Bibliographies thématiques / Multivariate Lévy models

Sommaire

Articles de revues
Thèses

Littérature scientifique sur le sujet « Multivariate Lévy models »

Auteur : Grafiati

Publié le 9 mars 2023

Mis à jour le 31 juillet 2025

Créez une référence correcte selon les styles APA, MLA, Chicago, Harvard et plusieurs autres

Choisissez une source :

Consultez les listes thématiques d’articles de revues, de livres, de thèses, de rapports de conférences et d’autres sources académiques sur le sujet « Multivariate Lévy models ».

À côté de chaque source dans la liste de références il y a un bouton « Ajouter à la bibliographie ». Cliquez sur ce bouton, et nous générerons automatiquement la référence bibliographique pour la source choisie selon votre style de citation préféré : APA, MLA, Harvard, Vancouver, Chicago, etc.

Vous pouvez aussi télécharger le texte intégral de la publication scolaire au format pdf et consulter son résumé en ligne lorsque ces informations sont inclues dans les métadonnées.

Articles de revues sur le sujet "Multivariate Lévy models"

Jacod, Jean, and Mark Podolskij. "On the minimal number of driving Lévy motions in a multivariate price model." Journal of Applied Probability 55, no. 3 (2018): 823–33. http://dx.doi.org/10.1017/jpr.2018.52.

Texte intégral

Résumé :

Abstract In this paper we consider the factor analysis for Lévy-driven multivariate price models with stochastic volatility. Our main aim is to provide conditions on the volatility process under which we can possibly reduce the dimension of the driving Lévy motion. We find that these conditions depend on a particular form of the multivariate Lévy process. In some settings we concentrate on nondegenerate symmetric α-stable Lévy motions.

Styles APA, Harvard, Vancouver, ISO, etc.

Ballotta, Laura, and Efrem Bonfiglioli. "Multivariate asset models using Lévy processes and applications." European Journal of Finance 22, no. 13 (2014): 1320–50. http://dx.doi.org/10.1080/1351847x.2013.870917.

Texte intégral

Styles APA, Harvard, Vancouver, ISO, etc.

Panov, Vladimir. "Series Representations for Multivariate Time-Changed Lévy Models." Methodology and Computing in Applied Probability 19, no. 1 (2015): 97–119. http://dx.doi.org/10.1007/s11009-015-9461-8.

Texte intégral

Styles APA, Harvard, Vancouver, ISO, etc.

Avanzi, Benjamin, Jamie Tao, Bernard Wong, and Xinda Yang. "Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas." Annals of Actuarial Science 10, no. 1 (2015): 87–117. http://dx.doi.org/10.1017/s1748499515000135.

Texte intégral

Résumé :

AbstractThe class of spectrally positive Lévy processes is a frequent choice for modelling loss processes in areas such as insurance or operational risk. Dependence between such processes (e.g. between different lines of business) can be modelled with Lévy copulas. This approach is a parsimonious, efficient and flexible method which provides many of the advantages akin to distributional copulas for random variables. Literature on Lévy copulas seems to have primarily focussed on bivariate processes. When multivariate settings are considered, these usually exhibit an exchangeable dependence stru

Styles APA, Harvard, Vancouver, ISO, etc.

Fasen, Vicky. "Limit Theory for High Frequency Sampled MCARMA Models." Advances in Applied Probability 46, no. 3 (2014): 846–77. http://dx.doi.org/10.1239/aap/1409319563.

Texte intégral

Résumé :

We consider a multivariate continuous-time ARMA (MCARMA) process sampled at a high-frequency time grid {hn, 2hn,…, nhn}, where hn ↓ 0 and nhn → ∞ as n → ∞, or at a constant time grid where hn = h. For this model, we present the asymptotic behavior of the properly normalized partial sum to a multivariate stable or a multivariate normal random vector depending on the domain of attraction of the driving Lévy process. Furthermore, we derive the asymptotic behavior of the sample variance. In the case of finite second moments of the driving Lévy process the sample variance is a consistent estimator.

Styles APA, Harvard, Vancouver, ISO, etc.

Moser, Martin, and Robert Stelzer. "Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models." Advances in Applied Probability 43, no. 4 (2011): 1109–35. http://dx.doi.org/10.1239/aap/1324045701.

Texte intégral

Résumé :

Multivariate Lévy-driven mixed moving average (MMA) processes of the type Xt = ∬f(A, t - s)Λ(dA, ds) cover a wide range of well known and extensively used processes such as Ornstein-Uhlenbeck processes, superpositions of Ornstein-Uhlenbeck (supOU) processes, (fractionally integrated) continuous-time autoregressive moving average processes, and increments of fractional Lévy processes. In this paper we introduce multivariate MMA processes and give conditions for their existence and regular variation of the stationary distributions. Furthermore, we study the tail behavior of multivariate supOU pr

Styles APA, Harvard, Vancouver, ISO, etc.

