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?:abstract
  • 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 world, we introduce jumps and other deviations from normality, including non-Gaussian dependence. We use a stochastic time-change technique and provide the details for a Gamma change. The main feature of the model is the fact that - opposite to other, non jointly Gaussian settings - its risk neutral dependence can be calibrated from univariate derivative prices, providing a surprisingly good fit. (xsd:string)
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?:dateModified
  • 2006 (xsd:gyear)
?:datePublished
  • 2006 (xsd:gyear)
?:doi
  • 10.1080/14697680600806275 ()
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  • true (xsd:boolean)
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  • en (xsd:string)
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?:issueNumber
  • 5 (xsd:string)
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?:name
  • A Multivariate Jump-Driven Financial Asset Model (xsd:string)
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  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Quantitative Finance, 6, 2006, 5, 385-402 (xsd:string)
rdf:type
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?:urn
  • urn:nbn:de:0168-ssoar-220857 ()
?:volumeNumber
  • 6 (xsd:string)