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  • Search: subject:"multivariate non-Gaussian processes"
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Year of publication
Subject
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Multivariate Analyse 3 Multivariate analysis 3 Stochastic process 3 Stochastischer Prozess 3 multivariate non-Gaussian processes 3 time-changed Brownian motion 3 CAPM 2 Portfolio selection 2 Portfolio-Management 2 Risikomaß 2 Risk measure 2 Statistical distribution 2 Statistische Verteilung 2 Theorie 2 Theory 2 Volatility 2 Volatility smile 2 Volatilität 2 asset price dynamics 2 multivariate Esscher transform 2 ARCH model 1 ARCH-Modell 1 Capital income 1 Kapitaleinkommen 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Multivariate non-Gaussian processes 1 Normal mean-variance mixture 1 Normal mean-variance mixtures 1 Option pricing theory 1 Optionspreistheorie 1 Portfolio optimization 1 Portfolio risk measures 1 Time-changed Brownian motion 1 expectation-maximization maximum likelihood 1 portfolio risk measures 1 volatility clustering 1
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Undetermined 3
Type of publication
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Article 4
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 3 Undetermined 1
Author
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Bianchi, Michele Leonardo 3 Tassinari, Gian Luca 3 BIANCHI, MICHELE LEONARDO 1 Fabozzi, Frank J. 1 TASSINARI, GIAN LUCA 1
Published in...
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International journal of theoretical and applied finance 2 International Journal of Theoretical and Applied Finance (IJTAF) 1 Quantitative finance 1
Source
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ECONIS (ZBW) 3 RePEc 1
Showing 1 - 4 of 4
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Forward-looking portfolio selection with multivariate non-Gaussian models
Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 20 (2020) 10, pp. 1645-1661
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012295628
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Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011523819
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CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM
TASSINARI, GIAN LUCA; BIANCHI, MICHELE LEONARDO - In: International Journal of Theoretical and Applied … 17 (2014) 04, pp. 1450023-1
In this study, we investigate two multivariate time-changed Brownian motion option pricing models in which the connection between the historical measure P and the risk-neutral measure Q is given by the Esscher transform. The models incorporate skewness, kurtosis and more complex dependence...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010785480
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Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
Tassinari, Gian Luca; Bianchi, Michele Leonardo - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-34
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010391513
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