Moser, Martin, and Robert Stelzer. "Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models." Advances in Applied Probability 43, no. 04 (2011): 1109–35. http://dx.doi.org/10.1017/s0001867800005322.

Texte intégral

Résumé :

Multivariate Lévy-driven mixed moving average (MMA) processes of the type X t = ∬f(A, t - s)Λ(dA, ds) cover a wide range of well known and extensively used processes such as Ornstein-Uhlenbeck processes, superpositions of Ornstein-Uhlenbeck (supOU) processes, (fractionally integrated) continuous-time autoregressive moving average processes, and increments of fractional Lévy processes. In this paper we introduce multivariate MMA processes and give conditions for their existence and regular variation of the stationary distributions. Furthermore, we study the tail behavior of multivariate supOU p

Styles APA, Harvard, Vancouver, ISO, etc.

Fasen, Vicky. "Limit Theory for High Frequency Sampled MCARMA Models." Advances in Applied Probability 46, no. 03 (2014): 846–77. http://dx.doi.org/10.1017/s0001867800007400.

Texte intégral

Résumé :

We consider a multivariate continuous-time ARMA (MCARMA) process sampled at a high-frequency time grid {h n , 2h n ,…, nh n }, where h n ↓ 0 and nh n → ∞ as n → ∞, or at a constant time grid where h n = h. For this model, we present the asymptotic behavior of the properly normalized partial sum to a multivariate stable or a multivariate normal random vector depending on the domain of attraction of the driving Lévy process. Furthermore, we derive the asymptotic behavior of the sample variance. In the case of finite second moments of the driving Lévy process the sample variance is a consistent e

Styles APA, Harvard, Vancouver, ISO, etc.

JEVTIĆ, PETAR, MARINA MARENA, and PATRIZIA SEMERARO. "MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS." International Journal of Theoretical and Applied Finance 22, no. 02 (2019): 1850058. http://dx.doi.org/10.1142/s0219024918500589.

Texte intégral

Résumé :

The class of marked Poisson processes and its connection with subordinated Lévy processes allow us to propose a new interpretation of multidimensional information flows and their relation to market movements. The new approach provides a unified framework for multivariate asset return models in a Lévy economy. In fact, we are able to recover several processes commonly used to model asset returns as subcases. We consider a first application example using the normal inverse Gaussian specification.

Styles APA, Harvard, Vancouver, ISO, etc.

Fink, Holger. "Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk." Journal of Applied Probability 50, no. 4 (2013): 983–1005. http://dx.doi.org/10.1239/jap/1389370095.

Texte intégral

Résumé :

Molchan-Golosov fractional Lévy processes (MG-FLPs) are introduced by way of a multivariate componentwise Molchan-Golosov transformation based on an n-dimensional driving Lévy process. Using results of fractional calculus and infinitely divisible distributions, we are able to calculate the conditional characteristic function of integrals driven by MG-FLPs. This leads to important predictions concerning multivariate fractional Brownian motion, fractional subordinators, and general fractional stochastic differential equations. Examples are the fractional Lévy Ornstein-Uhlenbeck and Cox-Ingersoll

Styles APA, Harvard, Vancouver, ISO, etc.

Plus de sources

Thèses sur le sujet "Multivariate Lévy models"

Petkovic, Alexandre. "Three essays on exotic option pricing, multivariate Lévy processes and linear aggregation of panel models." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210357.

Texte intégral

Résumé :

This thesis is composed of three chapters that form two parts. The first part is composed of two chapters and studies problems related to the exotic option market. In the first chapter we are interested in a numerical problem. More precisely we derive closed-form approximations for the price of some exotic options in the Black and Scholes framework. The second chapter discusses the construction of multivariate Lévy processes with and without stochastic volatility. The second part is composed of one chapter. It deals with a completely different issue. There we will study the problem of individu

Styles APA, Harvard, Vancouver, ISO, etc.

LOREGIAN, ANGELA. "Multivariate Lèvy models: estimation and asset allocation." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2013. http://hdl.handle.net/10281/49727.

Texte intégral

Résumé :

Multidimensional asset models based on Lévy processes have been introduced to meet the necessity of capturing market shocks using more refined distribution assumptions compared to the standard Gaussian framework. In particular, along with accurately modeling marginal distributions of asset returns, capturing the dependence structure among them is of paramount importance, for example, to correctly price derivatives written on more than one underlying asset. Most of the literature on multivariate Lévy models focuses in fact on pricing multi-asset products, which is also the case of the mod

Styles APA, Harvard, Vancouver, ISO, etc.

Stelzer, Robert [Verfasser]. "Multivariate continuous time stochastic volatility models driven by a Lévy process / Robert Josef Stelzer." 2007. http://d-nb.info/986220337/34.

Texte intégral

Styles APA, Harvard, Vancouver, ISO, etc.

Nous offrons des réductions sur tous les plans premium pour les auteurs dont les œuvres sont incluses dans des sélections littéraires thématiques. Contactez-nous pour obtenir un code promo unique!