[PDF] Top 20 Multivariate Asset Models Using Levy Processes and Applications

... the multivariate VG-CIR ...the multivariate VG ...the multivariate VG model, we observe high values of the implied correlation for in-the-money options, which decreases as the contract moves ... See full document

... underlying asset, but also its price trajectory during the whole life span of the ...underlying asset price S reaches the level L and remains constantly below this level for a time interval longer than ... See full document

... Ito-levy processes, stronovichIto- levy processes and fractional stronovich Ito-levy processes in ...fractional levy process, fractional stochastic differential equation ... See full document

... Because in our application we have considered logarithms for both Bucharest Stock Exchange indices, and the homogeneity test are nonparametric, we have replaced in our C + + program for these tests the differences ... See full document

... Stochastic processes are not only mathematically rich ...of applications in, ...and applications focusses on the properties of specific classes of process that possess additional ...stochastic ... See full document

... a multivariate distribution ...L´evy processes and to characterize their dependence ...of using L´evy copula is that the resulting processes are L´evy ...L´evy processes by L´evy ... See full document

... financial applications require modelling the joint dynamics of multiple, possibly dependent asset price ...developing models involving appropriate multivariate L´evy processes, capable ... See full document

... stochastic models incorporating appropriate Lévy processes as drivers of the price dynamics of financial ...such processes are the Variance Gamma process introduced by Madan and Seneta (1990) (see ... See full document

... of Levy processes reveals useful properties. Levy processes present us with models that eliminate most of the weaknesses of Gaussian ...with Levy processes are infinitely ... See full document

... volatility models. One approach is to model asset returns as diffusions with stochastic volatil- ity follows a Brownian driven mean reverting process ... See full document

... many applications such as portfolio allocation and risk management is in the correlated movements of the ...that asset correlations may change over time, which leads to a growing number of models ... See full document

... SV models, Zhang, Li and Zhang [13] showed that the deci- sional Bayesian approach by Li and Yu [12] can achieve better finite-sample behaviors than Bayes ...the asset return volatility persistence on ... See full document

... evy processes are (Applebaum, 2004), (Bertoin, 1996) and (Sato, ...risky asset whose log-return we assume to be modelled by a one-dimensional L´ evy ...risky asset plus the risk-free bond will be ... See full document

... the asset re- turn ...of models which include a high frequency jump component in the return process, it is intriguing to see whether incorporating such jumps in the stochastic volatility process will also ... See full document

... advanced multivariate DCC GARCH ...cations using multivariate GARCH processes in modeling the mean returns and variance-covariance ...the models are implemented with the ... See full document

... To maintain the parsimony of the model, we consider only one activity rate specification in our empirical study, which is the square-root model of Heston (1993). Yet, the framework proposed here provides fertile ground ... See full document

... the asset log-return features and the dependence structure in ...factor models generally do not originate known marginal distributions (except in the Gaussian case), a large portion of the literature on ... See full document

... computed using the Rosenblatt transform [Ros52] and Peacock’s 2-dimensional, two-sample Kolmogorov-Smirnov statistic [Pea83], the latter not requiring Fourier inversion to ... See full document

... for multivariate di¤usion ...study multivariate (discrete- or continuous-) time processes whose stationarity can neither be guaranteed nor ruled out a ... See full document

... We investigate the pricing problem for Asian options monitored at discrete times. The payo¤ of an arithmetic (geometric) Asian option depends on the arithmetic (geometric) average value of the underlying asset ... See full document