Multivariate subordination of Markov processes with financial applications
Year of publication: |
October 2016
|
---|---|
Authors: | Mendoza-Arriaga, Rafael ; Linetsky, Vadim |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 4, p. 699-747
|
Subject: | JDCEV model | multiparameter semigroups | multivariate subordination | subordinators | time-inhomogeneous | multiple commodities | additive subordinators | stochastic volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility |
-
Stochastic multivariate mixture covariance model
So, Mike Ka-pui, (2017)
-
Multivariate jump diffusion model with Markovian contagion
Carvalho, Pablo José Campos de, (2018)
-
Multivariate stochastic volatility with dynamic cross leverage
Trojan, Sebastian, (2014)
- More ...
-
Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael, (2011)
-
Time-changed CIR default intensities with two-sided mean-reverting jumps
Mendoza-Arriaga, Rafael, (2014)
-
Time-changed Markov processes in unified credit-equity modeling
Mendoza-Arriaga, Rafael, (2010)
- More ...