Search Results - subject:"Multivariate Lévy processes"

Correlating Lévy processes with self-decomposability : applications to energy markets

Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 1253-1280

Persistent link: https://www.econbiz.de/10012795133

A bivariate normal inverse Gaussian process with stochastic delay : efficient simulations and applications to energy markets

Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela - In: Applied mathematical finance 28 (2021) 2, pp. 178-199

Persistent link: https://www.econbiz.de/10013171069

Multivariate FX models with jumps : triangles, Quantos and implied correlation

Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory - In: European journal of operational research : EJOR 260 (2017) 3, pp. 1181-1199

Persistent link: https://www.econbiz.de/10011714363

Vine constructions of Lévy copulas

Grothe, Oliver; Nicklas, Stephan - In: Journal of Multivariate Analysis 119 (2013) C, pp. 1-15

Lévy copulas are the most general concept to capture jump dependence in multivariate Lévy processes. They translate the …

Persistent link: https://www.econbiz.de/10011041956

A preventive maintenance policy for a continuously monitored system with correlated wear indicators

Mercier, Sophie; Pham, Hai Ha - In: European Journal of Operational Research 222 (2012) 2, pp. 263-272

A continuously monitored system is considered, that gradually and stochastically deteriorates according to a bivariate non-decreasing Lévy process. The system is considered as failed as soon as its bivariate deterioration level enters a failure zone, assumed to be an upper set. A preventive...

Persistent link: https://www.econbiz.de/10010597705