Luciano and Semeraro proposed a class of multivariate asset pricing models where the asset log-returns are modeled by a multivariate Brownian motion time-changed by a multivariate subordinator which consists of the weighted sum of a common and an idiosyncratic subordinator. In the original...

<title>Abstract</title> This paper provides a new market implied calibration based on a moment matching methodology where the moments of the risk-neutral density function are inferred from at-the-money and out-the-money European vanilla option quotes. In particular, we derive a model-independent risk-neutral...

This paper provides a comparison of the exponential copula Lévy model with the classical Gaussian copula model for the pricing of CDO-squared tranches. Several approximations of the recursive approach are considered: a full Monte Carlo approximation, a multivariate Normal approximation of the...