A Multivariate Variance Gamma Model for Financial Applications

By Patrizia Semeraro. 2008

124 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/38ba4981d0575c4f79d5d0b2dba4945fef07c213

How researchers see this paper

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

In Finance

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

In Management Science and Operations Research

1. Filippo Fiorani
2. Elisa Luciano

Citations in the corpus

• The Variance-Gamma Distribution: A Review (2023, unknown): “Semeraro [107], Luciano and Semeraro [71] and Luciano, Marena and Semeraro [72], and Linders and Stassen [68] for applications to basket options calibration on the DJIA index.”
• Single and joint default in a structural model with purely discontinuous assets (2007, methodology): “The multivariate extension studied here is due to Semeraro (2006) and further studied in Luciano and Semeraro (2007).”