A multivariate jump-driven financial asset model
نویسندگان
چکیده
منابع مشابه
A Multivariate Jump-Driven Financial Asset Model
We discuss a Lévy multivariate model for financial assets which incorporates jumps, skewness, kurtosis and stochastic volatility. We use it to describe the behavior of a series of stocks or indexes and to study a multi-firm, value-based default model. Starting from an independent Brownian world, we introduce jumps and other deviations from normality, including non-Gaussian dependence. We use a ...
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Acknowledgements I would like to extend my gratitude to my supervisor Sam Howison for his guidance and advice throughout the preparation and writing of this dissertation. I would also like to thank Christoph Reisinger for his advice whilst Dr Howison was away. Finally and most importantly I would like to thank my parents for their continued emotional and financial support, without which I would...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2006
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680600806275