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Titel:

Sequential modeling of dependent jump processes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Mai, J.-F.; Scherer, M.; Schulz, T.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
Two multivariate models for asset returns are introduced. Both generalize popular univariate models without altering their marginal laws; a very convenient feature e.g. for a sequential calibration of the model's parameters to market quotes. The first is a double exponential jump-diffusion model with constant volatility as presented in the univariate case by [Kou, 2002]. The second is a generalization of the stochastic volatility model of Gamma-Ornstein-Uhlenbeck type as first presented by [Bar...     »
Stichworte:
jump diffusion process, Lévy subordinator, time-change, multivariate Barndorff-Nielsen Shephard model, multivariate Kou model, Sequential calibration
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Wilmott Magazine
Journal gelistet in FT50 Ranking:
nein
Jahr:
2014
Band / Volume:
2014
Heft / Issue:
70
Seitenangaben Beitrag:
54-63
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1002/wilm.10309
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Interdisziplinarität:
Nein
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