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Document type:
Zeitschriftenaufsatz
Author(s):
Mai, J.-F.; Scherer, M.; Schulz, T.
Non-TUM Co-author(s):
nein
Cooperation:
-
Title:
Sequential modeling of dependent jump processes
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...    »
Keywords:
jump diffusion process, Lévy subordinator, time-change, multivariate Barndorff-Nielsen Shephard model, multivariate Kou model, Sequential calibration
Intellectual Contribution:
Discipline-based Research
Journal title:
Wilmott Magazine
Journal listet in FT50 ranking:
nein
Year:
2014
Journal volume:
2014
Journal issue:
70
Pages contribution:
54-63
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1002/wilm.10309
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Interdisciplinarity:
Nein
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