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Search: subject:"multivariate variance gamma"
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Multivariate Analyse
4
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3
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2
Multivariate variance gamma model
2
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2
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multivariate subordinators
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Analysis of variance
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Applied Mathematics
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Bilateral gamma
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Multi-asset Option
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Multivariate Variance Gamma
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Multivariate Verteilung
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Multivariate distribution
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Multivariate variance gamma
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Option pricing theory
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Varianzanalyse
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Wahrscheinlichkeitsrechnung
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bivariate characteristic function estimation
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empirical characteristic function
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marked Poisson processes
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multibarrier reverse convertibles (MBRCs)
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multivariate Poisson ran- dom measure
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multivariate asset modeling
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multivariate asset modelling
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multivariate normal inverse Gaussian (NIG) process
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Hitaj, Asmerilda
2
Madan, Dilip B.
2
Mercuri, Lorenzo
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Semeraro, Patrizia
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Jevtic, Petar
1
Madan, Dilip B
1
Marena, Marina
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Collegio Carlo Alberto, Università degli Studi di Torino
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ECONIS (ZBW)
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1
Multivariate bilateral gamma, copulas, CoSkews and CoKurtosis
Madan, Dilip B.
;
Wang, King
- In:
International journal of financial engineering
9
(
2022
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10013367492
Saved in:
2
Multivariate distributions for financial returns
Madan, Dilip B.
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012496775
Saved in:
3
A class of multivariate marked Poisson processes to model asset returns
Jevtic, Petar
;
Semeraro, Patrizia
-
Collegio Carlo Alberto, Università degli Studi di Torino
-
2014
conditions, we find as subcases some of the well known
multivariate
variance
gamma
processes recently introduced in the financial …
Persistent link: https://www.econbiz.de/10010941709
Saved in:
4
Pricing multivariate barrier reverse convertibles with factor-based subordinators
Marena, Marina
;
Romeo, Andrea
;
Semeraro, Patrizia
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 97-129
Persistent link: https://www.econbiz.de/10011860940
Saved in:
5
The
Multivariate
Variance
Gamma
Process and Its Applications in Multi-asset Option Pricing
Wang, Jun
-
2009
.In this thesis, we introduce a new
multivariate
variance
gamma
process which allows arbitrary marginal variance gamma (VG … such as normal inverse Gaussian (NIG) process.To test whether the
multivariate
variance
gamma
model fits the joint …
Persistent link: https://www.econbiz.de/10009450700
Saved in:
6
Portfolio allocation using
multivariate
variance
gamma
models
Hitaj, Asmerilda
;
Mercuri, Lorenzo
- In:
Financial Markets and Portfolio Management
27
(
2013
)
1
,
pp. 65-99
model is constructed assuming
multivariate
variance
gamma
(MVG) joint distribution for asset returns.We consider the MVG …
Persistent link: https://www.econbiz.de/10010987749
Saved in:
7
Portfolio allocation using
multivariate
variance
gamma
models
Hitaj, Asmerilda
;
Mercuri, Lorenzo
- In:
Financial markets and portfolio management
27
(
2013
)
1
,
pp. 65-99
Persistent link: https://www.econbiz.de/10009720945
Saved in:
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