No Access
MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS
https://doi.org/10.1142/S0219024918500589Cited by:2 (Source: Crossref)
Abstract
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.
Keywords:
References
- (2016) Multivariate asset models using Lévy processes and applications, The European Journal of Finance 22 (13), 1320–1350. Crossref, Web of Science, Google Scholar
- (2001) Multivariate subordination, self-decomposability and stability, Advances in Applied Probability 33 (1), 160–187. Crossref, Web of Science, Google Scholar
- (2007) Lévy simple structural models, International Journal of Theoretical and Applied Finance 10 (04), 593–606. Link, Google Scholar
- (2017) Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing, Stochastic Processes and their Applications 127 (7), 2208–2242. Crossref, Web of Science, Google Scholar
- B. Buchmann, K. Lu & D. B. Madan (2016) Weak subordination of multivariate Lévy processes, arXiv:1609.04481. Google Scholar
- (2011) Probability and Stochastics, Vol. 261. Springer, New York, USA. Crossref, Google Scholar
- (1973) A subordinated stochastic process model with finite variance for speculative prices, Econometrica: Journal of the Econometric Society 41 (1), 135–155. Crossref, Web of Science, Google Scholar
- (2010) On correlating Lévy processes, The Journal of Risk 13, 3–16. Crossref, Web of Science, Google Scholar
- (1982) Large sample properties of generalized method of moments estimators, Econometrica: Journal of the Econometric Society 1029–1054. Crossref, Web of Science, Google Scholar
- (1986) Cross-security tests of the mixture of distributions hypothesis, Journal of Financial and Quantitative Analysis 21 (01), 39–46. Crossref, Web of Science, Google Scholar
- (2017) A note on marked point processes and multivariate subordination, Statistics & Probability Letters 122, 162–167. Crossref, Web of Science, Google Scholar
- (2006) Characterization of dependence of multidimensional Lévy processes using Lévy copulas, Journal of Multivariate Analysis 97 (7), 1551–1572. Crossref, Web of Science, Google Scholar
- (2016)
Basket option pricing and implied correlation in a one-factor lévy model , in Innovations in Derivatives Markets, Vol. 165, pp. 335–367. Springer. Crossref, Google Scholar - (2013) Dependence calibration and portfolio fit with factor-based time changes, Carlo Alberto Notebooks. Google Scholar
- (2006) A multivariate jump-driven financial asset model, Quantitative Finance 6 (5), 385–402. Crossref, Web of Science, Google Scholar
- (2010) Multivariate time changes for Lévy asset models: Characterization and calibration, Journal of Computational and Applied Mathematics 233 (8), 1937–1953. Crossref, Web of Science, Google Scholar
- (1990) The variance gamma (VG) model for share market returns, Journal of Business 63 (4), 511–524. Crossref, Google Scholar
- (1999) Lévy Processes and Infinitely Divisible Distributions. Cambridge University Press, Cambridge, UK. Google Scholar
- (2008) A multivariate variance gamma model for financial applications, International Journal of Theoretical and Applied Finance 11 (01), 1–18. Link, Google Scholar
| Remember to check out the Most Cited Articles! |
|---|
|
Be inspired by these new titles
|
