A note on Marked Point Processes and multivariate subordination
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spl.2016.11.008
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Sato, Ken-iti, 2001. "Subordination and self-decomposability," Statistics & Probability Letters, Elsevier, vol. 54(3), pages 317-324, October.
- Patrizia Semeraro, 2008. "A Multivariate Variance Gamma Model For Financial Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-18.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
- Kozubowski, Tomasz J. & Podgórski, Krzysztof & Rychlik, Igor, 2013. "Multivariate generalized Laplace distribution and related random fields," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 59-72.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Buchmann, Boris & Kaehler, Benjamin & Maller, Ross & Szimayer, Alexander, 2017. "Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing," Stochastic Processes and their Applications, Elsevier, vol. 127(7), pages 2208-2242.
- Lynn Boen & Florence Guillaume, 2020. "Towards a $$\Delta $$Δ-Gamma Sato multivariate model," Review of Derivatives Research, Springer, vol. 23(1), pages 1-39, April.
- Buchmann, Boris & Lu, Kevin W. & Madan, Dilip B., 2020. "Self-decomposability of weak variance generalised gamma convolutions," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 630-655.
- Matteo Gardini & Piergiacomo Sabino & Emanuela Sasso, 2021. "Correlating Lévy processes with self-decomposability: applications to energy markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1253-1280, December.
- Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
- Patrizia Semeraro, 2021. "Multivariate tempered stable additive subordination for financial models," Papers 2105.00844, arXiv.org, revised Sep 2021.
- Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2019. "Calibration for Weak Variance-Alpha-Gamma Processes," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1151-1164, December.
- Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2018. "Calibration for Weak Variance-Alpha-Gamma Processes," Papers 1801.08852, arXiv.org, revised Jul 2018.
- Marina Marena & Andrea Romeo & Patrizia Semeraro, 2018. "Multivariate Factor-Based Processes With Sato Margins," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-30, February.
- Boris Buchmann & Benjamin Kaehler & Ross Maller & Alexander Szimayer, 2015. "Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing," Papers 1502.03901, arXiv.org, revised Oct 2016.
- Vladimir Panov, 2017. "Series Representations for Multivariate Time-Changed Lévy Models," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 97-119, March.
- M. Gardini & P. Sabino & E. Sasso, 2021. "The Variance Gamma++ Process and Applications to Energy Markets," Papers 2106.15452, arXiv.org.
- Roman Ivanov, 2015. "The distribution of the maximum of a variance gamma process and path-dependent option pricing," Finance and Stochastics, Springer, vol. 19(4), pages 979-993, October.
- Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.
- Marina Marena & Andrea Romeo & Patrizia Semeraro, 2015. "Pricing multivariate barrier reverse convertibles with factor-based subordinators," Carlo Alberto Notebooks 439, Collegio Carlo Alberto.
- Ivanov Roman V., 2018. "On risk measuring in the variance-gamma model," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 23-33, January.
- Roman V. Ivanov, 2018. "Option Pricing In The Variance-Gamma Model Under The Drift Jump," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-19, June.
- Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 65-99, March.
- Matteo Gardini & Piergiacomo Sabino & Emanuela Sasso, 2020. "Correlating L\'evy processes with Self-Decomposability: Applications to Energy Markets," Papers 2004.04048, arXiv.org, revised Jul 2020.
- Florence Guillaume, 2018. "Multivariate Option Pricing Models With Lévy And Sato Vg Marginal Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-26, March.
More about this item
Keywords
Marked Poisson processes; Subordinated Lévy processes; Multivariate Poisson random measure; Multivariate subordinators; Multivariate generalized asymmetric Laplace motion;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:122:y:2017:i:c:p:162-167. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.