Luciano, Elisa; Schoutens, Wim - Collegio Carlo Alberto, Università degli Studi di Torino - 2006
We discuss a Lévy multivariate model for financial assets which incorporates jumps, skewness, kurtosis and stochastic volatility. We use it to describe the behavior of a series of stocks or indexes and to study a multi-firm, value-based default model. Starting from an independent Brownian...