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A Multivariate Variance Gamma Model For Financial Applications

Citations

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Cited by:

  1. 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.
  2. Matteo Gardini & Piergiacomo Sabino & Emanuela Sasso, 2020. "A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets," Papers 2011.04256, arXiv.org.
  3. Da Fonseca, José, 2016. "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 889-894.
  4. 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.
  5. Stergios B. Fotopoulos & Venkata K. Jandhyala & Alex Paparas, 2021. "Some Properties of the Multivariate Generalized Hyperbolic Laws," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 187-205, February.
  6. 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.
  7. Elisa Luciano & Patrizia Semeraro, 2007. "Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators," Carlo Alberto Notebooks 42, Collegio Carlo Alberto.
  8. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2015. "Pricing multivariate barrier reverse convertibles with factor-based subordinators," Carlo Alberto Notebooks 439, Collegio Carlo Alberto.
  9. 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.
  10. Petar Jevtic & Patrizia Semeraro, 2014. "A class of multivariate marked Poisson processes to model asset returns," Carlo Alberto Notebooks 351, Collegio Carlo Alberto.
  11. 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.
  12. 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.
  13. 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.
  14. Karl Friedrich Hofmann & Thorsten Schulz, 2016. "A General Ornstein–Uhlenbeck Stochastic Volatility Model With Lévy Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-23, December.
  15. Riva-Palacio, Alan & Leisen, Fabrizio, 2021. "Compound vectors of subordinators and their associated positive Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
  16. M. Gardini & P. Sabino & E. Sasso, 2021. "The Variance Gamma++ Process and Applications to Energy Markets," Papers 2106.15452, arXiv.org.
  17. 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.
  18. Matteo Gardini & Piergiacomo Sabino, 2022. "Exchange option pricing under variance gamma-like models," Papers 2207.00453, arXiv.org.
  19. Kevin W. Lu, 2022. "Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 365-396, July.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. Patrizia Semeraro, 2021. "Multivariate tempered stable additive subordination for financial models," Papers 2105.00844, arXiv.org, revised Sep 2021.
  26. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
  27. Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.
  28. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013. "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks 307, Collegio Carlo Alberto, revised 2015.
  29. 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.
  30. 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.
  31. Florence Guillaume, 2013. "The αVG model for multivariate asset pricing: calibration and extension," Review of Derivatives Research, Springer, vol. 16(1), pages 25-52, April.
  32. Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2018. "Calibration for Weak Variance-Alpha-Gamma Processes," Papers 1801.08852, arXiv.org, revised Jul 2018.
  33. Zhang, Yuxin & Brockett, Patrick, 2020. "Modeling stochastic mortality for joint lives through subordinators," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 166-172.
  34. Beghin, Luisa & Macci, Claudio & Ricciuti, Costantino, 2020. "Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6364-6387.
  35. Jevtić, Petar & Marena, Marina & Semeraro, Patrizia, 2017. "A note on Marked Point Processes and multivariate subordination," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 162-167.
  36. Winston Buckley & Sandun Perera, 2019. "Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy," Annals of Finance, Springer, vol. 15(3), pages 337-368, September.
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