A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance-Reference-Cited by-同舟云学术

A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance

Published:2022-09-20 Issue: Volume: Page:
ISSN:0254-5330
Container-title:Annals of Operations Research
language:en
Short-container-title:Ann Oper Res

Author:

Bianchi Michele Leonardo^ORCID,Hitaj Asmerilda,Tassinari Gian Luca

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Link

https://link.springer.com/content/pdf/10.1007/s10479-022-04970-3.pdf

Reference88 articles.

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2. Applebaum, D. (2009). Lévy processes and stochastic calculus. Cambridge: Cambridge University Press.

3. Arellano-Valle, R. B., & Azzalini, A. (2021) A formulation for continuous mixtures of multivariate normal distributions. Journal of Multivariate Analysis, 185, 104780. https://doi.org/10.1016/j.jmva.2021.104780

4. Ballotta, L., & Bonfiglioli, E. (2016). Multivariate asset models using Lévy processes and applications. The European Journal of Finance, 22(13), 1320–1350.

5. Ballotta, L., Fusai, G., Loregian, A., & Perez, M. F. (2019). Estimation of multivariate asset models with jumps. Journal of Financial and Quantitative Analysis, 54(5), 2053–2083.

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