Lévy Processes in Finance: Inverse Problems and Dependence Modelling

By Peter Tankov. 2004

50 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/050bea53fdf4f3c4fdb582da257c2ca89153ef18

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Peter Tankov
2. Ekaterina Voltchkova
3. Jan Kallsen
4. Johannes Muhle‐Karbe
5. Ole E. Barndorff-Nielsen
6. Steven Kou
7. Ernst Eberlein
8. Claudia Klüppelberg

Citations in the corpus

• Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006, background): “• The copula Ct of Xt typically depends on t (cf. Tankov (2004) for an example).”
• Jump-diffusion Models: a Practitioner's Guide (2009, methodology): “Here we present a slightly improved version of their method, due to [22, 8].”