English, Article edition: A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS PATRIZIA SEMERARO

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Physical Description
  • article
Language
  • English

Edition details

Title
  • A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
Author
  • PATRIZIA SEMERARO
Physical Description
  • article
Notes
  • In this paper we subordinate a multivariate Brownian motion with independent components by a multivariate gamma subordinator. The resulting process is a generalization of the bivariate variance gamma process proposed by Madan and Seneta [7], mentioned in Cont and Tankov [4] and calibrated in Luciano and Schoutens [5] as a price process. Our main contribution here is to introduce a multivariate subordinator with gamma margins. We investigate the process, determine its Lévy triplet and analyze its dependence structure. At the end we propose an exponential Lévy price model.
  • Lévy processes, multivariate subordinators, dependence, multivariate asset modelling
  • RePEc:wsi:ijtafx:v:11:y:2008:i:01:p:1-18
Language
  • English
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