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~person:"Egami, Masahiko"
~person:"Gardini, Matteo"
~person:"Riedel, Frank"
~subject:"Multivariate Lévy processes"
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Multivariate Lévy processes
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Correlating
Lévy
processes
with self-decomposability : applications to energy markets
Gardini, Matteo
;
Sabino, Piergiacomo
;
Sasso, Emanuela
- In:
Decisions in economics and finance : a journal of …
44
(
2021
)
2
,
pp. 1253-1280
Persistent link: https://www.econbiz.de/10012795133
Saved in:
2
A bivariate normal inverse Gaussian process with stochastic delay : efficient simulations and applications to energy markets
Gardini, Matteo
;
Sabino, Piergiacomo
;
Sasso, Emanuela
- In:
Applied mathematical finance
28
(
2021
)
2
,
pp. 178-199
Persistent link: https://www.econbiz.de/10013171069
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