathematics Series 10-2006, ICER - International Centre for Economic Research.
  39. Thomas Fung & Eugene Seneta, 2010. "Tail dependence and skew distributions," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 327-333.
  40. Martin Baxter, 2007. "Lévy Simple Structural Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 593-606.
  41. Olcay Arslan, 2015. "Variance-mean mixture of the multivariate skew normal distribution," Statistical Papers, Springer, vol. 56(2), pages 353-378, May.
  42. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2018. "Multivariate Factor-Based Processes With Sato Margins," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-30, February.
  43. Fung, Thomas & Seneta, Eugene, 2011. "The bivariate normal copula function is regularly varying," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1670-1676, November.
  44. Elisa Luciano, 2007. "Copula-Based Default Dependence Modelling: Where Do We Stand?," ICER Working Papers - Applied Mathematics Series 21-2007, ICER - International Centre for Economic Research.
  45. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2015. "Pricing multivariate barrier reverse convertibles with factor-based subordinators," Carlo Alberto Notebooks 439, Collegio Carlo Alberto.
  46. Mesias Alfeus & Erik Schlögl, 2018. "On Numerical Methods for Spread Options," Research Paper Series 388, Quantitative Finance Research Centre, University of Technology, Sydney.
  47. Jie Chen & Liaoyuan Fan & Lingfei Li & Gongqiu Zhang, 2022. "A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation," Review of Derivatives Research, Springer, vol. 25(2), pages 189-232, July.
  48. Petar Jevtic & Patrizia Semeraro, 2014. "A class of multivariate marked Poisson processes to model asset returns," Carlo Alberto Notebooks 351, Collegio Carlo Alberto.
  49. repec:uts:finphd:41 is not listed on IDEAS
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