considering a Levy copula framework. When this is introduced to pricing equations, one can see that the correlation smile is …

-copula constructions has been successfully applied to distributional copulas. In this paper, we develop the pair Lévy copula construction … (PLCC). Similar to pair constructions of distributional copulas, the pair construction of a d-dimensional Lévy copula … copulas, the proposed pair construction adds the desired flexibility to Lévy copula models. We discuss estimation and …

processes are some Levy processes, the DSPMD converges to some Levy process. Compared with Levy copula, proposed by Tankov … level, which is difficult in Levy copula. It also comes with a simulation algorithm that overcomes the first component bias … based on Rosinski's series representation and Sklar's Theorem for Levy copula. Starting with a series representation of a …

. Our approach is based on the modelling of the dependence structure of different cells via the new concept of a Levy copula. …

Lévy process can be characterized by corresponding properties of the Lévy copula, a concept which has been introduced … supermodular dependence of Lévy processes can be characterized in terms of the Lévy measure as well as in terms of the Lévy copula … characterize them by orders of the Lévy measures and by orders of the Lévy copulas, respectively. An example is given that the Lévy …

Lévy process can be characterized by corresponding properties of the Lévy copula, a concept which has been introduced … supermodular dependence of Lévy processes can be characterized in terms of the Lévy measure as well as in terms of the Lévy copula … characterize them by orders of the Lévy measures and by orders of the Lévy copulas, respectively. An example is given that the Lévy …