A multivariate jump-driven financial asset model

By Elisa Luciano, Wim Schoutens. 2006

241 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/360010e9f17696ed8c990a9ee3fe1ad331177f15

How researchers see this paper

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

In Economics and Econometrics

1. Patrizia Semeraro
2. Filippo Fiorani
3. Elisa Luciano
4. Andrew J. Patton

In Finance

1. Filippo Fiorani
2. Elisa Luciano
3. Patrizia Semeraro
4. Andrew J. Patton

Citations in the corpus

• On Correlating Lévy Processes (2010, unknown): “An approach that has been taken is to introduce a common time change to force all assets to move at precisely the same instant and we refer to Luciano and Schoutens (2006), Semeraro (2006), and Luciano and Semeraro (2007).”
• The Variance-Gamma Distribution: A Review (2023, unknown): “We shall only consider the univariate VG process; for an account of the multivariate VG process, which was introduced by Madan and Seneta [77], we refer the reader to Luciano and Schoutens [70], Semeraro [107], Luciano and Semeraro [71] and Luciano, Marena and Semeraro [72], and Linders and Stassen ”
• Single and joint default in a structural model with purely discontinuous assets (2007, methodology): “As concerns single defaults, Madan (2000) introduces a terminal default, Merton type model, with a Lévy process of the VG type for the log-asset value, while Cariboni and Schoutens (2004) provide its early-default version, together with an illustrative calibration to a small CDS sample.”